WARNING! IG Backtests are currently wrong!

Derek · 2017-01-14T18:43:00+00:00

Hi all! Please look at the attached screenshot of a 20 day simple moving average trading system. DEFPARAM CumulateOrders = False indicator1 = close indicator2 = Average[20](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 1 CONTRACT AT MARKET ENDIF indicator3 = close indicator4 = Average[20](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF I wasted my complete sunny saturday morning trying to fix a coding error until I turned really exhausted, frustrated and angry. So, if you are reading this: Use your weekend to the fullest and don’t waste it like I did! Enjoy yourselves.

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01/15/2017 at 8:32 PM #21205 quote

Nicolas
Keymaster

Legend

@derek

You’re welcome. You can only edit your posts during 5 minutes. If you already sent a report to prorealtime or IG, you should get an answer soon (hopefully). I’ll try to get clues of what could be the problem on my side.

As Noobywan mentioned it, did you change something about the weekend data in the options?

01/15/2017 at 8:42 PM #21208 quote

Derek
Participant

Veteran

Thank you for the valuable input Noobywan.

In order to make this 100% clear: The backtest results are using “24 hour 7 days a week” data and the actual live trading will do the same?

01/15/2017 at 8:49 PM #21210 quote

Derek
Participant

Veteran

I turned on the weekend data and found the backtest result to be correct.

As far as I understand this means: Any changes made to the trading hours and the weekend data cannot be traded with Proorder, because Proorder always uses the “standard” timeframe concerning trading hours and trading days.

There should be some kind of information about this when running a backtest.

01/16/2017 at 10:53 AM #21255 quote

JC_Bywan
Moderator

Master

I agree, even if there might be programming obstacles or good reasons we are not aware of for running backtests without taking into account our option choice for weekend data (implying here “even if they would never change this”), there should be at least a word of warning next to the box choice for weekend data saying it applies only to probuilder.
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