Grid system doubling up/missing positions on backtesting

RidgeForrester

As you'll see in the screenshot, my Switchback grid system is not only skipping pip steps, it is doubling up on position sizes when backtesting. This occurs on both m1 and tick tests. On other occasions, it doesn't close out all positions and ends up making enormous positions.

https://clickalgo.com/forex-trading-system

Broker is TopFX, and I've set server time to UTC+0, although the same thing happens in my regular timezone of UTC+10.

clickalgo-switchback-forex-cadchf-t50-bug001.cbotset

4kB

switchback-bug-log.txt

84kB

2023-12-05-05-00-24-events-clickalgo-switchback-forex-cadchf-t50-001-001-false-true-false-false.csv

15kB

Sophia

You are using a lot exponent of 2.7, this is very high and will produce very large trade sizes, set this to 1 if you do not want the position size to increase (like doubling). The user guide will explain the volume multiplier in more detail.

https://clickalgo.com/grid-hedge-settings

The log file states you have reached your equity drawdown target of 10%, the trades will close, this is a standard feature when you are losing 10% of your equity, you can turn this feature off to disable it.

https://clickalgo.com/grid-hedge-settings#ds
https://clickalgo.com/grid-hedge-settings#grid

RidgeForrester

If you look at my settings you'll see if have the equity drawdown feature switched off. That still doesn't account for the missing pip steps and abnormal trade sizes.

Sophia

Trade will not always open on each pip step, this depends on your settings like max spread or if there are no trade signals.

With a pip step of 3 and the max spread of 3, if your spread widens no trade should open.

I would change your timeframe from t50 to 1 hour.

Your trades are doubling due to the lots exponent being set to 2.7 as I explained above.

I can help you with the lot size increase if you supply settings where the lot exponent is set to 1, when I set your lot exponent to 1 and the timeframe to 1 hour, with a backtest all the trade sizes were the same at 1K.

RidgeForrester

If you look at the screenshot you'll see there are two buy positions at 0.51 lots. How are these trades duplicating? I'm not referring to the exponent.

Sophia

This would be your settings, you have max open trades set to 1000, and with a tight pip step, it will open many trades with the same volume.

RidgeForrester

Isn't each trade supposed to grow by the exponent I set? If I have the exponent at 2.7, each trade should be 2.7x larger than the last, regardless of pip step.

Also, if we look at this screenshot, you'll see it's created enormous position sizes of 28 lots. How is this possible if my max buy/sell are set to 6 with an initial size of 0.01, since 0.01x1x2.7⁵=1.43?

clickalgo-switchback-forex-cadchf-t50-bug002.cbotset

4kB

RidgeForrester

Note this behaviour only occurs in backtesting. When I run it live it behaves the way it's supposed to.

Sophia

This could be because with a backtest you have a fixed spread value, and your settings are very tight for the symbol, try to backtest with ticxk data

RidgeForrester

As I said in original post the issue occurs both with tick and m1 backtests. Pip step size and spread shouldn't make a difference, especially with tick data - there is no circumstance in which it should ever make a position size of 28 under these settings nor create two positions of the same size in the same direction.

I'm not sure if this is a cTrader glitch or a Clickalgo one, but there is clearly a bug here. Can we please have this reclassified under bugs?

Mike

I still do not see this as a bug, if you set the lots exponent to 1 and the trade size to 0.01, all the trades are the same at 0.01 as you can see from the image below. So as far as I can see no trade size is large, if you still feel this is an issue can you provide settings so I can run a backtest to see the large trade sizes, but make sure you set the lot exponent to 1.

I took another look at your issue, the trades are not duplicating, they opened at different times, but the trade size was the same, this is down to the formula that is used for trade size calculation, you can find it in the user guide.

Trade sizes only increase using lots exponent when they are winning, if they lose they stay the same, in your example both trades lost.

https://clickalgo.com/switchback-settings-explained#smartgrid

We use a special formula to calculate the volume for each trade on a price retracement which does not follow the conventional method of a normal Grid-System, using our special formula there are other factors taken into consideration.

The volume of the last position.
If a position has lost or won.
The number of open positions for the trade direction.
If the open positions are above or below the last entry price.

A formula is applied to all the above values to determine the actual position size of a new trade, this helps reduce losses and increase winners.

Lots exponent example

Starting position size is 0.5 lots, the volume multiplier is 1.5, the next position that opens will have a position size of 0.5 x 1.5 = 0.75 lots and the one after that would be 0.75 x 1.5 = 1.12 lots.

The volume is reset when a trade loses and only multiplies for winning trades.

** If you set the lots limit value to 2 and turn this feature on, then the volume will never exceed 2K

Will the position size keep multiplying?

The answer is no, the position size will reset back to the starting volume depending on how many positions are open and the last entry price, our in-built formula will help reduce losses.