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Winvestor  
#1 Posted : Wednesday, March 10, 2010 7:09:31 PM(UTC)
Winvestor

Rank: Member

Groups: Registered, Registered Users, Subscribers
Joined: 7/7/2009(UTC)
Posts: 13

Hello, i am trying to develop a trading system and backtest using the EST, and one of the comparisons that i am trying is to check system performance with daily and weekly periodicities.

I noticed today that if i repeat a simulation in the EST using the same parameters and the same set of securities, sometimes the results are different. I have only observed this problem with weekly periodicity, not with daily periodicity.

If i repeat a weekly simulation immediately after the previous one, then the results are identical. However, if i run a weekly simulation, then run a simulation with daily periodicity, and repeat the weekly simulation, the results are slightly different. Other than changing the periodicity, i have kept all the other parameters same.

Any clues as to what may be going on? I'm using MS EOD ver 11.0.

Winvestor  
#2 Posted : Thursday, March 11, 2010 1:39:15 PM(UTC)
Winvestor

Rank: Member

Groups: Registered, Registered Users, Subscribers
Joined: 7/7/2009(UTC)
Posts: 13

To follow up from my previous post - here's more details. I am running the simulation on a group of about 1300 securities. Copied the simulation results into excel spreadsheets, and compared the repeated simulations line by line using vlookup function. The reason for the observed differences between simulation is that for some securities, status is "Had errors". Those same securities show a status of "Completed" in a subsequent repeat simulation. However, in the new simulation, some other securities "Had errors" whereas they were fine before. I looked up the details of some of the relevant securities in EST using the "View" button, and have copied an example error below.

Simulation Date 3/10/2010 11:47:24 AM 0 Weekly Bars 0/0/0000 Through 0/0/0000 (0 Days)

Errors Encountered 3/10/2010 11:47:24 AM Simulation encountered an invalid security.

So what is happening is that the EST is not able to read some securities in one simulation, but is able to read those same securities in a subsequent repeat simulation. I am able to close the EST and view the plot of those securities, so the data is there. This is not just a one time occurrence. The repeat simulation again has some securities that "Had errors", and when i repeated the simulation yet again, those securities now have a status of "Complete".

So now i can restate my original question now in more specific terms - why is the EST reading securities inconsistently when doing simulations with weekly periodicity, and what can be done to fix this issue? Any advice appreciated.

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