My problem is that there is great inconsistency between Playback in REALTIME vs SA or Playback HISTORICAL; the last two act the same. It doesn't matter which one is better or worse; just looking to get the more realistic and best settings that will generate consistent results good or bad. My conclusion right now is that it is due to the fill criteria (independent of the resolution) utilized on both scenarios.
When not using Fill On Touch, the Strategy Analyzer will generate more profits then it should. From the image below (1 tick range chart) you can see that on the left there is a winning trade that produced 1tick more profit then it should since the limit order was set at the green target (SEE IMAGE 1). This scenario is with high fill resolution. All losing trades however are stopped on the limit price. This on the other hand will not happen on PlayBack. PlayBack will set the winning trade to where the limit target was originally with or without using Fill On Touch. This criteria seems more realistic.
The problem is that if I switch to true the Fill on Touch setting. SA will fill profit targets on touch whereas Playback will not fill the profit targets on touch. Playback will still hit the stop loss targets on touch (SEE IMAGE 2 & 3) and apply a stricter criteria to the profit targets.
It seems playback is giving a Worst Case scenario.Which is not necessarily a bad thing especially if you are trading bigger time frames. When trading on 1 tick sensibility strategies, it makes all the difference in the world.
If I could in some way get Strategy Analyzer to act the same way as Playback, then I could optimize my strategy, but as is I don't see a way to emulate playback criteria on SA.
This is what I see in summary:
- SA, fill on touch ON -> Applies same criteria for profit and loss, but not very realistic (should require price to go 1 tick above/below, but to keep profit or loss at original target)
- SA, fill on touch OFF -> Hits profit target 1 tick above where it should. Hits stoploss at right place
- PB, fill on touch OFF/ON -> Applies different criteria for profit targets than stoploss targets.
If I could get Strategy Analyzer not to give 1 tick away then that would be great.
If I could get both SA and PB to be strict in criteria (have price pass 1 tick above) but to calculate the profit or loss to the original limit prices than that would be ideal.
Can you please point me in the right direction?
Thanks,
Julio
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