Diagnosing Missing Trades in a VeighNa Bar Backtest

Summary

This post presents a VeighNa CTA strategy that receives bars, updates an ArrayManager, and submits buy orders during a limited range of bar indices. The author reports that the built-in dual moving-average strategy produces trades in the same backtesting setup, while this custom strategy prints repeated buy messages but yields an empty trade record and zero reported trade count.

The code and output offer a troubleshooting case, but the post does not identify the cause or provide a fix. The visible distinction between printed signal messages and recorded fills shows why a signal log alone does not establish that an order was accepted or executed. The displayed output also indicates that historical data loading completed and replay ran, though the sample covers only two reported trading days. Readers should treat this as an unresolved debugging example rather than evidence for a particular diagnosis; the post gives no order-state trace, fill details, or comparison of backtest settings.

Key ideas

• A printed buy message indicates that the strategy reached its signal code, but does not confirm an order fill.
• The custom strategy reports no recorded trades despite repeated buy messages during replay.
• The author compares the custom strategy with a built-in dual moving-average strategy in the same backtesting setup.
• The post provides no diagnosis, order-state trace, or confirmed remedy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.