I have coded a very simple test strategy to investigate the behaviour of using different signal names for different trades within the same strategy. I am a bit confused by the results.
The strategy has an option DoTradeMultiple to trade either one signal (EMA 50) or three (EMA 50/100/200). The signal names are EMA 50/100/200 accordingly.
As I undertstand it the Entry and Exit points for the EMA 50 strategy should be identical whether DoTradeMultiple is set or not. But this does not appear to be the case.
I have attached spreadsheets for the backtest results of EMA50 only and EMA50/100/200 to compare, and the test strategy code.
Please could you let me know what is causing this behaviour, and whether it is expected or a bug? Thanks
One example of a discrepancy is below, and there are many more:
50 100 200
ES 09-12 Sell 1 1350.25 20/06/2012 11:21 NT-00078 Exit 6L NT-00084 EMA50 0 1 Backtest
ES 09-12 Sell 1 1349.00 20/06/2012 11:25 NT-00081 Exit 7L NT-00087 EMA50 0 1 Backtest
50
ES 09-12 Sell 1 1350.25 20/06/2012 11:21 NT-00036 Entry 1S NT-00036 EMA50 0 1 Backtest
ES 09-12 Buy 1 1350.75 20/06/2012 11:49 NT-00038 Entry 1L NT-00038 EMA50 0 1 Backtest
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