Rolling Test - something is wrong

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1

P123 Team,
Rolling Test produces nonsense results.
Below are the Rolling Test for 1-year returns offset by 1 week starting 1/1/2000 for the same model, 3ETF-Trader plus.
The August test is correct.
The October test is wrong. Look at the Excess Return down-spikes.
https://www.portfolio123.com/port_summary.jsp?portid=1487866

3ETF-Trader October Rolling Test.png
3ETF-Trader October Rolling Test.png786×526 75.4 KB

3ETF-Trader August Rolling Test.png
3ETF-Trader August Rolling Test.png871×572 77.7 KB

3ETF-Trader Perform to Oct-2017.png
3ETF-Trader Perform to Oct-2017.png897×563 134 KB

2

The bug was introduced in the cash accruals release mentioned here and affected simulations with transactions on the end date. It has been resolved now. Thanks.

3

Aaron,
Thanks for the quick fix.