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> Seems to good to be true.
It is.
> Since joining this group I dont trust trade station but wonder if I
> could have inadvertently set it up to give unreliable but encouraging
> results.
You almost certainly did. Here's the clue:
> Avg # bars in winners 0 Avg # bars in losers 0
That means that almost all trades exit on the same bar they entered.
Which means that Tradestation is making assumptions about how the
price actually moved within that bar. And, unfortunately, it tends
to make very optimistic assumptions. You probably ran into this
because you used tight trailing stops.
For example: let's say you have a trade in a bar with O=104, H=110,
L=100, C=106. Let's say you have a 5pt trailing stop, and you enter
the trade at the open.
Because the Open is lower than the Close, TS assumes the price went
smoothly from 104, to 100, to 110, to 106. You entered at 104, so TS
thinks the market never went more than 4pts against you -- 104 to
100, and 110 to 106. TS is happy, it says you ended the day with a
2pt profit, and you're fooled. Because what happens if the price
actually went 104-110-100-106? Then you'd have been stopped out. In
this case you still would have made a 1pt profit, but hopefully you
see the problem.
TS also runs into this problem anytime you have more than 1 stop
within a bar. E.g. let's say you had an order to enter at 108, and a
4pt MM stop. Again, TS assumes the price went 104-100-110-106. In
that case your order got filled at 108, the market went 2pts against
you, and you exit the bar 2pts in the hole. But what if the price
actually went 104-110-100-106? In that case you got filled at 108,
the market went 2pts in your favor, then went down to 100 and stopped
you out for a 5pt loss.
To avoid this problem you must make sure you don't have multiple
stops in the same bar. If necessary, run your system on smaller bars
(maybe 60min instead of daily). You're also a lot better off if you
DO NOT use the TS built-in trailing stops. If you need trailing
stops, then write your own. They're less likely to run into this
problem. Don't trust ANY trades that enter & exit on the same bar.
BTW, these comments apply to TS4, which I think is what you're
running. In TS2k it's possible to have it look "inside" a bar
(assuming you HAVE data inside the bar, i.e. you're not feeding it
EOD-only data) and execute the stops properly.
Gary
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