8.8 upgrade breaks my portfolio backtesting...

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elindydotcom
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8.8 upgrade breaks my portfolio backtesting...

Postby elindydotcom » 22 Dec 2013

8.7 portfolio backtesting runs fine. In 8.8, it complains about time zones "Instruments from different time zones cannot be mixed". What changed in 8.8 that this message is now being produced? Only Data 1 is being used but obviously in a portfolio, each data1 instrument might be located in a different timezone (east coast vs central for example).

8.7 had no complaints. 8.8 does. What gives?

Thanks.

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Andrew MultiCharts
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Re: 8.8 upgrade breaks my portfolio backtesting...

Postby Andrew MultiCharts » 23 Dec 2013

Hello elindydotcom,

Yes, you are right, this was added in MC 8.8. Portfolio Backtester performs calculations similar to how multiple data series bars are arranged relatively to each other on a chart. it means different time zones should not be mixed in order to keep the bars of the whole protfolio in sync. Documentation in regard to this has just been updated.

The workaround for you is to set the time zone settings for the portfolio to Local zone.

elindydotcom
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Re: 8.8 upgrade breaks my portfolio backtesting...

Postby elindydotcom » 25 Dec 2013

What are the benefits of this new restriction? Other than deliberately breaking our prior work I see no benefits or rationale for this. We spend a lot of time getting our sessions just right (matching the data feed times to the multicharts interpretation is actually harder than you think) and now we have to do it all over again for all the exchanges. So, I'm curious what the benefits are that you would make a breaking change without telling the users up-front.

Thanks.

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Andrew MultiCharts
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Re: 8.8 upgrade breaks my portfolio backtesting...

Postby Andrew MultiCharts » 26 Dec 2013

elindydotcom,

You don't have to re-do anything. Switching to local time zone will keep your configured session settings, but the bars with the your custom sessions (and strategy performance results based on them) will be represented in local hours.

Backtesting results are more reliable when they are based on synchronized data series.


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