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Differing P/L results problem
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Differing P/L results problem
When I run a backtest, I notice that the P/L results for the same day or week will change depending on how many days I run the back test on at a time. For example If I run a single backtest on just the the 18th, the P/L will then change if I run the backtest say from the 15th-18th. Meaning the 18th's P/L for the day will be different than if I had just ran the backtest on the 18th alone. This strategy only takes trades from 9:30 am EST to 3:50 pm EST, so it isn't an overnight issue. Any Ideas??Tags: None
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Here is another thought regarding this issue: Tick bars on NT6 span 2 days if you left the session settings as default, meaning e.g. a 150 ticks bar could go across midnight if you left the session settings as default.
Apparently this is not an issue as you backtest each day seperate, since then all first bars start at midnight. This would explain that your both test scenarios result in just different tick bar series ad ultimately in different sets of trades.
To overcome that you could set the session begin to e.g. 00:01 (1 minutre after midnight).
However, with NT6.5 tick bars would always be split up at session begin even as you leave the default session.
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