I have problems with the historical simulation, normally at 8:00 I start the strategy and at 15:00 I close it. I am identifying different results, I use 500 ticks with repeat tickt. Use the following code:
protected override override OnStateChange()
{
//Print(DateTime.Now + ": The current state is State."+State);
if (State == State.SetDefaults)
{
Description = @"ML Strategy.";
Name = "NewML";
Calculate = Calculate.OnBarClose;
EntriesByAddress = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitInSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slip = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
FollowOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property to improve performance in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
}
I use rithmin (apex) as data provider
