Profit Target in Exit Strategy wrong by one tick

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Nicolas23
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Profit Target in Exit Strategy wrong by one tick

Postby Nicolas23 » 06 Apr 2012

Hi,

I am facing the following issue, and any answer or comment would be appreciated. :-)

I am performing discretionary trading with a personal exit strategy based on a template of Master Strategy. Profit Target is set at 4 ticks.

When the order is waiting to be triggered by an adequate movement of the price, the information shown in transparency on the screen is correct: Profit Target is at 4 ticks from the entry.

But, once the entry order is filled, the Profit Target shifts to 5 ticks from the price. So I have to move it manually to put it at 4 ticks.

The enclosed picture with explanations illustrates this phenomenon.

Thanks in advance for your help! :-)

Nicolas

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Re: Profit Target in Exit Strategy wrong by one tick

Postby NW27 » 08 Apr 2012

Hi Nicolas,

Two possibilities -

1. There is a issue with the Profit Targets, StopLoss and Breakeven MOVING by themselves. A known fault and has been detected and fixed for Beta3?

2. The "Profit Targets, StopLoss and Breakeven" are calculated on the AVERAGE entry price not the actual fill price (Average = Entry Price + brokerage).
Please refer to this link, where I had a slight argument with them in this regard.
http://www.multicharts.com/discussion/v ... 946#p48885

Either of these will cause your problem.

Neil.

P.S. I typically target 5 ticks, so I know exactly where you are coming from. A right pain in the A....

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Nicolas23 » 08 Apr 2012

Thanks for your message, Neil! :)

With respect to point 1, do you know if a topic has already been open under PM ( https://www.multicharts.com/pm/ )? I have searched but have not found something close to your description ("moving by themselves").

In my case, point 2 seems plausible. I set the Profit Target at 4 ticks because I want 4 ticks profit before commissions. But it is true that 5 ticks are necessary to cover the profit target (before commissions) and the broker's commissions.

However, in my example, commissions are 0.04 point (one way). So MC would "increase" the profit target by 1 tick (0.25) only to cover 0.04 fee.

If this explanation is the right one, I think that it shall be clearly documented. I have seen nothing on the documentation with this respect, in particular in https://www.multicharts.com/trading-sof ... fit_Target . Or I missed it.

I hope that MultiCharts could give me an official feedback after the week-end.

Thanks again Neil,

Nicolas

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Re: Profit Target in Exit Strategy wrong by one tick

Postby NW27 » 08 Apr 2012

Hi Nicolas,

With regard to Point 1, I brought this up with MC and showed them the moving orders, they fixed it and sent me a special Install/EXE to test and verify that it is fixed. Hence the reason why I say it should be publically available in Beta3. These movements happened when I was adjusting say the StopLoss, the Profit Traget would move.
The actual calculation for the SL,BE & PT are using the average price, so in my case, two times the brokerage is > the value of 1 tick, so this is why I think it moves the PT to allow for the brokerage charges.
I trade the prices and if I create a strategy where I say I want the PT to be 5 ticks from the entry price, this is where I expect the order to be placed.

Neil.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Henry MultiСharts » 09 Apr 2012

Thanks for your message, Neil! :)
With respect to point 1, do you know if a topic has already been open under PM ( https://www.multicharts.com/pm/ )? I have searched but have not found something close to your description ("moving by themselves").
In my case, point 2 seems plausible. I set the Profit Target at 4 ticks because I want 4 ticks profit before commissions. But it is true that 5 ticks are necessary to cover the profit target (before commissions) and the broker's commissions.
However, in my example, commissions are 0.04 point (one way). So MC would "increase" the profit target by 1 tick (0.25) only to cover 0.04 fee.
If this explanation is the right one, I think that it shall be clearly documented. I have seen nothing on the documentation with this respect, in particular in https://www.multicharts.com/trading-sof ... fit_Target . Or I missed it.
I hope that MultiCharts could give me an official feedback after the week-end.
Thanks again Neil,
Nicolas
Hello Nicolas23,

Point 1. Fixed in MultiCharts 8.0 beta 2.
Point 2. Profit target values are based on the average entry price.
Average Price in Order and position tracker window->Open positions tab can be more accurate than the entry price on the chart or in the DOM as it includes commission. In this case the Profit Target value is rounded up.
We consider using “average fill price” provided by the broker as the most appropriate way in case of partial fills. You can also specify the exact price level for the order, not only pips offset. We do not plan to change the current behaviour in the nearest future.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Nicolas23 » 09 Apr 2012

Hi Henry,

Thanks for your message, which is perfectly clear.

In order to avoid any misunderstanding, I was not asking for any modification of this feature. I just wanted to understand, so that I could adapt. With my current trading style, as I target a 4-tick profit before deduction of the commission, I have set today my automatic profit target exit order @ 3 ticks, and it works fine.

