I am at the moment intently monitoring my knowledgeable advisor’s efficiency on gold. One of many monitoring steps is evaluating trades on the sign account with the outcomes obtained within the technique tester.
I attempt to write Skilled Advisors that solely act when a brand new bar opens. That is as a result of lack of high-quality tick knowledge and restricted machine assets for testing. So, the leads to the technique tester and on actual knowledge ought to match. However sadly, this isn’t the case.
Check outcomes for the primary 10 days of February
Over the identical 10 days, the knowledgeable earned 70% on an actual account . This can be a checklist of transactions.
General, the outcomes are an identical. In each circumstances, the knowledgeable advisor demonstrated big earnings with minimal drawdowns.
However there are variations! The true account has extra trades and, on common, decrease earnings. Let’s examine trades on the chart from the tester and the true account.
Tester
Actual rating
Causes for this habits
1) The distinction within the variety of trades happens as a result of, within the “at opening costs” testing mode, the knowledgeable advisor is late studying a couple of commerce closed by stop-loss or take-profit. Consequently, it would not open a brand new commerce utilizing the identical system. On an actual account, the commerce is closed throughout the bar, and when a brand new bar opens, the knowledgeable advisor can open a brand new place.
2) Revenue on an actual account is decrease as a result of slippage, opening delays and different requotes.
Outcomes and conclusions
Having carried out a comparative evaluation of the advisor’s work within the “testing at opening costs” mode (Open Costs) and on an actual account, we will draw the next key conclusions.
1. The order closing section is the testing bottleneck
The primary cause for the discrepancy within the variety of transactions is the totally different logic of occasion processing. closing a place .
-
Within the tester: The sign concerning the activation of Cease Loss or Take Revenue is distributed to the advisor Strictly on the opening of the subsequent bar . Due to this, the chance to open a brand new commerce on the identical ranges is missed—one time interval is “dropped” from buying and selling.
-
In actual life: The deal is closed throughout the bar. The system instantly releases the margin and locks within the end result. By the point new bar The advisor is now not burdened by the earlier place and has the fitting to open a brand new transaction instantly after receiving a tick/bar.
Conclusion: The “Open Costs” testing mode underestimates the variety of accomplished trades by artificially creating “lifeless zones” after protecting orders are triggered.
2. The character of decrease returns on actual cash
The distinction in closing revenue is due solely to the market microstructure, which can’t be simulated in a tester with out tick knowledge:
-
Slippage: Execution at a value worse than the asking value, particularly in periods of excessive volatility.
-
Execution delays: The worth at which the system sees a sign to open and the value at which the order is definitely crammed are totally different values.
-
Re-quotas: Lack of time and potential revenue when asking for a value once more.
Conclusion: The tester idealizes the entry, assuming the order will at all times be opened on the present market request value. An actual account pays a liquidity tax.
3. Elementary limitation of the methodology
Regardless of the mathematical discrepancy (variety of transactions + proportion of revenue), the system habits sample is preserved :
Which means that the advisor’s code is appropriate and the decision-making logic works accurately. Deviations are quantitative not qualitative character.