Dear Matthew,
please refer to my system Cassiopeia. There seems to be a bug in the Euro to Dollar conversions in C2.
If I activate the "show real trades from subscriber broker accounts" function, the results showed are in Euro despite of having the currency symbol $.
Furthermore, until recently, the "Keep after worst-case slippage" factor was always 100% reflecting the fact that I autotrade the system and that the reported fills are always "corrected" to show my real life results. However, since a couple of days I have noticed that the factor is significantly lower than 100% although the real-life fills are taken in the report.
Why is this? I do not understand it well. The factor would be correctly lower than 100% to take into account the slippage that occurs from limit orders if the real-life fills were not reported, but this is actually the case.
Hope this does not cause too much burden.
Thank you in advance.
by the way, I believe that the drawdown figures for the trades are also showing Euro values.
Due to that, since the trade results are reported in dollar, the actual APD factor for Cassiopeia is probably a factor of approx. 1.55 lower than the system statistics box show right now.
This drawdown also needs correction.
[LINKSYSTEM_31126530]
Any feedback about this?
It is true that the feature “Show real trades from subscriber broker accounts” assumes all futures contracts are denominated in dollars. It also is true that several of the futures you trade are European and are denominated in Euros. So the display is incorrect in the sense that cumulative P/L has a dollar sign ($) while showing Euro results. This will need to be fixed in the next upgrade of the “Show real trades…” section. However, please note that this does not affect your general system stats, since all other statistics properly handle currency conversion.
Regarding the “Keep after worst-case slippage…”:
This statistic has always caused trouble. It is meant to call attention to systems that scalp small profits on instruments with wide bid/ask spreads (the implication being that real-life results will be eaten by slippage). But in fact, as you rightly point out, Jose, C2 actually adjusts the fill prices that are shown in the trade track record to reflect the actual fills received by AutoTraders. So systems with AutoTraders already have slippage taken into account. I’ll need to add some logic to adjust the “Keep after worst-case slippage…” stat for those systems with real-life AutoTraders. This is medium-term project, and probably not something that will happen right away. Thanks for pointing out the issue, though.
