Posted Monday August 29 2016
I built a trading system in RE and I used a historic package of daily Futures ascii data (imported in RE) or from Yahoo Finance (for world indexes). I checked the data and they seem to be correctly imported in RE. When I run a simulation the system forgot to take into account some parts of my data. For example, I run a simulation from 01/01/1995 to 01/01/2016 and the system trades from 1995 to 2004 bypass the data from 2004 to 2008 and trades again from 2008 to 2016. I checked that there was enough fund to trade and that there was buy/sell signals in this missed period. I can added that the period missed by the system is different for each Futures imported (sometimes all the data work). I checked too the parameters of my simulation (period of trade…). Do you have any idea why the system missed some part of my data?
Thanks for your help.