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Direct MessagesDate/Time: Wed, 15 May 2024 00:54:14 +0000
Post From: LMAX backtest profit/loss calculation
| [2015-01-19 12:45:41] |
| Entropy - Posts: 36 |
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I am backtesting on 5 min bars on LMAX data. As far as I have understood 10 lots in SC equals 1 standard lot in LMAX (100 000 currency units). I opened a demo account (just to make sure) on LMAX and 10 lots equals 1 standard contract (100 000 currency units), which I assume is the same as yours. However when I backtest, it doesn't seem to calculate it properly. Below is some of trades executed: Symbol Trade Type Entry DateTime Exit DateTime Avg Entry Price Avg Exit Price Entry Quantity Exit Quantity Max Open Quantity Profit/Loss Cum P/L Runup Drawdown Max Open Profit Max Open Loss Entry Efficiency Exit Efficiency Total Efficiency Commission
[Sim]GBPUSD Short 2014-03-26 03:40:00 2014-03-26 03:55:00 1.65342 1.65330 10 10 10 1.20 1.20 2.65 -1.00 2.65 -1.00 72.60% 60.27% 32.88% 0.00 [Sim]GBPUSD Short 2014-03-26 07:45:00 2014-03-26 08:30:00 1.65217 1.65398 10 10 10 -18.10 -16.90 2.00 -35.60 2.00 -35.60 5.32% 46.54% -48.14% 0.00 [Sim]GBPUSD Long 2014-03-26 08:35:00 2014-03-26 08:40:00 1.65370 1.65389 10 10 10 1.90 -15.00 2.70 -0.80 2.70 -0.80 77.14% 77.14% 54.29% 0.00 [Sim]GBPUSD Long 2014-03-26 08:50:00 2014-03-26 09:10:00 1.65317 1.65357 10 10 10 4.00 -11.00 6.90 -6.15 6.90 -6.15 52.87% 77.78% 30.65% 0.00 [Sim]GBPUSD Long 2014-03-26 09:25:00 2014-03-26 09:40:00 1.65326 1.65311 10 10 10 -1.50 -12.50 1.40 -7.00 1.40 -7.00 16.67% 65.48% -17.86% 0.00 [Sim]GBPUSD Long 2014-03-26 13:05:00 2014-03-26 13:10:00 1.65404 1.65485 10 10 10 8.10 -4.40 10.60 -1.00 10.60 -1.00 91.38% 78.45% 69.83% 0.00 [Sim]GBPUSD Long 2014-03-26 15:25:00 2014-03-26 15:30:00 1.65593 1.65623 10 10 10 3.00 -1.40 5.25 -0.85 5.25 -0.85 86.07% 63.11% 49.18% 0.00 [Sim]GBPUSD Long 2014-03-26 15:35:00 2014-03-26 15:45:00 1.65575 1.65615 10 10 10 4.00 2.60 4.80 -1.00 4.80 -1.00 82.76% 86.21% 68.97% 0.00 [Sim]GBPUSD Long 2014-03-26 16:35:00 2014-03-26 17:05:00 1.65662 1.65630 10 10 10 -3.20 -0.60 1.35 -9.55 1.35 -9.55 12.39% 58.26% -29.36% 0.00 Taking the first trade, the profit/loss is reported as 1.2 pips or 1.20 currency units with 10 lots. If 10 lots in SC equals 100 000 currency units the profit/loss with 10 lots should be 12.0 currency units, not 1.20. I probably have missed something here, so please explain what is wrong. Thanks! Cheers |