StockFetcher Forums · General Discussion · Backtesting question - Is there a problem on Force Same Day Trade?<< >>Post Follow-up
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
980 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
980 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
980 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
980 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


StockFetcher Forums · General Discussion · Backtesting question - Is there a problem on Force Same Day Trade?<< >>Post Follow-up

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