BackTesting Bug ?

[fish7]

I have the attached EFS code that does 2 buys (at 10:30 and 10:35) and then 2 sells (at 10:40 and 10:45), for one contract each.
When run the Strategy Analyzer, however, it never does an exit for the 2nd sell.

I ran this on YM #F, 1min charts.

Can anyone explain to me what is wrong in this code that the 2nd lot is never getting sold? Or is there a problem with doing scale-out and scale-in's ?

[fish7]

The code

Here's the code, in case you can't read the attachment.. as you can see, it's VERY simple... No clue why that second sell is never executed.

/*
This program will buy 1 lot at 10:30 and another lot at 10:35.
It will then sell one lot at 10:40 and then the 2nd lot at 10:45.
*/


function preMain() {

setComputeOnClose();
}


function main() {


if (getHour()==10 && getMinute() == 30) {
Strategy.doLong("FirstBUY", Strategy.LIMIT, Strategy.THISBAR, 1, open(0));
}
if (getHour()==10 && getMinute() == 35) {
Strategy.doLong("FirstADD", Strategy.LIMIT, Strategy.THISBAR, 1, open(0));
}
if (getHour()==10 && getMinute() == 40) {
Strategy.doSell("SellFirstLot", Strategy.LIMIT, Strategy.THISBAR, 1, open(0));
}
if (getHour()==10 && getMinute() == 45) {
Strategy.doSell("Sell2ndLot", Strategy.LIMIT, Strategy.THISBAR, 1, open(0));
}


return ;
}

[eSignal_JasonK]

Hello f1sh7,

This appears to be a bug in the Strategy Analyzer report. The code is actually doing what it is supposed to but the Strategy Analyzer report is not properly organizing the results. There isn't a work-around for this one as it's not a code problem. I'll report these finding to our development team.

The specific issue is with strategies that scale into a position and out of the position. Strategies that perform scaling only on one side are reported properly in the Strategy Analyzer as expected. You can enter a position with one entry trade and then scale out with multiple exit trades. Or, you can scale into a position with multiple entry trades and close the position with a single exit trade.

[fish7]

Jason,

Thnx for your reply... that's really too bad. I hope the fix for this comes soon!

JOHN