I have, up to now, been doing backtests on a "daily" periodicity. Buy/sell on next bar open.
I am now looking at a backtest using "weekly" periodicity. Running it today [28th] using trade data to last Friday [26th] I am getting trades showing as 6 March but using the close for the 22 February
Another Symbol that opened a trade on 26 February used the open price for 22 February.
This is a sample AFL that I have used. I have also used other backtests and get the same outcomes
SetOption("InitialEquity",50000);
SetOption("MaxOpenPositions",10);
SetPositionSize(10,spsPercentOfEquity);
SetTradeDelays( 1, 1, 1, 1 );
// buy & sell conditions
In settings I have periodicity set to Weekly.
What I am aiming is to run the backtest each weekend with data updated for the Friday. I would anticipate new trades being set for the following Monday at the open price.
It doesn't seem that hard, but it is not working.
Any advice on what I am not doing or misunderstanding will be appreciated!
Thanks
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Posted by: tonyjw11@yahoo.com.au
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