I am working with a programmer developing an automated trading strategy. I am having problems testing the strategy. Every time I try to do a backtest I get a phantom trade and it ruins the backtest.
I have tried running 2 different weeks on 2 different contract months and it happens every single time on both. I have tried 100X 300X and 500X. I have tried different parameters on both weeks and contractes and speeds. No matter what I try I get the phantom trade. My programmer does not get this trade when he runs the same backtest.
I have been trying to test the strategy with a DX backtest. Every single time I get a trade of about 12000 points for a loss that doesn't exist. The buy is 12000 points higher than what the price is then an instant sell at the proper price at the time. It always happens when trading resumes in the afternoon at 1900 central time. Sometimes I can back the strategy up and run through the time and everything is fine then it will happen again before I finish running through the 5 day test.
What could possibly be happening?
Thanks in advance
Brian
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