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Issues with historical data when backtesting
nicofr0707
 Post subject: Issues with historical data when backtesting Post rating: 0   New post Posted: Fri 25 May, 2012, 14:10 
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Joined: Fri 02 Sep, 2011, 10:08
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Location: FranceFrance
Hi,

I'm backtesting my multicurrency strategy back from 2009.

Some orders are filled very far away from the current price.

I don't have the time to test all pairs for this last 5 years but here
are some order examples.

Try Buy and Sell at 17:00 GMT :

GBPAUD 2009/01/07
GBPNZD 2009/01/21
NZDJPY 2009/03/10
AUDCAD 2009/06/03

Please see the following screen capture :

Image

I have cleared the JForex .cache so I'm sure I have last history feed.

Entry orders are defined with :
entryPrice = history.getLastTick(currentInstrument).getBid(); and
entryPrice = history.getLastTick(currentInstrument).getAsk();



Please could you test with daily orders on each pair as far as history goes and correct this ?

Thanks,

Best regards
 
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