Performance Report shows different results from TS2ki

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2haerim
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Performance Report shows different results from TS2ki

Postby 2haerim » 10 Mar 2008

if time = 0904 then buy this bar on close;
setstoploss(1 * bigpointvalue);
setexitonclose

When the above simple signal is applied to both MC and TS, the performance reports are different.

It seems that MC counts slippage twice.

Please check this out.

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Andrew Kirillov
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Postby Andrew Kirillov » 12 Mar 2008

MC behaves differently. TS doesn't use commission /slippage in stop loss/profit target and trailing stop.
We do.
So simply set zero in commission /slippage settings and it will work the same.

2haerim
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What's wrong with SPR?

Postby 2haerim » 12 Mar 2008

MC behaves differently. TS doesn't use commission /slippage in stop loss/profit target and trailing stop.
We do.


[signal]
If Time = 905 Then
Buy 1 contract this bar on close;

SetStopLoss(1 * BigPointValue); // BigPointValue is 500,000

[Symbol Info]
BigPointValue : 500,000
Price Scale: 1/100
Min Move: 5

[result 1]
Init Cap: 10,000,000
Slippage: 25,000
Entry price : 213.35
Exit price: 212.25 => Why 212.25, not 213.35?
Profit: -600,000 => We have one entry and one exit. Why 4 slippages, not 2?

[result 2]
Init Cap: 10,000,000
Slippage: 2,500
Entry price : 213.35
Exit price: 212.35 => Here, we have exactly one BP unlike the above result 1
Profit: -505,000 => We have one entry and one exit. And we have 2 slippages here. This is correct unlike the above result 1

[result 3]
Init Cap: 10,000,000
Slippage: 10,000
Entry price : 213.35
Exit price: 212.30 => Here, I don't understand how this value is obtained
Profit: -545,000 => No idea how this value is calculated either

[Questions]
Regarding [result 1],
1. Shouln't the exit price be 212.35 which is 1 BP is less than the entry price?
2. Since we have 2 trades, the total slippage will be 2*25,000=50,000.
Therefore, the result profit(actually loss) value should be 1 BP plus 2 slippages. => -500,000 - 50,000 = -550,000.


Please explain what is wrong with my calculation.

Also explain how all these values for result 1-3 are calculated.

What is the complete rules for calculating the profit/loss?


So simply set zero in commission /slippage settings and it will work the same.


Setting zero in commission/slippage settings hides this wrong profit calculation problem. Therefore, it is meaningless to do that.

The critical point here is that MC SPR doubles all the slippages and commissions, and that is wrong.

momentum
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Postby momentum » 13 Mar 2008

I think what u r seeing is that TS uses comms and slippage round trip while MC does it on a per side basis.

2haerim
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Why 4 slippages, not 2 for result 1?

Postby 2haerim » 13 Mar 2008

One slippage on entering and one slippage on exiting should make two slippages.

But the result 1 shows 4 slippages. Why?

Please explain how profit/loss is calculated in very detail so that all these confusion and misunderstanding is eliminated.

2haerim
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SPR shows the same bug with SetProfitTarget too.

Postby 2haerim » 17 Mar 2008

Andrew,

Last night, Marina confirmed the bug with the wrong slippage calculation in SetStopLoss.

And I also checked with SetProfitTarget and found the same bug.

All the signals starting with "Set" may share the same bug.

Please check all the built-in signals for wrong slippage calculation.

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Marina Pashkova
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Postby Marina Pashkova » 19 Mar 2008

Hi HaeRim,

Thank you for reporting the bug!


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