Backtest with latest data

Posted By: aelagha

Backtest with latest data - 06/24/20 05:13

I have used the "download" script to downlaod the price data up to date from my broker. I get a msg saying it is successful and 2020 data download is complete. However, When I run the backtest, I see in the perf report that the test period ends 2020-02-28 and the pnl file shows also trades end on that date.

I thought backtest would run on the up to date price data. Is this case, or am I missing something? are the *.t6 history data files updated when running the download script?

Thanks
Posted By: jcl

Re: Backtest with latest data - 06/29/20 11:37

I don't know what you updated, but WFA runs not on the up to date price data. It runs until the end of its last cycle.
Posted By: aelagha

Re: Backtest with latest data - 07/03/20 19:35

I downloaded the asset prices from the broaker, and I see the date on these files changing to the current date (June 25), i.e. AUDUSD_2020.t6 now has June 25 as the last date the file is modified. When I run the backtest, it seems historical data up to 2020-02-28 is used, and the 2020-03-01 to 2020-06-25 new data is not included in the backtest. This is the case for all asset. I thought the backtest would run all the way to the last data point in the historical asset price files.

What you are saying is that WFA runs until the end of its last cycle, which would be 2020-02-28, i.e. hardcoded? Is this correct?

Thanks a lot.
Posted By: jcl

Re: Backtest with latest data - 07/06/20 10:24

Yes, that is correct.
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