Danger averted but question mark over consistency

Optuma Forums Optuma Scripting Inconsistent calculation of values in incomplete periods Danger averted but question mark over consistency

#54103
Dean
  • Topics: 13
  • Replies: 25
  • Posts: 38

Thanks Chad.

The Optuma team have thought about this issue deeply as Mathew explained in the article. So we can all be confident that since the release of Optuma 1.3 we will never be exposed to inadvertently using future data in developing our testing and trading strategies. A huge thank you to Optuma for that.

With that issue resolved though, in my view, there still seems to be a lack of consistent behaviour across timeframes. For example:

  1. On a weekly chart, the close of the last bar will reflect the close of the last trading day
  2. On a daily chart, the value of a close with a weekly timeframe override on the last bar will reflect the close of last week

I’m sure that if point #2 behaved in the same way as point #1 the risks explained in the article would not be re-introduced. That is, a close with a weekly timeframe override can very safely reflect the daily close as we go day-by-day, just like the weekly chart does.

Even more confusing, with respect to point #2, Mon, Tues, Wed and Thurs take the closing value of the previous week, but Friday takes the daily close. I guess the logic here is that the week is closed, so the closing value of the Friday can be taken immediately.<i> But that means that there are actually not one but two closing values per week if you use a weekly timeframe override on a daily chart – one value for Mon-Thu and then a second value on Friday.</i>

<i></i>It has to be said that the Optuma team has vastly more experience than me in this game so I have to refer to their wisdom and experience. I just don’t have the depth of knowledge to grasp why Optuma behaves in this way.

These different behaviours are all little ‘gotchas’ though that you’ve got to be alert to when you are scripting.

What’s the upshot of all of this? Don’t mix weekly and daily timeframes when you are scripting! 🙂

Cheers, Dean

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