Trading System Simulation Errors

Trading System Simulation Errors

chaz
2010-05-05 12:54:07

I have analyzed results of the Trading System (TS)I created & spotted an errors in reported trades results;
It inflates te Profits by Adjusting OpenPrice of the security bought at Open and increases the close price at which a simulated trade/position was closed.

Environment I tested:
Portfolio selected consists of 9 ETFs (BGZ, BGU, FAS, FAZ, ERY, ERX, USO, OIL, RSX)
Period used 1/4/2010-5/5/2010

Ex. of numbers reported in simulated trade
ERY Position - 3400 shares opened on 4/5/2010
Adj. Open Price $8.00 (why $8.0 ? Opening price on that day was 9.08)
Curr. Price $9.33 (close price on 4/5/2010 - correct)
Position gets selected to close by rules in TS
On 5/5/2010 I get position closed with following values:
Adj. Open Price $8.00
Close Price $10.0 (ERY price never reached that level & Daily High in Quotes DB was only $9.93 for 5/5/2010, close $9.66, Open $9.72, Low $9.47))

That trade was added to report with Preturn $6800 which is not right as stock never traded on those 2 days between $8-10 that system used.

Are these simulator calculation going to be fixed soon or is there any other reson for those errors I encountered?

I can provde my TS rules & formuas I used Strategy, Ranking Optimize & MM as well as setings.

Thx in advance for any comment or suggestions to fix it.
Chaz

QuantShare
2010-05-05 14:05:34

Best Answer

Hi,

This is not a bug; you probably set the tick size field to 2.

The tick size or the minimum amount a security can increase or decrease is used in futures trading and it can be set globally or per-symbol.

Globally, it can be changed by updating a trading system then selecting (Settings -> Settings).
Per-Symbol, it can be changed by selecting a symbol then clicking on Symbol -> Update.

chaz
2010-05-18 08:53:30

Thank you QS for the fix. I had global Tick size = 1.0 . in Trading System Settings. Modifying it to 0.01 fixed the problem. Chaz

QuantShare
2010-05-18 13:53:53

You're Welcome. You can also update the tick size per-symbol.

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