Back-test inconsistent results

• 08/26/2022 at 3:29 AM #199648
  Peter Dazeley

  When running a back test this morning I noticed that a trade appears on some back-tests and not others. I have attached two graphics to highlight the differences.   The strategy is live and the missing trade did occur in the live system. I ran the back-test multiple times and the results flipped between the two outcomes on an apparently random basis. This is not helpful. This is not a new strategy it has been live for several months. Also, in  the graphics, I have graphed the flag which indicates when the market is open to trade (given that the Day and DayOfWeek parameters in PRT are of no use in Australia). You will note that when the trade does not occur that the flag indicates that the market closes at 8:10 AM Aus time rather than 6:00 AM Aus time which is on the other graphic and is correct. Is there something I can do to correct this?  As is it it renders back-testing unreliable.

  

  Peter Dazeley

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  08/26/2022 at 4:54 AM #199650
  Peter Dazeley

  It looks like the second graphic did not attach. Here it is.   …Peter D.

  

  Peter Dazeley

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  08/29/2022 at 9:05 AM #199773
  Nicolas

  Ok, so it seems to be linked to a time condition in the code that test if the market is open or not? That behaves not the same on each backtest, right?

  

  Nicolas

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  08/30/2022 at 12:48 AM #199857
  Peter Dazeley

  I don’t think the trade not  occurring and the time flag missing the end of day time  are linked even though they occur at the same time. I can run the back-test several times in quick succession and the result flip flops between the two outcomes ( apparently randomly). I note that the trading day in question was August 26. Now that it is not the latest day I cannot reproduce the problem for that day. No changes were made to the code. At this stage I am OK to acknowledge it as a one-off glitch and move on although still a bit worrying. I will be on alert to see if it occurs again. It was brought to my attention by the fact that a live trade occurred but did not appear in the back-test.   …Peter D.

  

  Peter Dazeley

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  08/30/2022 at 1:14 AM #199858
  Peter Dazeley

  Latest update. I can reproduce the problem in the past.  I just ran the back-test 12 times. The problem occurred on 5 occasions. It still seems to be random.   …Peter D.

  

  Peter Dazeley

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  08/30/2022 at 10:05 AM #199867
  Nicolas

  The best thing to do is to send a technical report (with a link to this topic in the message content) within the platform help tool.

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  Peter Dazeley

  

  Nicolas

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