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Backtest Results Reliability

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  • Backtest Results Reliability

    Is anyone getting reliable backtest reports? So far I see a whole lot of calculation errors. I have yet to run one with accurate results.

    For example see the attached image showing the very first trade in the backtest results.

    Firstly, the emini Russell2000 (AB #F) has .10 increments, so a price of 561.29 is not possible. These xxx.x9 values are repeated regularly throughout the results.

    Secondly, using backtest report pricing, short AB #F at 561.29 and cover at 560.20; that's a 1.09 pt gain per contract. At $100 per pt per contract, gross is a positive $109.00, and less commission, that's a net gain of $104.20. The eSignal backtest report shows a loss of $130.00. This miscalculation is repeated for individual trades all through the results. The end result is a grossly inaccurate backtest report.

    Also, the calculations for futures do not consider the dollar value per price increment for futures instruments. As-is, the backtest calculates futures as if an equity. For the example backtest, I had to enter 100 contracts to get dollar calculations reflecting the $100 multiple per point.

    I'm just starting to scratch the surface here re. the backtester. What results are others getting?
    Attached Files

  • #2
    Lancer
    The $0.01 error is a reported issue and has been acnowledged by eSignal.
    Having said that although the entry/exit prices will sometimes display with some symbols as x.x9 they are actually calculated as x.x0 rounded to the closest 0.10. The Net Profit/Loss for the trade however is off by 0.01. See the enclosed image as an example.
    This Back Test was run using the attached efs on a 1 minute chart of AB M4 with a 9:30-16:15 EDT Time Template set for 3 days. 100 shares (to simulate the Point Value), $5 Commission per Trade and 0.20 Slippage.
    Other than the 1 cent error with some symbols (ES for example does not have it) I have not come across math errors.
    As to the error you posted in the image you may want to check if the commission is set per contract rather than per trade. Outside of that I would not be able to explain it.
    Alex

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