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OmniTrader Archives OmniTrader 2021 Technical Support PR2J Post Sim issue		Last Activity 11/21/2022 10:19 AM 17 replies, 1097 viewings

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Buffalo Bill

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Subject : PR2J Post Sim issue
Posted : 9/16/2021 8:48 AM
Post #48270

Here is a pic of my LIVE trading platform port sim result - first with PR2I installed then PR2J

NO other change made except installing 2J

What the heck?

Sooo which is closer to the truth? I NEED to know

BTW I am not the only person to see this. Randy H saw the same with his VBX-4 PS runs pre and post 2J install

[Edited by Buffalo Bill on 9/16/2021 8:50 AM]

Attached file : PR 2J PS issue.png (378KB - 196 downloads)

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Randy

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 9:44 AM
Post #48271 - In reply to #48270

Buffalo is correct that I have also seen Port Sim change between version 2I and 2J. Need confirmation on which is correct.

Thanks,
Randy

[Edited by Randy on 9/16/2021 9:52 AM]

Attached file : VBX4 OT2021v2I 20210915.png (77KB - 162 downloads)

Attached file : VBX4 OT2021v2J 20210915.png (91KB - 159 downloads)

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SteveL

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 11:06 AM
Post #48272 - In reply to #48270

Definitely a problem with VBX-4. Here's a comparison with the PR2I ToDo analysis compared with the PR2J ToDo analysis. The PR2I snapshots were taken after PR2J was installed, but prior to re-running ToDo analysis.

Attached file : VBX4 OT2021 PR2I.jpg (578KB - 160 downloads)

Attached file : VBX4 OT2021 PR2J.jpg (563KB - 154 downloads)

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 11:50 AM
Post #48273 - In reply to #48272

I know the reason behind this & a possible easy fix. I will post soon about it after I check a few things.

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Buffalo Bill

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 12:55 PM
Post #48274 - In reply to #48273

Cool. One question though - which version is more accurate (port sim wise) to what you might expect from our trading system? Or is it neither - your fix will give us a new and most realistic PS?

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 1:39 PM
Post #48275 - In reply to #48274

It's all about the SMA Profit Stop. Prior to 2J it basically only worked as a market on open basis even if set to a market order. After 2J that stop works different now as a market order vs market on open.

So VBX4's trade plan has the SMA stop set to a market order, so this changed the signals. If you just change only that stop in the trade plan to market on open, the results should be identical to 2i results.

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Buffalo Bill

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 2:54 PM
Post #48276 - In reply to #48275

Did any other stops/exits change? Anything else change that might effect PS results?

I posted my issue and it wasn't a VBX-4 run - mine is my own thing, many different strats but no VBX-4

[Edited by Buffalo Bill on 9/16/2021 2:57 PM]

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SteveL

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 3:20 PM
Post #48277 - In reply to #48275

Barry - I question the correctness of the PR2J SMA PT partial exit stop with "Market" order implementation. I've looked at several trades. The 75% exit is at the OPEN of the day that the trade crosses the SMA(10). It should not exit at the "OPEN" on the day the SMA is crossed. That crossing isn't known until the market closes.

[Edited by SteveL on 9/16/2021 3:23 PM]

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 3:43 PM
Post #48278 - In reply to #48277

Bill, the change only affected the SMA Profit Stop. Maybe you're using that stop?

I'm not sure, Steve, I'll check it out. I would think it should be the close of the bar & not the open.

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 5:30 PM
Post #48279 - In reply to #48277

Yes you're right Steve. We'll fix that asap, thanks.

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Randy

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Subject : RE: PR2J Post Sim issue
Posted : 9/16/2021 8:48 PM
Post #48280 - In reply to #48279

I confirm changing the SMA stop to MOO does bring the Port Sim back in line with 2I. Is any usage of a Market order affected with an order triggering at the open price the day the event occurs rather than the following day. Is this correct (until the fix is in place)?

Looking at the scenario Steve raised, I saw similar behavior with the Market order so it would need to act like the MOO order to simulate the 75% sell properly.

One additional question (once the fix is in place), if I have AutoTrade set to update the portfolio periodically during the day, will the Market order trigger a sell during the day but the MOO order only trigger the sell the next morning?

Thanks,
Randy

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/17/2021 9:45 AM
Post #48282 - In reply to #48280

We are going to revert the change in 2J to the SMA stop so that it works the same way it always has.

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Buffalo Bill

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Subject : RE: PR2J Post Sim issue
Posted : 9/17/2021 1:30 PM
Post #48290 - In reply to #48282

Should we download 2J (again) yet?

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Buffalo Bill

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Subject : RE: PR2J Post Sim issue
Posted : 9/17/2021 1:33 PM
Post #48291 - In reply to #48280

"I confirm changing the SMA stop to MOO does bring the Port Sim back in line with 2I."

Unfortunately not for me. #trades and HR still way low and MDD 50% higher (worse in more than one spot - 2018 and 2020) when compared to my 9/5 PS run under 2I

Not good

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/17/2021 1:49 PM
Post #48292 - In reply to #48291

PR2K will have the reverted change to the SMA stop. I don't have it yet, but will post here when it's ready.

Bill, are you using the SMA stop in any of your strategies?

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Barry Cohen

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Subject : RE: PR2J Post Sim issue
Posted : 9/17/2021 5:19 PM
Post #48293 - In reply to #48292

PR2K is live now.

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Buffalo Bill

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Subject : RE: PR2J Post Sim issue
Posted : 9/17/2021 7:21 PM
Post #48295 - In reply to #48292

Barry

Yea in most of them...

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Subject : RE: PR2J Post Sim issue
Posted : 9/19/2021 9:16 PM
Post #48297 - In reply to #48293

I just installed PR2K and am looking at the voteline and advisor for VBX-4. The SMA10 stop appears to now be exiting next day as expected, but the rising stop is sometimes, but not always, exiting on the opening of the day it triggers the stop. Other times it appears to exit following day as expected. I had not scrutinized this prior to PR2J so can't comment on if this is a new problem.
Edit: It appears that when the open is below the stop level, the trade is showing as exiting on the open of that day. If price passes through the stop during the session, exit is next day.

[Edited by SJ on 9/19/2021 9:33 PM]

Attached file : EarlyExit.jpg (31KB - 165 downloads)

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