Bug in backtest

[irperez]

@lppkarl I believe I found a bug. NullReferenceException in backtesting. Maybe I'm doing something wrong?

If I am doing something wrong, maybe we need validation. Otherwise I think this is valid scenario, no?

Here is my sample.

     public class MyClass
{
      static int RunBackTest()
        {            
            var importer = new AlphaVantageImporter("[YourAPIKey]", OutputSize.full);
            var fb = importer.ImportAsync("fb", startTime: new DateTime(2018,1,1), period: PeriodOption.PerMinute).Result;

            var importer2 = new AlphaVantageImporter("[YourAPIKey]", OutputSize.full);
            var wba = importer2.ImportAsync("xom", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var importer3 = new AlphaVantageImporter("[YourAPIKey]", OutputSize.full);
            var att = importer3.ImportAsync("t", startTime: new DateTime(2018, 1, 1), period: PeriodOption.PerMinute).Result;

            var buyRule = Rule.Create(c => c.IsMacdBullishCross(12, 26, 9))
                            .And(c => c.IsRsiOversold2());

            var sellRule = Rule.Create(c => c.IsMacdBearishCross(12, 26, 9))
                            .And(c => c.IsRsiOverbought2());

            var runner = new Trady.Analysis.Backtest.Builder()
                .Add(att, 33).Add(wba, 33).Add(fb, 33)
                .Buy(buyRule)
                .Sell(sellRule)
                .Build();

            var result = runner.RunAsync(10000, 1, new DateTime(2018,1,1)).Result;

            Console.WriteLine($"Transaction count: {result.Transactions.Count():#.##}, P/L ratio: {result.TotalCorrectedProfitLossRatio * 100}%, Principal: {result.TotalPrincipal}, Total: {result.TotalCorrectedBalance}"); 

            return 0;
        }
}

public static class Signals
    {
        public static bool IsRsiOverbought2(this IIndexedOhlcv ic, int periodCount = 14)
            => ic.Get<RelativeStrengthIndex>(periodCount)[ic.Index].Tick.IsTrue(t => t >= 60);

        public static bool IsRsiOversold2(this IIndexedOhlcv ic, int periodCount = 14)
            => ic.Get<RelativeStrengthIndex>(periodCount)[ic.Index].Tick.IsTrue(t => t <= 40);
    }

[karlwancl]

The null reference happens because a sell signal is discovered before a buy signal, getting the open of the last transaction will throw null reference exception

[irperez]

@lppkarl so did I do something wrong here? How do I prevent this from occurring? Or do we need to do a null check before processing the sell signals?

[karlwancl]

Nope, you're not doing wrong. I've commited code to fix the issue this morning.