Hi, I think that my back test product is showing an error.  I’d be interested in other people’s views as to whether I’m right, or whether I’m making some fundamental error.

I’ve got a system that is really simple, though it works off a fairly complicated indicator.  Here’s the code

Indicator1 = CALL "Basic system 1 + Bollinger"(close)
// Conditions to enter long positions
IF Indicator1 = 1 THEN
BUY 1 CONTRACTS AT MARKET
SET STOP pLOSS 27
SET TARGET pPROFIT 30
ENDIF
// Conditions to enter short positions
IF Indicator1 = -1 THEN
SELLSHORT 1 CONTRACTS AT MARKET
SET STOP pLOSS 27
SET TARGET pPROFIT 30
ENDIF

So, the issue arises when an existing position is in place, and a signal is generated in the opposite direction to the existing position, (ie, i’ve got a long position and a signal is generated which says I should open a short position.   My intention was that, in this case, the system should simply close out the existing position and wait for the next opportunity.  However, the live system and pro-back test treat this differently.  Here’s a  case, (AUD/USD 5 minutes) where this happened. (first attachment).  When I ran this in live against an IG spreadbetting account, the system behaved as I would expect, the system opened a position at 11:05 and closed it out at 15:40, I’ve attached the transaction history, and you can see that the sell order is opened but immediately nets out against the long position and both then close.

However!  when I run a pro-back test over the same period, it not only closes the long position, but it also opens a new short position, giving entirely different results to the live situation.  I’ve attached the picture of the pro-back test, and also the detailed results.

Am I being stupid, or is this actually an error in pro-back test.

Any input very gratefully received.

PBT-1.jpg PBT-2.jpg PBT-3.jpg PBT-4.jpg