Wrong transaction price in simulation

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1

Transaction prices in sim are not correct, and therefore the performance is totally wrong.
See this very simple sim:
https://www.portfolio123.com/port_summary.jsp?portid=1511047

Here is the exposure list used in this sim:
01/01/07 11/14/17
11/17/17 11/30/17

For “Next Open”, the following prices are used in sim:
Date Type Ticker Shares Price
11/17/17 SELL -928.0 $107.91
11/15/17 BUY 928.0 $107.69

But from https://www.portfolio123.com/app/stock/prices/XIV
Date Open High Low Close Volume
11/17/17 108.01 110.51 107.85 109.70 7,489,223
11/16/17 107.19 109.25 107.19 107.91 6,631,608
11/15/17 104.58 106.20 101.82 103.50 11,429,820

XIV open price is $108.01 on 11/17/17
XIV price never goes up to $107 on 11/15/17

2

Looks like it is buying at the previous close instead of the next open.

11/15 buy of 107.69. 11/14 close is 107.69.

11/17 sell of 107.91. 11/16 close is 107.91.

3

Yes, you are correct that P123 is using “Previous Close” price for “Next Open” transaction.
The bug makes “Next Open” simulations useless. Hope the problem is not widespread.

4

I did more tests and found this bug very interesting.

P123 still uses “Previous Close” price in simulation even I choose “Next Average of Hi and Low” and “Next Close” for “Price for Transactions”.

5

It’s falling back to previous close on the final week of the backtest (affecting daily rebalance), so it’s not a widespread issue. I’ll see what I can do. Thanks for investigating it.

6

It should be behaving as expected now.