• Registered: 2009-11-16
  • Posts: 46

Topic: Abnormal entries on FST

Popov,

On a duly tested FSB strategy that I run with FST, I am currently experiencing abnormal discrepancies (way above normal slippage) on ENTRIES only, whereas my EXITS are quite normal (low slippage).

Do you see any rational explanation (see here-attached summarized snapshots).

Thanks.

Alain
http://s1.postimage.org/hKew0.jpg

  • Popov
  • Popov
  • Lead Developer
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  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,986

Re: Abnormal entries on FST

There are two possibilities:

1. FST opens a position at the best possible price. For example if you have to open long at a Bollinger Band 1.2535 and the current price is 1.2534. If the next tick goes to 1.2538, FSB will open long at 1.2538.

2. Your indicator is based on close price but it doesn't use previous bar value. That means that the entry level is correct at the moment of the trade but the indicator changes it's value till the end of the bar. Actually you have a correct entries only for the bars with equal open and close prices. That's the reason all the indicators (except this special one you are using at the moment) has automatically adjusted "use previous bar value" parameter.

Popov's Website

  • Registered: 2009-11-16
  • Posts: 46

Re: Abnormal entries on FST

Popov,

That's exactly what I could "feel" but I was not quite sure until you described it.

Actually, it's quite clear when one 'monitors" the forming of a current bar :
the bar might hit a certain price at a certain point (intrabar), but once the 5-min bar is completed the "formed" BB bands are definitely not right at the place they were at where the entry-price was entered ... !!!

Now, I FULLY  understand why Mr Miroslav Popov DOES recommend to use the 'previous bar value' option !!!!!

(I needed a live example  to understand !!!)

Thanks for all.

Alain

  • Popov
  • Popov
  • Lead Developer
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  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,986

Re: Abnormal entries on FST

Hi Alain,
I'm glad that this foggy option "Use previous bar value" is clear for you. In the first releases of FSB this option was manually controlled and I saw many backtests like this:

http://s4.postimage.org/1JizmA.jpg

Can you explain for the users where the pitfall is?

Popov's Website

  • Registered: 2009-11-16
  • Posts: 46

Re: Abnormal entries on FST

Popov,

This one is a 'COLLECTOR' !!!
Will you allow me to frame it and post it on the wall right above my chimney  ;-)  ... ?

This report shows exactly the limits of what smart people like you (no flattery intended) try to do with deluded morons like me : TO EDUCATE THEM !!!!

You're damn right, this is non sense to take an intrabar tick-by-tick position on a chart if entry conditions are based on 'current' indicators !!!

Thanks for your constant care and precise explanations.

Alain.