Script behaves differently in daily and weekly charts

Optuma Forums Optuma Scripting Timeframe override: value and plot seem to disagree Script behaves differently in daily and weekly charts

#54025
Avatar
Dean
  • Topics: 10
  • Replies: 18
  • Posts: 28

Script behaves differently in daily and weekly charts

Thank Mathew.

The blog has demonstrated that the Optuma team have put applied their vast experience to ensure that the dangers of future data being mixed with historical data cannot occur in Optuma. Thank goodness for that and thank you Optuma.

Sorry for persisting, but may I ask for one additional point of clarification yet.

It appears that Optuma evaluates the following script formula differently if being applied to a weekly chart or a daily chart.

CLOSE(Week(PERIODAMOUNT=1))

To illustrate, attached are two screenshots of Optuma in training mode, on a Monday (08/07/2019). The cursors in the screenshots shows the outcome of the formula CLOSE(Week(PERIODAMOUNT=1)) against the WeeklyClose label. One screenshot is of a daily chart, the other is of a weekly chart. Here are the results:

Daily chart on Monday 08/07/2019 (see screenshot Monday on a daily chart.png)

2,975.95 Monday close

2,990.41 Output of formula CLOSE(Week(PERIODAMOUNT=1))

Weekly chart on Monday 08/07/2019 (see screenshot Monday on a weekly chart.png)

2,975.95 Monday close

2,975.75 Output of formula CLOSE(Week(PERIODAMOUNT=1))

Why does the same formula give a different result on the daily chart compared to the weekly chart? Your response and the blog post do not really explain why there should be a difference on the evaluation of the same script formula depending on whether it is applied to a daily or weekly chart.

The blog post warns of the danger of bringing future data into backtesting. Optuma has solved this which is readily confirmed in the above observations (again, thank you Optuma). That is not the issue though. It is the inconsistency of the script’s output that is the issue.

Is there more insight you can offer to help understand why Optuma behaves in this way?

Many thanks, Dean

(PS. This post also gives more narrative on similar observations to the screenshots of this post).

Pin It on Pinterest

By continuing to use the site, you agree to the use of cookies. more information

The cookie settings on this website are set to "allow cookies" to give you the best browsing experience possible. If you continue to use this website without changing your cookie settings or you click "Accept" below then you are consenting to this.

Close