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Forex Forum → Premium Club → Cannot match FSBPro and Mt4 trades?

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1 (edited by sammjacks 2022-08-06 11:22:26)

Topic: Cannot match FSBPro and Mt4 trades?

Hi,

I am having a really frustrating time trying to match FSBPro and Mt4 backtest results. What I have done is import Dukascopy data on M1, M5 and M15 to MT4 and then imported this to FSBPro. I have also used FSB to download the data and for any strategy I select in FSBpro the result is basically the same for using either my Dukascopy data or the FSB pro downloaded data which should be the same and is showing to be:-). Happy up until this point.

BUT I then select the same 18 months (2020.01.01 - 2021.06.01) in both FSBpro and MT4 and perform a backtest (Using control points in MT4) and the results I get are very different. The times and dates of trades are also so completely different that I am struggling to see where I could have made a mistake :-(

My FSBpro gives a final net balance of 18763 but MT4 gives a much lower than this. In the attached zip file is the following:

- The FSBpro expert advisor
- The FSBpro screenshot of strategy and results
- A screenshot of the FSBPro jnl file
- The MT4 backtester report

I have no commision set in FSBPro, everything is matching as far as I can see?

Any help hugely appreciated on this one!

Any help much appreciated, I'd be pulling my hair out if I had any left

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FSBPro_Support.zip 539.96 kb, 10 downloads since 2022-08-06 

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Re: Cannot match FSBPro and Mt4 trades?

> can only add single image to each post

You can add many files/images one by one.


Ops. I probably deleted yor attachment when I tried multiple file uploads.

Re: Cannot match FSBPro and Mt4 trades?

That's okay I just updated the post and added a zip file with a few screenshots and MT4 backtest file

Re: Cannot match FSBPro and Mt4 trades?

Hopefully its easy enough to see what I am doing wrong but I have spent so much time chasing my tail with trying to get this to match I am stumped. No doubt Ill feel like a right dafty when you point it out of course!

5 (edited by sammjacks 2022-08-06 11:49:33)

Re: Cannot match FSBPro and Mt4 trades?

Edited

6 (edited by sammjacks 2022-08-06 11:56:44)

Re: Cannot match FSBPro and Mt4 trades?

Ah, I am using the ATR stop idicator and that value is not showing up on FSBPro idicator information but is showing up on MT4? Could that be the problem?

See attached file

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Re: Cannot match FSBPro and Mt4 trades?

I'll examine the case this evening.

Re: Cannot match FSBPro and Mt4 trades?

Much appreciated Popov :-)

9 (edited by sammjacks 2022-08-06 20:47:59)

Re: Cannot match FSBPro and Mt4 trades?

I dont think its to do with the ATR stop loss indicator. I just removed that and attached the indicator comparison below. Indicator values are matching but results pretty different.

I can see that mt4 has an extra 1000 bars in test but this can only be a small part of the difference. Why would this be though as the dates are the same? The maximum bars any of the indicators in this strategies needs in 91?

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10 (edited by sammjacks 2022-08-06 21:02:37)

Re: Cannot match FSBPro and Mt4 trades?

Hi Popov, to simplify I modified the strategy to use the nono indicator instread of atr stop loss and removed the adding. I also adjusted the start date and time so that FSBpro and Mt4 first trade both start at exact same time.

I have attached a screenshot.

Its odd, they both open and close the trade at the same price and yet FSBpro profit is about twice as much? I have both set to 10 spread and all other settings the same?

Any thoughts?

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Re: Cannot match FSBPro and Mt4 trades?

I'm receiving virtually the same performance in FSB pro and MT4.

https://image-holder.forexsb.com/store/test-str-audnzd-m15-fsb-thumb.png

https://image-holder.forexsb.com/store/test-str-audnzd-m15-mt4-thumb.png


Do you use proper commission? It is not visible in MT but it calculates sad
I use $6 for entry and exit for JFD.


I take a look at your screenshots for a clue.

Re: Cannot match FSBPro and Mt4 trades?

From : https://www.dukascopy.com/swiss/english … -schedule/

The volume commission is charged in the primary currency for each opening or closing trade. Volume commission rate is expressed in USD per 1 million USD traded.

