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Questions about results of backtest
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Author:  Guest [ Wed 20 Aug, 2008, 14:48 ]
Post subject:  Questions about results of backtest
Hello,
In attached file, you can see my backtest report file generated by Dukascopy.
1) I noted that I can fill orders on weekends. It should be prohibited.
2) I noted that when I fill order with amount 1 million and then I close it, Dukascopy commission is 18 + 18 = 36. I thought commission was only when open order?
3) I have for example (first order on report) : openPrice=1.0445 and closePrice=1.0439, open and close the same day.
I expected to get : Profit/Loss = 1'000'000 * (1.0439 - 1.0445) = -600, but on report I read -574.66. Why I get this difference ?
4) I have 2 hours of difference between time of Tick when I fill order and "Open Date" in report. Same for "Close Date". What's the matter ? What is the real date for this price ?


Thank you

R. Varone

Attachments:
jforex_report2788.zip [5.35 KiB]
Downloaded 735 times
Author:  API Support [ Wed 20 Aug, 2008, 15:07 ]
Post subject:  Re: Questions about results of backtest
Hello,

Let me answer on points 2 and 3 :

2. Commissions. The commission calculated on effective turnover. For example, you buy 1 million (open), then sell 1 million (close), the
turnover is 2 millions.

3. The currency pair traded was USD/CHF, therefore the original profit and loss is in CHF, which is then converted back to the portfolio
base currency, USD in this instance.

Best regards.

David
Author:  API Support [ Thu 21 Aug, 2008, 08:47 ]
Post subject:  Re: Questions about results of backtest
Hello,
1) Will be checked.
4) Are you sure, that you used correct TimeZone? In report we use GMT time to be sure it's the same everywhere we run the strategy. If you print the time with DateFormat, make sure you set the correct time zone before formatting the date:
DateFormat format = new SimpleDateFormat("yyyy-MM-dd HH:mm:ss");
format.setTimeZone(TimeZone.getTimeZone("GMT"));
context.getOut().println(format.format(new Date(order.getCreationTime())));
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