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Backtesting results are erroneous

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  • Backtesting results are erroneous

    The issue is with the drawdown and Run up figures. Please check the attachment.

    The first trade(short at 64.29) happened at 8:00 AM and the second trade happened at 10:00AM.

    The drawdown for the first trade is being shown as 99 ticks (990$, the product is ICE Brent Futures). But the lowest price before 10:00AM was 63.79. So the drawdown should be 500$. What the strategy analysis is doing is, it is taking the low of the 10:00AM candle to compute the drawdown. This happens with Run-Ups too.

    Is there a fix for this ?
    Attached Files

  • #2
    oops, posted in the wrong section can the mods move it to "BackTesting" section please
    Last edited by indus383; 07-09-2015, 10:22 AM.

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