Backtest not run on all loaded data in template

[demarcog]

I'm running a strategy on intraday 10 minute with a 120 day time template 00:00-00:00 for symbol AB #F.

When the chart is loaded I can scroll to the beginning of the data and see data beginning with the date 01/03/07 and ending 6/19/07.

For some reason when I run a strategy in the strategy report I only see trades for the time period beginning 4/23/07.

The Settings Tab in the strategy report also shows the beginning data as 4/23/07.

There strategy is only using a few standard indicators: CCI and Stochastics 14 periods which using 10 minute intervals would need less then a days worth of data to initialize and not return null values.

Anyone have any idea as to why 2/3 of the available data is not being processed by the back tester as I've spent hours trying to figure it out and have not idea.

Thanks for the help.

Glen

Glen

[ACM]

Glen
Are you running the Back Test on the same chart that is showing data back to 1/3/07? When setting up the Back Test are you using the same Time Template assigned to the chart?
I just tried running a back test using the BtStochastic.efs which is included in the Back Testing folder and at my end the Strategy Analyzer is showing trades starting on 1/3/07 (see enclosed screenshot). Try running the same script and if your results are the same then that could indicate there is something in the logic of your script that is preventing trades prior to 4/23/07
Alex

[demarcog]

Originally posted by Alexis C. Montenegro
Glen
Are you running the Back Test on the same chart that is showing data back to 1/3/07? When setting up the Back Test are you using the same Time Template assigned to the chart?
I just tried running a back test using the BtStochastic.efs which is included in the Back Testing folder and at my end the Strategy Analyzer is showing trades starting on 1/3/07 (see enclosed screenshot). Try running the same script and if your results are the same then that could indicate there is something in the logic of your script that is preventing trades prior to 4/23/07
Alex

Alexis, thank you very much for the response.

I was running the back test with the same template.

I tried your suggestion and it looks like the problem is specific to the strategy as the other strategy you referred to does generate trades for the entire data series.

I can't see anything in the code that would cause this problem as it only uses a few short term intervals but obviously something is amiss. The strategy is many hundres of lines and used by someone I'm working with for trading and not really mine to post, or I certainly would have.

I will see if I can either resolve it myself or post a slim down version.

As always your assistance is greatly appreciated, thank you very much for the help.

Glen

[ACM]

Glen
In your reply you mention that the script is using "a few short term intervals". If as I understand it your script is based on multiple intervals then you may want to check that the Time Template used for the back test is set to load 120 days of data for each of the intervals being called.
Alex

[demarcog]

Originally posted by Alexis C. Montenegro
Glen
In your reply you mention that the script is using "a few short term intervals". If as I understand it your script is based on multiple intervals then you may want to check that the Time Template used for the back test is set to load 120 days of data for each of the intervals being called.
Alex

Hi Alex,

Thanks for the suggestion.

As it turned out for some reason even though I had a 120 day interval, my starting and ending times for the template were 00:00-24:00.

When I changed the times to 09:30 and 16:15 the strategy generated trades for the entire price bar data series loaded.

I started debugging this strategy because it doesn't seem to be filtering trades based on time of day.

What's interesting and not clear to me is why it should mattter.

My assumption is that ven if a 24 hour time specification is associted with the template, the data itself, price bars with time stamp would remain the same regardless of what start and end times are specified.

I thought using a smaller time window in a template would simply exclude price bars beyond the time range of the template and not otherwise alter the price bar series.

Thank again for your help it is appreciated.

Glen