- ago
My ScoreCard plugin, ScreenCard, appears to run for Daily bars, but there's some weird behavior with the other data rates I want to ask about. The bar numbers in the positions collection are time offset from the EquityCurve TimeSeries. That's to be expected. The code given below logs this barOffset between the two.



When you run a strategy against a dataset with Daily bars, all the barOffsets are the same as expected as shown below.



However, when I run the same strategy and dataset with 30Minute bars, not only are all the offsets different, but ...



the barOffset for the same stock, PFBC, is different! If ScreenCard is being called multiple times for the Long, Short, Benchmark, and Totals cases, should all the barOffsets for all these cases be different for the same stock? What's going on?

Moreover, if the barOffsets are all the same for the Daily bar run, wouldn't they all be the same for the other scales too? Why do Daily bars behave differently from the other scales?

Since ScreenCard is performing a regression analysis between trades and equity, having proper time alignment is critical. This may not matter for most ScoreCard metrics, but time synchronization does matter for regression analysis. Frankly, I'm not inclined to trust the non-Daily scales for regression analysis. What do you think?
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