Backtesting intraday data has overnight (space) gaps in equity curve

mhallsmoore / qstrader

QuantStart.com - QSTrader backtesting simulation engine.

https://www.quantstart.com/qstrader/

MIT License

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Closed ryankennedyio closed 8 months ago

ryankennedyio commented 7 years ago

As pictured;

screen shot 2017-03-08 at 11 46 43 am

JamesKBowler commented 7 years ago

Does the data your using have gaps?

ryankennedyio commented 7 years ago

Oh right, is it something to do with the hasGaps that IB's API returns with historical data?

This is just grabbing the last 5 days of 1-minute data for a particular stock