The commission is 3.5 USD per lot per side.


https://image-holder.forexsb.com/store/test-str-audnzd-m15-fsb-commission-thumb.png

Re: Cannot match FSBPro and Mt4 trades?

I thought MT4 did not calculate the commission? That could be the issue then

Re: Cannot match FSBPro and Mt4 trades?

> I thought MT4 did not calculate the commission?

It always calculates but never shows sad

15 (edited by sammjacks 2022-08-06 21:35:29)

Re: Cannot match FSBPro and Mt4 trades?

Something still doesnt seem to be adding up. with the profit value.

I can see that the position is long and that the buy price is 1.04293 and the sell price is 1.04261. This is a profit of 32 point and then 10 is to be subtracted so this gives a nett profit of 22 points right.

Then if I calculate the profit in USD for this number of points manually (ignoring swap and commission) I calculate a profit of 2 USD? But FSBPro is calculating 4.63? in this case mt4 seems much closer with its 1.99 calculation

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Re: Cannot match FSBPro and Mt4 trades?

So ignoring that fact that MT4 isnt matching FSBPro, shouldn't the "profit loss" value in the Results_Compare3.png file above be 1.99 instead of 4.63?

Re: Cannot match FSBPro and Mt4 trades?

Done this check several times now, it definately is just looking like the profit value calculated based on the points is just to high in FSBPro. Is there a setting I am missing somehow?

Re: Cannot match FSBPro and Mt4 trades?

Done this calc several times using different calculators and also by hand. Feeling very sure that the profit loss for this trade should be 1.99 USD excluding any commissions.

Everything looks fine in the forexrates.json file also. Im sure there is something super simple I am missing but I am hugely puzzled??

{
  "AUDUSD": 0.69103,
  "EURUSD": 1.01777,
  "GBPUSD": 1.20734,
  "USDCAD": 1.29354,
  "USDCHF": 0.96168,
  "USDJPY": 134.985,
  "AUDCAD": 0.89388,
  "AUDCHF": 0.66451,
  "AUDJPY": 93.278,
  "AUDNZD": 1.1068
}

Re: Cannot match FSBPro and Mt4 trades?

You are right.

The problem is in the application of the conversion rate.


It must be calculated as follows:

Profit = lots*(barClose - posPrice)*lotSize/exchangeRate
where: exchangeRate = barClose / AUDNZD

Now FSB Pro calculates the exchange rate wrongly as: exchangeRate = AUDNZD

I already fixed it but cannot upload it because I have to renew the FSB Pro Code signing certificate.

I'll do it on Monday.

Thank you for reporting this issue!

Re: Cannot match FSBPro and Mt4 trades?

Also I am currently using the new 3.9.5 FSBPro, that I updated to only a couple of days ago.

A seperate small bug seems to be that I cannot change the account currency from USD, anytime I try it just reverts back to USD.

Re: Cannot match FSBPro and Mt4 trades?

Absolutely excellent Popov. This has had my head in a spin for nearly two whole days!

I cannot tell you how relieved I am that we have it resolved now :-). Thought I was going mad!!!

Re: Cannot match FSBPro and Mt4 trades?

How will I get the latest code after the fix? Can you send me a link to where to download the latest version with the fix once it is updated please :-)

Re: Cannot match FSBPro and Mt4 trades?

It looks correct in that way for the case where we have a fxRate for the "base currency" + "account currency"

lots * (close - open) * lotSize * fxRate / close
0.1 *(1.04293 - 1.04261) * 100000 * 0.69103 / 1.04293 => 2.12

In that case:
Base currency   : AUD
Account currency: USD
Profit currency   : NZD
FX rate             : AUDUSD

Re: Cannot match FSBPro and Mt4 trades?

Yes that’s looking right to me and is how I calculated it manually. Was expecting to get exact same answer as online calc but close and that’s how I understand it should be calculated.

25 (edited by sammjacks 2022-08-07 21:53:51)

Re: Cannot match FSBPro and Mt4 trades?

Hi Popov, this bug has also become present in EA studio.

I am sure I checked this in the past and everything matched up though so it must have been included during a recent update?

Note the circled values. Exact same problem. My calculation agrees with MT4 value. In EA studio commission and swap set to zero.

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