jmtrader
19 posts
msg #121999
- Ignore jmtrader |
11/16/2014 10:23:51 PM
When I run two identical backtests (one is long and the other is short), I expect the results to be inverse of the other but they are not. These 2 backtests are Force Same Day Trade enabled. Is this a known problem?
|
four
5,087 posts
msg #122000
- Ignore four
modified |
11/16/2014 11:08:15 PM
" I expect the results to be inverse of the other but they are not."
--
Interesting. I hope others will provide experiences with their back testing results.
I suppose if a stock, in the past, patterned an oversold less frequently than an overbought situation the results would be different. And vice versa.
|
jmtrader
19 posts
msg #122001
- Ignore jmtrader |
11/17/2014 5:51:11 AM
But this is exactly the same script and the result should be the same all the time. So if you take the opposite of the same result, the result should be exactly inverse of the other.
Anyway, I think I saw where the difference is coming from. On the short side, SF is not including the commission on its calculation.
SF, can you please take a look on this? This is an obvious bug that should be fixed. I'm not sure why others are not complaining about it.
|
stockfetcher
979 posts
msg #122002 |
11/17/2014 8:08:52 AM
If possible, can you supply the names of the saved tests in question?
Thank you,
StockFetcher Support
|
jmtrader
19 posts
msg #122011
- Ignore jmtrader |
11/18/2014 6:00:26 AM
I created Backtest Test-Long and Test-Short. You will notice on Test-Long results, the Commission is being applied on the calculation but not in Test-Short. That is why Short backtests seems to always do very good performance compared to Long.
|
stockfetcher
979 posts
msg #122012 |
11/18/2014 7:43:40 AM
Unfortunately, looking at your saved tests, "Test - Short" is not a completed test. If possible, can you run the test so we are able to compare the final results/summary with "Test Long"?
Thank you,
StockFetcher Support
|
jmtrader
19 posts
msg #122018
- Ignore jmtrader |
11/18/2014 9:24:15 PM
You can now view the results of Test-Short backtest.
|
stockfetcher
979 posts
msg #122020 |
11/18/2014 9:53:57 PM
Thank you. We see commissions in equity summary/details for both the long and short example. If possible can you provide specific details that illustrate the problem you are experiencing?
StockFetcher Support
|
jmtrader
19 posts
msg #122022
- Ignore jmtrader |
11/18/2014 10:18:55 PM
Not on Test-Short. If you go Options->View Results, then go to Equity Summary tab, the Gain($) column is not netting the Commission. But on Test-Long, Gain($) column is netting the Commission.
|
stockfetcher
979 posts
msg #122023 |
11/18/2014 10:54:08 PM
Unfortunately, we don't see the issue you mention. Please provide a specific example that illustrates the issue. We see that the commission is reflected in both.
StockFetcher Support
|