Backtests gives very different performance when time period extended by a month

[lengguan]

Hi,

Can't figure out this. I ran a customized intraday trading strategy on historical ES data for the following 2 periods: (1) 1/11/2010 - 2/5/2013 and (2) 1/10/2010 - 2/5/2013. The only difference between the 2 runs is the starting date where the latter starts a month earlier. But the performance results turned out to be quite different (see below). Even the performance in 2011 is affected which shouldn't be the case. On a closer look, the signal entries and exits between the 2 runs started becoming different from 10/8/2011 even though the data and strategy parameters remain unchanged. What could be wrong here?


(1) 1/11/2010 - 2/5/2013

PeriodCum ProfitDD1/1/20101.19%-1.36%1/1/2011-2.93%-14.30%1/1/201229.77%-5.09%1/1/20137.17%-1.09%

(2) 1/10/2010 - 2/5/2013

PeriodCum ProfitDD1/1/20109.51%-2.48%1/1/201112.44%-7.65%1/1/201229.77%-5.09%1/1/20137.17%-1.09%

[NinjaTrader_Bertrand]

lengguan, which chart / barstype are running those ES strategies? Would they reference multiple series internally in their setup? Do you need indicators for example based on EMA type smoothing that have a potentially high # of bars needed for initialization to arrive at 'proper' values for signals?

[lengguan]

Hi, the main series where the trades are executed are a 1-min bar ES. I do however utilize an indicator that is based on daily cash SPX data and it is suppose to look back as far as 250 daily bars. Would this introduce a problem? If yes, how can I get around it? Thanks.

[NinjaTrader_Bertrand]

Yes, that could be an issue contributing here. I would suggest testing directly from a chart with needed SPX series loaded up as well visually, so you could see how much data would be available from your provider and if it would for example show any gaps. Please then also check with reloading data for this series, there can be scenarios when programmatically added data is not reloading automatically.

[lengguan]

Do you mean loading 2 series on a single chart? How can that be done?

[NinjaTrader_Bertrand]

Yes, for example. You can just add in another series in the Data Series dialog box and chart that alongside the main / primary series.

[koganam]

Hi, the main series where the trades are executed are a 1-min bar ES. I do however utilize an indicator that is based on daily cash SPX data and it is suppose to look back as far as 250 daily bars. Would this introduce a problem? If yes, how can I get around it? Thanks.

You are using a time series to generate data to make decisions. Depending on how your tme-series cruncher is coded, those signals may be affected by the boundary conditions. It is hard to tell without seeing how you are using your time-series.

[lengguan]

Thanks all. I added in the daily spx series on the same chart. And the results are now fine.