Strange Backtesting Bug

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furytrader
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Strange Backtesting Bug

Postby furytrader » 24 Nov 2010

I came across a weird bug in MultiCharts when it comes to backtesting, and specifically, to generating the backtesting report. Let me first describe the environment in which I'm testing and then I'll describe the problem.

I'm looking at 5 minute day-only chart of the following four data streams:

Data1: e-Mini S&P 500 futures, continuous contract, from eSignal
Data2: Put/Call Ratio, from an ASCII-mapped .csv file (since eSignal's put-call ratio data is poor)
Data3: NYSE $TICK, from eSignal
Data4: $VIX, from eSignal

The time period I'm looking at is roughly May of 2007 through the present.

The model I'm analyzing focuses primarily on the Put/Call ratio to make decisions. When I run this model (referencing only Data1 and Data2), everything works fine - backtesting is fast and the report is run fine.

Here's where it gets weird: when I also make a reference in the strategy code to Data3 or Data4, MultiCharts quickly shows the trades on the chart where the trades would occur. However, when I attempt to look at the Strategy Performance Report, nothing happens. The report doesn't come up at all, even after waiting several minutes. Previously, it would only take a few seconds for the report to come up.

What's odd too is that if I remove the offending strategy, and insert a completely new, simple strategy, the Strategy Performance Report won't load then either. I have to close MultiCharts down and then restart it to get the Performance Report to load again at all.

Is this broken or is it just taking so long that I need to wait longer?

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Dave Masalov
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Re: Strange Backtesting Bug

Postby Dave Masalov » 26 Nov 2010

Dear furytrader,

Please send your workspace, signals, indicators and ASCII files to dmasalov@multicharts.com so we can try to reproduce the issue on our end.


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