Backtesting for hedged accounts

Spotware
28 Mar 2014, 10:14

There is no netting functionality in backtesting. Probably you have a mistake in code of your cBot.

Try to backtest the following cBot and you will see that positions are not merged:

using System;
using System.Linq;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

namespace cAlgo
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class NewcBot : Robot
    {
        [Parameter(DefaultValue = 0.0)]
        public double Parameter { get; set; }

        protected override void OnStart()
        {
            ExecuteMarketOrder(TradeType.Buy, Symbol, 10000);
            ExecuteMarketOrder(TradeType.Sell, Symbol, 10000);
        }

        protected override void OnStop()
        {
            foreach (var p in Positions)
                ClosePosition(p);
        }
    }
}

AlexanderRC
01 Apr 2014, 04:25

RE:

That code works as intended. I even modified it to open 3 distinct Buy orders in 3 consequtive OnBar() invocations. The positions are distinct both for netted and hedged demo accounts.

The problem with me thinking that position was merged was that the line for long running position was above or below on the backtesting chart. When I clicked on the Graph tab, i only saw one the line for one position (instead of several lines for several positions) because the local chart quotes around the clicked position did not cross the lines of other positions which were hidden as they were off chart due radically different open and close prices.