multiple trades same bar

February 4th, 2017, 05:56 PM

Hello All,

On certain random days (I think Random) while using the Walk Forward Optimization or Back test my strategy will generate multiple trades on the same bar.

Basically, it will take a long trade that enters and exits at the open and then take whatever other trade that would have normally happened on that bar close. I posted a picture showing 1.....the multiple trade and 2....what a normal trade would look like.

Any ideas without having to think to hard. Am I doing something stupid simple wrong or might I need to post some code. Either way I appreciate the help.

I tried searching other threads and found nothing relevant but if there is one just a point in the right direction is all I'll need.

Thank,

GuppyDRV

ABCTG · February 6th, 2017, 03:19 AM

GuppyDRV,

the explanation is most likely in your code. Check when and why these orders have been triggered (by using print
statements for example for your conditions).

Regards,

ABCTG

GuppyDRV

Hello All,

On certain random days (I think Random) while using the Walk Forward Optimization or Back test my strategy will generate multiple trades on the same bar.

Basically, it will take a long trade that enters and exits at the open and then take whatever other trade that would have normally happened on that bar close. I posted a picture showing 1.....the multiple trade and 2....what a normal trade would look like.

Any ideas without having to think to hard. Am I doing something stupid simple wrong or might I need to post some code. Either way I appreciate the help.

I tried searching other threads and found nothing relevant but if there is one just a point in the right direction is all I'll need.

Thank,

GuppyDRV

February 6th, 2017, 04:51 AM

This can happen if you use an indicator that is set to calculate/generate trades intrabar. Also, if you use time based entries/exits and you don't exclude last hour, it might happen. It could also be the result of a value being set to true and not resetting. It looks like you are taking longs and shorts. This could be the result of an indicator that crosses both thresholds in the same session. If you have limit orders, you may want to make sure that the last order is closed.

multiple trades same bar

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multiple trades same bar