I have a daytrade system which buys at open, sells at close.
The system has SetTradeDelays(1, 1, 1, 1);
The idea here is I download the market data at night, scan for signals
then place market orders overnight so I will buy at open the next day.
The problem I'm facing is this:
Suppose I run my system at night and it signals Stock A, B, and C. I
place orders and buy them tomorrow morning. The following night, I
run backtest and see which ones my backtester picked. Strangely, the
backtester does not always pick out Stock A, B, and C, despite having
signaled them the night before.
I am ranking my signals by PositionScore variable, but criteria used
by PositionScore looks at past quotes, not future quotes.
Has anyone explanation as to why this happens? If the backtester does
not pick what it had signaled, it is a grave situation because you
can't really follow with the system no matter how good it is.
Thank you in advance,
intermilan04
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