0.00 ABS Perf in backtest with cumulating positions

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07/17/2018 at 10:19 AM #76118 quote

Vonasi
Moderator

Master

I’m getting some weird results in a strategy backtest. There are loads of trades that are showing 0.00 for Abs Perf. The strategy is an end of day strategy on a daily chart that cumulates positions and sells all open positions in one go at candle close. I have tried the strategy with both variable position sizing and a fixed position size and there are always these 0.00 Abs Perf trades in the results. The strategy performs very well but these 0.00 trades are making me question the results. Can anyone explain why they are appearing?

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07/17/2018 at 9:01 PM #76186 quote

GraHal
Participant

Master

The obvious (but unlikely??) explanation is that the Trade exited at zero gain or loss??

Do the entry and exit price tally (allowing for spread) of the 0 ABS Performance trades?

07/17/2018 at 9:36 PM #76189 quote

Vonasi
Moderator

Master

Every strategy I have worked on today has had the 0.00 Abs Perf problem. Maybe shutting down the platform – going to bed and starting it again will fix the issue! 🙂

07/18/2018 at 7:21 AM #76193 quote

Vonasi
Moderator

Master

Nope – switching off and on let me down this time. I have no idea why I am getting these 0.00 Abs Perf trades. Does anyone else get them?

This is a weekly strategy I’m testing out this morning:

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07/18/2018 at 8:38 AM #76197 quote

GraHal
Participant

Master

GraHal wrote:

Do the entry and exit price tally (allowing for spread) of the 0 ABS Performance trades?

What are your findings for above on at least 1 x 0 Perf trade?

07/18/2018 at 8:54 AM #76199 quote

Vonasi
Moderator

Master

The orders list is showing 2 positions opened and then 2 closed on the 9th but the closed positions list shows 3 trades closed with one for abs perf of 0.00.

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07/18/2018 at 9:07 AM #76203 quote

Vonasi
Moderator

Master

I also just noticed this. The average time between positions is negative!

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07/18/2018 at 9:11 AM #76206 quote

Vonasi
Moderator

Master

I have now sent a report from the platform regarding this.

GraHal thanked this post

07/18/2018 at 10:00 AM #76212 quote

verygrubby
Participant

Master

I have the same thing. Never used to happen and I have not changed the code of my strategies. Odd.

07/18/2018 at 10:03 AM #76213 quote

Vonasi
Moderator

Master

verygrubby wrote:

I have the same thing. Never used to happen and I have not changed the code of my strategies. Odd.

Thank you…. I was beginning to think that it was just me.

07/18/2018 at 10:38 AM #76215 quote

verygrubby
Participant

Master

PS my strategies all use 1 min timeframes, so It’s not just daily being affected

07/18/2018 at 11:17 AM #76223 quote

Vonasi
Moderator

Master

I have received a very prompt reply from IG:

Thanks for your email.

It appears prorealtime have implemented a new engine for backtesting and proOrder which has not gone as anticipated, we have provided prorealtime with the necessary feedback hopefully they will be able to roll back the changes made, and analyse what has happened.

As soon as I receive feedback I shall relay their feedback to you. The case number for reference is: 9113

07/18/2018 at 11:23 AM #76224 quote

immo_vienna
Participant

Average

thats great vonasi thx! my systems dont work today in backtest – i think today is a bad day for programming…

07/18/2018 at 11:25 AM #76225 quote

GraHal
Participant

Master

Are you both (Vonasi & Grubby :)) on ‘PRT Sponsored’ accounts by any chance or direct to PRT (i.e. Not direct to IG)?

07/18/2018 at 11:27 AM #76226 quote

immo_vienna
Participant

Average

i use IG. have problems on live account and the demo version (both via IG).
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