StartDate causing excessive lookback period

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StartDate causing excessive lookback period #488007 12/26/23 08:13 12/26/23 08:13
Joined: Dec 2019 Posts: 53 ozgur OP Junior Member
ozgur OP Junior Member Joined: Dec 2019 Posts: 53	Tested in Version 2.6 (output also same in 2.53). Below are a couple of iterations of the same code, commenting out/in StartDate and MinutesPerDay. Code void run() { Verbose = 3; BarPeriod = 60; LookBack = 10000; StartDate = 20110624; EndDate = 20110625; NumYears = 3; MinutesPerDay = 1440; } Log: Quote testlb compiling............ EUR/USD 1849709 ticks read 12233(17621) bars 2009-06-21..2011-06-26 generated Test: testlb EUR/USD 2011..2013 Code void run() { Verbose = 3; BarPeriod = 60; LookBack = 10000; // StartDate = 20110624; EndDate = 20110625; NumYears = 3; MinutesPerDay = 1440; } Log: Quote testlb compiling........... EUR/USD 1105694 ticks read 15054(21716) bars 2009-01-02..2011-06-26 generated Test: testlb EUR/USD 2009..2011 Code void run() { Verbose = 3; BarPeriod = 60; LookBack = 10000; // StartDate = 20110624; EndDate = 20110625; NumYears = 3; // MinutesPerDay = 1440; } Log: Quote testlb compiling........... EUR/USD 1105694 ticks read 15054(21716) bars 2009-01-02..2011-06-26 generated Test: testlb EUR/USD 2009..2011 Code void run() { Verbose = 3; BarPeriod = 60; LookBack = 10000; StartDate = 20110624; EndDate = 20110625; NumYears = 3; // MinutesPerDay = 1440; } Log: Quote testlb compiling........... Error 047: EUR/USD no 2004 history (History\EURUSD_2004.t6) EUR/USD 3243025 ticks read 39196(56756) bars 2005-01-03..2011-06-26 generated Test: testlb EUR/USD 2011..2013 I understand Zorro is trying to estimate max Lookback with MinutesPerDay parameter but there seems to be an inconsistent behaviour when StartDate is used. Thanks.

Re: StartDate causing excessive lookback period [Re: ozgur] #488008 12/26/23 13:46 12/26/23 13:46
Joined: Sep 2003 Posts: 929 Spirit Moderator
Spirit Moderator Joined: Sep 2003 Posts: 929	When you give a start date, the lookback period is before that start date. You can check the lookback start when you assume a year has 252 trading days, and a day has 6 bars.

Re: StartDate causing excessive lookback period [Re: ozgur] #488011 12/26/23 22:31 12/26/23 22:31
Joined: Dec 2019 Posts: 53 ozgur OP Junior Member
ozgur OP Junior Member Joined: Dec 2019 Posts: 53	Yeah I see but comparing Case 3 and Case 4 in the above example, there is only 1 day difference between StartDate and EndDate however required lookback period jumps 4 years back suddenly. Looking at all cases above, the MinutesPerDay parameter seems to be defaulted to some value other than 360 if StartDate isn't defined.

Re: StartDate causing excessive lookback period [Re: ozgur] #488037 01/02/24 12:01 01/02/24 12:01
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	"Default" means that it has this value unless you explicitely set a different value. When no start date is defined, the first date is NumYears in the past. If a start date is defined, the first date is the startdate minus the lookback period. If you have a 4 years lookback period, then the first date is 4 years before the start date, even if you test only one day.

Re: StartDate causing excessive lookback period [Re: ozgur] #488045 01/02/24 21:40 01/02/24 21:40
Joined: Dec 2019 Posts: 53 ozgur OP Junior Member
ozgur OP Junior Member Joined: Dec 2019 Posts: 53	I see now. In other words NumYears is inclusive of Lookback. Thanks.

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