Daily back test not picking up trades post public holiday

[KateMoloney]

Just popping this here FYI.
It came about because I had issues doing the daily backtest after the recent public holiday – no trades would come up. Turns out it was because I download FX data daily when I reconcile my trades. Then I played around with my backtests and noticed a difference. 

Below is the thread with Marsten.

Hi Marsten,What is best practice for longer term backtesting? I am finding a slight varation in results, depending on what I use.

1. with FX data included AUDUSD USD AUD
2. with no FX data at all (assuming it is USD based)
3. Using FX data, with calendar sym : $spx in the strategy section

From Marsten

#3 is the best solution. #1 has the issue of adding US holidays to the global date list in the backtest. #2 has the issue of not accounting for your base currency.

[TerryDunne]

This is interesting Kate.

I have a couple of questions that you may know the answer?

1. For back testing purposes, does it matter whether we don’t pick up FX translation gains/(losses)?

2. Is this issue due to a change in the RT software? I have been doing my daily stuff without any problem after US holidays until the most recent holiday.

Thanks for posting this,

Terry

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