I kindly suggest that MultiCharts add your above explanation in the documentation, for instance by adding one sentence in https://www.multicharts.com/trading-sof ... fit_Target

Thanks again,

Nicolas

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Re: Profit Target in Exit Strategy wrong by one tick

Postby NW27 » 09 Apr 2012

In this case the Profit Target value is rounded up.
So this is why in Long positions it goes up by 1 point from the Master Strategy settings but in short positions it is as per the master strategy settings.
But alas, I have found this is still not the case, sometimes a long can be at the correct level as per the Master Strategy setting. That is, some how it has not taken the brokerage into account.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Henry MultiСharts » 12 Apr 2012

Hi Henry,

Thanks for your message, which is perfectly clear.

In order to avoid any misunderstanding, I was not asking for any modification of this feature. I just wanted to understand, so that I could adapt. With my current trading style, as I target a 4-tick profit before deduction of the commission, I have set today my automatic profit target exit order @ 3 ticks, and it works fine.

I kindly suggest that MultiCharts add your above explanation in the documentation, for instance by adding one sentence in https://www.multicharts.com/trading-sof ... fit_Target

Thanks again,

Nicolas
Nicolas, I have updated the Wiki article.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Henry MultiСharts » 12 Apr 2012

In this case the Profit Target value is rounded up.
So this is why in Long positions it goes up by 1 point from the Master Strategy settings but in short positions it is as per the master strategy settings.
But alas, I have found this is still not the case, sometimes a long can be at the correct level as per the Master Strategy setting. That is, some how it has not taken the brokerage into account.
The value is based on the average entry price provided by the broker ((execution price + commission) / position size). Some brokers may not include the commission.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Nicolas23 » 12 Apr 2012

Thanks for this follow-up!
Efficiency has a name: this name is Henry. ;-)

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Re: Profit Target in Exit Strategy wrong by one tick

Postby NW27 » 12 Apr 2012

In this case the Profit Target value is rounded up.
So this is why in Long positions it goes up by 1 point from the Master Strategy settings but in short positions it is as per the master strategy settings.
But alas, I have found this is still not the case, sometimes a long can be at the correct level as per the Master Strategy setting. That is, some how it has not taken the brokerage into account.
The value is based on the average entry price provided by the broker ((execution price + commission) / position size). Some brokers may not include the commission.
Henry,

I still stand by what I said in that sometimes it is correct per the Master Strategy and sometimes not. I think this may be influenced by the current bid/ask when MC does the calculation. Given that MC use these to calculate the Net profit.
When a profit target is calculated, does it incorporate the entry&exit brokerage into the calc as well as the bid/ask to determine the actual level it will put the Limit order at?
Much the same as the SetProfitTarget does in the EL language.

All of this confusion because MC just doesn't set the stops at the levels from the entry specified in the Master Strategy.

Neil.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Henry MultiСharts » 13 Apr 2012

Henry,
I still stand by what I said in that sometimes it is correct per the Master Strategy and sometimes not. I think this may be influenced by the current bid/ask when MC does the calculation. Given that MC use these to calculate the Net profit.
When a profit target is calculated, does it incorporate the entry&exit brokerage into the calc as well as the bid/ask to determine the actual level it will put the Limit order at?
Much the same as the SetProfitTarget does in the EL language.
All of this confusion because MC just doesn't set the stops at the levels from the entry specified in the Master Strategy.
Neil.
Profit target is calculated on the average entry price provided by the broker.
MultiCharts does not include anything else.

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Re: Profit Target in Exit Strategy wrong by one tick

Postby Turing » 24 Sep 2012

In most cases
Hi Henry,

Thanks for your message, which is perfectly clear.

In order to avoid any misunderstanding, I was not asking for any modification of this feature. I just wanted to understand, so that I could adapt. With my current trading style, as I target a 4-tick profit before deduction of the commission, I have set today my automatic profit target exit order @ 3 ticks, and it works fine.

I kindly suggest that MultiCharts add your above explanation in the documentation, for instance by adding one sentence in https://www.multicharts.com/trading-sof ... fit_Target

Thanks again,

Nicolas
Thanks for updating the documentation. I had the same problem and had to refer to the manual. It's certainly legally robust to base the profit target relative to the average entry price provided by the broker.

This is a problem however, because it is impossible to automatically set a one tick target if the broker reports back average entry price including commission. The one tick is always pushed to two ticks away from average entry price before commission. Like Nicolas, and probably most traders, I envision a trade before factoring in commission.

The user is reduced to manually move the target that is two ticks away from average entry price before commission to one tick. A one tick target can be valuable because there is a high probability of it being hit and it can be used as part of a multi-target trading strategy as a first target to cover trading commissions.

Would MultiCharts consider handing back power to the user to manually deduct commission ($n per lot traded) first as the basis of calculating the profit target?


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