It's the same for me. The developers are aware of the problem, but for some reason no fix has been published yet. You can insert
Thread.sleep(5000);
before starting a strategy. This solves the problem for me, but at the end of the testing I still get errors:
2012-04-21 19:59:15.847 ERROR LocalCacheManager - Shutdown in progress
java.lang.IllegalStateException: Shutdown in progress
at java.io.DeleteOnExitHook.add(DeleteOnExitHook.java:60)
at java.io.File.deleteOnExit(File.java:1008)
at com.dukascopy.charts.data.datacache.LocalCacheManager.getIntraPeriodFileHandle(LocalCacheManager.java:487)
at com.dukascopy.charts.data.datacache.LocalCacheManager$WriteDelayedTasks.run(LocalCacheManager.java:2785)
at java.util.TimerThread.mainLoop(Timer.java:555)
at java.util.TimerThread.run(Timer.java:505)
But this may be an individual problem only affecting me.