Topic: Strange behavior of a strategy

I tested a strategy in FSB Pro which will give EXTREMELY good results on 1h chart. This is valid for parameters as in included strategy definition file. Same strategy, with same parameters, will give almost immediate Margin Call when tested on FSB.

Also if parameter “Entry units for a new position” for this strategy will be changed in FSB Pro (in Strategy Properties) from 3,00 to 2,99 or from 3,00 to 3,01 the strategy will also immediately give Margin Call. This very small change in parameters point to a probable bug, also confirmed by different behavior of FSB and FSB Pro for this strategy.

I have tested this behavior both on FSB Demo data included in FSB Pro, but also on my one set of data downloaded from Alpari server.

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1h_EurUsd_DetrendedOscillator.xml 11.81 kb, 7 downloads since 2014-05-29 

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Re: Strange behavior of a strategy

What's the data horizon?

Re: Strange behavior of a strategy

2013-03-01 to 2014-05-19 for Alpari

Re: Strange behavior of a strategy

Herd wrote:

2013-03-01 to 2014-05-19 for Alpari

In FSB Pro I also get a margin call but nothing changes when I slightly change the new units.

Re: Strange behavior of a strategy

I have been testing using leverage of 500. When changing to another leverage described strange behaviour will not appear.

Re: Strange behavior of a strategy

I have tested this behavior once again on FSB Pro and it reproduces constantly in same strange way. But it happens only for exact values of parameters as shown here: the starting equity has to be 300€, the leverage has to be 500, the historical data set has to be the one included with FSB Pro – FSB Demo data EURUSD, H1. All other units has to be as those shown in strategy description file.

The strategy takes the starting equity from 300 to around 30000€ under one year time. But when I will change “Initial account” (in  “Account / Account settings”) from 300€ to 301 or to 299 the strategy changes from a superb one to immediate margin call. If “Entry units for a new position” (in Strategy Properties ) will be changed from 3,00 to 3,005  the result always changes to margin call.

But - I tried to run this strategy through Optimizer and I found that the strategy becomes even better, giving at the end of year equity of 35258€ - so some parameters can be changed without ruining the strategy.

I thought that this can be a case extreme curve fitting. But if this strategy is tested under FSB, this behavior will not take place. I wanted to attach here image of the Balance / Equity Charts showing progression from 300€ to 35258€, but I don’t yet know how to insert images – I am rather new to this forum. I will attach here the image file (instead for inserting the image into text)

http://s7.postimg.org/593d4gi9j/1h_Eur_Usd_Detrended_Oscillator.jpg

(Edited: image included in the post by using postimage - rightmost icon in the toolbar)

Re: Strange behavior of a strategy

Herd I cannot reproduce the described behavior.

Please use the default FSB data and zip and attach your strategy, data source file and profile file.
You can find these files under the C:\Program Files\Forex Strategy Builder Pro\User Files\System folder:

http://s7.postimg.org/4kuilijjr/screenshot_385.jpg

Re: Strange behavior of a strategy

Mr Popov, thank you for looking at this subject. I am attaching the requested files here.

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TEMP.ZIP 5.95 kb, 2 downloads since 2014-05-31 

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Re: Strange behavior of a strategy

The first discrepancy I noticed is that the Free version of FSB doesn't fills data gaps correctly for bar 121 only!!!

http://s7.postimg.org/juyz6g4fr/screenshot_386.jpg

If you remove "Fill in data Gaps" option, both programs will show the same result.

Re: Strange behavior of a strategy

Everything with the calculations is normal.

The problem is that the position opens very large amount comparing to the initial account value - up to 19 lots.
When the initial account is exactly 300 Eur - the positions pass just below the limits. If you increase the account to 301 Eur. Order No 929 on bar No 563 is canceled because it goes to add 0.88 lots to a position of 19.18 lots - total amount = 20.06, which is above the limit of max 20 lots.

When the initial account is 300 eur, this order is not canceled and FSB sets a new SL/TP. This makes the difference.

Set Account representation in points, if you wan to compare the values easily.

http://s7.postimg.org/k90b61ojb/2014_05_31_19_37_06.jpg

Re: Strange behavior of a strategy

Mr. Popov, thank you for your explaining of this (odd) behavior. Having your explanation on hands, which shows your way of thinking to find a solution, allows me now to play with numbers and look at the journal - all this will help me to understand the inner working of FSB and FSB Pro better.