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Bug in Parabolic SAR

Posted By andvac 7 Years Ago
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Posted Friday May 21 2010
Hi,

I have a trading system based that uses the Parabolic SAR indicator. The indicator behaves differently between live mode and simulation. In particular, in live mode the indicator "flipped" from a sell signal, to a buy signal, to a sell signal again that made me lose quite a lot of money. In simulation mode, the indicator never flipped between sell and buy (see images below).

I noted that you fixed a bug in the latest release (21). Was it related to this behavior. If so, which one of the two version is the correct one?

Thank you,

AV

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parabolic_live.png (292 views, 71.00 KB)
parabolic_simulation.png (279 views, 71.00 KB)
Posted Monday May 24 2010
The calculation is the same regardless of simulation or live mode. The indicator cannot differentiate. However, Parabolic SAR is sensitive to lead values since it takes the previous SAR calculation. Meaning if you starting from a different point in the bar dataset, it is possible to have different SAR values.

andvac (5/21/2010)
Hi,

I have a trading system based that uses the Parabolic SAR indicator. The indicator behaves differently between live mode and simulation. In particular, in live mode the indicator "flipped" from a sell signal, to a buy signal, to a sell signal again that made me lose quite a lot of money. In simulation mode, the indicator never flipped between sell and buy (see images below).

I noted that you fixed a bug in the latest release (21). Was it related to this behavior. If so, which one of the two version is the correct one?

Thank you,

AV


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