Backtesting data issues
Backtesting data issues
18 Aug 2021, 13:16
Hi,
I'm hoping someone can help....
I'm backtesting some code and get very different results in the way it operates purely if I change the back test date range.
The fact it blows the account isn't the problem but when it happens changes depending on the end date of the backtest.
The first time I ran it from 01/09/19 to 30/06/21 and it blew the account on 05/09/19
The second time I ran it from 01/09/19 to 30/09/19 and it blew the account on 13/09/19 no other parameters were changed, just the end date of the back test.
I have deleted all the tick data and re-loaded it and the same problem occurs. I have also tested this on 3 different machines in 2 different locations and get the same results.
Can anyone shed some light as to why this happens ??
Screenshots of both backtests below.
Replies
lisabeaney
18 Aug 2021, 14:19
RE:
Thank you ! That makes sense knowing how the take profit point is calculated :)
PanagiotisCharalampous said:
Hi Lisa,
This probably happens because of currency conversions. The position's P&L is converted to your account's currency based on the conversion rate of the backtesting's last date. Hence moving the end date back and forth can cause positions having slightly different P&L, resulting to a different overall performance for your execution.
Best Regards,
Panagiotis
@lisabeaney
PanagiotisCharalampous
18 Aug 2021, 14:09
Hi Lisa,
This probably happens because of currency conversions. The position's P&L is converted to your account's currency based on the conversion rate of the backtesting's last date. Hence moving the end date back and forth can cause positions having slightly different P&L, resulting to a different overall performance for your execution.
Best Regards,
Panagiotis
Join us on Telegram and Facebook
@PanagiotisCharalampous