Back testing glitch

croucrou
14 Aug 2016, 14:05

I don't know, but isn't this related to the question I have asked here:

/forum/cbot-support/10059

lec0456
14 Aug 2016, 20:06

why would a negative spread have anything to do with it?  it seems to me like more of a problem with the backtesting engine 

lec0456
14 Aug 2016, 20:10

RE:

croucrou said:

I don't know, but isn't this related to the question I have asked here:

/forum/cbot-support/10059

I looked at your thread but not sure if its the same thing.

At first this looks like an asynchronous verses synchronous issue.  but the trades stop after a period of time.  It occurs on specific days like 7/9/15 and others. 

lec0456
14 Aug 2016, 23:41

Ah!!!!! Thank you very much for that explanation.  I will do some testing and see if that's what's happening in my case.  I bet it is.

So, I would just program the robot to not trade with a negative spread during back testing, so i get more realistic results but leave it in during live trading just in case I get lucky.

lec0456
15 Aug 2016, 02:49

I would have never in a million years thought the platform backtesting engine would be producing negative spreads as large as 10 pips, but yes you were correct.

I just threw these lines of code in to stop the behavior while backtesting. 

if(!Account.IsLive && Symbol.Spread/Symbol.PipSize<=-10)
        	{
        	   //Print(MarketSeries.OpenTime[MarketSeries.Close.Count - 1].ToString("MM/dd/yyyy HH:mm")+" Neg Spread: "+Math.Round(Symbol.Spread/Symbol.PipSize,2));
        	   return;
        	}

Balena
15 Aug 2016, 05:01

This scenario can happen a lot in certain markets when someone crosses the market to pile out or load up quickly... usually happens very quickly and at times of information release or session open/close

lec0456
15 Aug 2016, 06:25

RE:

lec0456 said:

I would have never in a million years thought the platform backtesting engine would be producing negative spreads as large as 10 pips, but yes you were correct.

I just threw these lines of code in to stop the behavior while backtesting. 

if(!Account.IsLive && Symbol.Spread/Symbol.PipSize<=-10)
        	{
        	   //Print(MarketSeries.OpenTime[MarketSeries.Close.Count - 1].ToString("MM/dd/yyyy HH:mm")+" Neg Spread: "+Math.Round(Symbol.Spread/Symbol.PipSize,2));
        	   return;
        	}

 

Correction !Account.IsLive should be IsBacktesting.

davidp13
27 Nov 2016, 20:08

Hi. I also picked up something funny. Could not figure out if it was -ve spread. I posted what I found here - /forum/calgo-support/10976

For some reason using null in the TakeProfit filed while calling ModifyPosition caused issues. Does not make sense to me.