Backtest – Trades Appear 1 Bar Late

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  • 09/16/2020 at 9:02 PM #144477 quote
    GraHal
    Participant
    Master
    In order to not go off Topic on another Thread, I’m commenting here …
    TempusFugit wrote:

    trades not apperaring in backtest till next day.

    Is this on a Daily TF?

    If Yes then I just noticed the same thing a 5 min TF … a trade not closing until 1 x 5 min bar later than the same Algo closed the trade on Live running.

    Although 1 bar late, the number of bars traded then equalised between Backtest and Live.

    I’ve heard of this before  … ‘1 bar late in backtest’ … but this is the first time I studied it.

    I’m going to sleep on the reason, but if anybody wants to explain why … please go ahead?

    09/24/2020 at 12:27 PM #145188 quote
    robertogozzi
    Moderator
    Master

    Any example?

    09/24/2020 at 4:17 PM #145246 quote
    Nicolas
    Keymaster
    Master

    I confirm that there is a small glitch with daily system actually, that should be solved soon.

    robertogozzi thanked this post
    09/24/2020 at 4:18 PM #145247 quote
    TempusFugit
    Participant
    Veteran

    Hi Grahal,

    I don´t remember the TF when I saw the operation/s appearing later in backtest, at the time I didn´t give to it much consideration.

    What I can tell you I see all the time is differences in the number of bars that appear as duration in the closed operations report from Demo to Live even when the operations start and exit at the same time in both. You can see this differences in the image attached.

    This can be related to what you mention or maybe just another weird thing from PRT, inconsequential though I think/hope.

    Captura-6.png Captura-6.png
    09/25/2020 at 9:46 AM #145318 quote
    nemus
    Participant
    Junior

    Nicholas – could this issue be causing trades to be missed in automated strategies on a daily timeframe? In my Live account this week, my automated daily strategies should have made 8 trades but only 3 were initiated (and I’m tearing my hair out trying to understand why!).

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Backtest – Trades Appear 1 Bar Late


ProOrder: Automated Strategies & Backtesting

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GraHal @investment_account Participant
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This topic contains 4 replies,
has 5 voices, and was last updated by nemus
5 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/16/2020
Status: Active
Attachments: 1 files
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