Can't figure out this. I ran a customized intraday trading strategy on historical ES data for the following 2 periods: (1) 1/11/2010 - 2/5/2013 and (2) 1/10/2010 - 2/5/2013. The only difference between the 2 runs is the starting date where the latter starts a month earlier. But the performance results turned out to be quite different (see below). Even the performance in 2011 is affected which shouldn't be the case. On a closer look, the signal entries and exits between the 2 runs started becoming different from 10/8/2011 even though the data and strategy parameters remain unchanged. What could be wrong here?
(1) 1/11/2010 - 2/5/2013
PeriodCum ProfitDD1/1/20101.19%-1.36%1/1/2011-2.93%-14.30%1/1/201229.77%-5.09%1/1/20137.17%-1.09%
(2) 1/10/2010 - 2/5/2013
PeriodCum ProfitDD1/1/20109.51%-2.48%1/1/201112.44%-7.65%1/1/201229.77%-5.09%1/1/20137.17%-1.09%
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