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I said:
> >I would use 1 for EUR as a minmove in GS so correct setup would be:
> >
> >Price Scale = 1/10000
> >PointValue = 125000
> >MinMove = 1
> >
> >If you use "12.5" as minmove you will have correct reults in
> >backtesting only if you use @ market orders to enter and exit. Any
> >other type of orders would require "1" as minmove to get you
> correct results.
Abhijit replied:
> No. You are implying market orders are somehow different from
> limit orders, even if the fill price is the same. How so?
> Right now EUR is trading 1.28xx. In my systems, I can replace
> all sell @ market with sell @ 1.2700 limit and I don't see
> how the results would be any different. I have MinMove set to
> 12.5, and all strategy results are correct.
>
> And yes, MinMove does seem to be 1, per TS help file.
> According to help.
> both PointValue and MinMove is of concern only in RadarScreen
> & OptionStation. This is supposedly not available in TS. But both
> Print(MinMove) & Print(PointValue) in a strategy prints 12.50 alright.
>
> But, according to help,
> MinMove*PriceScale*BPV = $value of smallest change in price.
> For EUR, MinMove*(1/10000)*125000 = $12.5 (a tick) so MinMove = 1.0
>
> Maybe TS pays no attention to whatever we set as MinMove?
> Only RS & OS cares? Maybe that's why Print(PointValue) in a
> strategy prints 12.5? A value of no significance (in a strategy)?
>
> Looks like your results in a strategy would be correct as
> long as you have your BigPointValue correct. Nothing else
> matters, assuming you have correct prices, of course. That is
> because, from help
>
> Close * BPV returns the current value of an asset. And why
> not - as long as TS can see I entered @ 1.2815 & exited @
> 1.2820, profit = $125000 * (1.2820 - 1.2815) = $62.50 -
> slippage - comm. Nothing else is needed to calculate this correctly.
>
> Thoughts? Comments?
Abhijit,
I do not agree with your comments.
You definitively have to use "1" as minmove. If you use (for a buy) stop (or
limit) orders, TS will round up to the next possible price (round down).
As an exemple, EUR moves in 0.0001 you have to agree with that.
Now, let's say market opens @ 1.3000 and that your "neverlose" system tells
you to buy on stop @ (open traded price + whatever calculation here).
That "whatever calculation here" gives a number that is 0.0013967 (lets
forget rounding stupid TS problems)..
Then your system order becomes Buy EUR @ 1.3014 Stop.
TS then will look at the next possible price available using the minmove
value used in GS.
Then in your case (with 12.5 minmove), you will buy @ 1.3025
In my case with 1 minmove) I will buy @ 1.3014
Thus only market orders will not be affected because TS do not then use the
minmove but only the next open bar.
You should test a simple system that calculates a price to enter/exit on
stop and/or limit and you'll see the big difference in results.
MinMove is definitively very important in GS.
Bob (Fulks) we need your science on this please ;-)
Good trading
--
Maxime
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