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Further to my note above it appears that the trade_on_close attribute in the backtest function is not working as previous versions. When set to True sell trades are executed with the following day's open price as opposed to the current day's closing price. Buy trades are ok. This problem is amplified if the closing prices are adjusted and the open prices are not. |
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Has anyone experienced materially different results from backtesting and optimizing since Backtesting.py implemented the SAMBO library in its optimization? I recently ran the same historical data against the newest versions (BT: 0.61, SAMBO 1.25.0) and am getting materially larger values for most measures. Some of these measures I can compare against manual calculation (e.g.: CAGR %). Also when I try to maximize CAGR % I get an error saying it is not recognized.
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