Backtest with 2 wrong trades

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StratMan
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Backtest with 2 wrong trades

Postby StratMan » 27 Jul 2013

A signal generates 377 trades, including two trades are wrong (see screen shot).
130727_MC_bug_bt.JPG
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This signal is applied on a single data series.
Of course, the data are correct and do not include data on the location of the two erroneous trades.

How to explain and correct this anomaly ?
130727_MC_bug_bt_detail.JPG
(164.75 KiB) Downloaded 511 times
Thanks in advance,

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ABC
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Re: Backtest with 2 wrong trades

Postby ABC » 27 Jul 2013

I have seen something similar when using look-inside-bar backtesting with tick precision and there was a wrong tick in the database.
If you are using l-i-b open a tick chart for the date of the wrong trades and check if this is correct.

Regards,
ABC

StratMan
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Re: Backtest with 2 wrong trades

Postby StratMan » 28 Jul 2013

Thank you ABC for your comment.

I don't use the Backtesting Precision that use Bar Magnifier, so I don't use the Tick precision.

Regards,

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piranhaxp
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Re: Backtest with 2 wrong trades

Postby piranhaxp » 29 Jul 2013

As you are using 3 different data sets for the signal generation please show us the 3 sets bid/ask/trade in each sub-chart for this trade ....

I'm on ABC's side that there is a bad tick in the db. I often saw it with FXCM charts from the IQ-feed after updating charts and their data (specially bid/ask) ...

Just take a look on your chart ... It is crushed at some point by false data and no longer sync between bid/ask/trade.

Just an idea from my side.


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