How Incorrect TWAP Pricing Can Distort Backtest Results

Summary

This brief platform report describes a suspected stock-price data problem in a backtest using TWAP-based adjustment prices. A newly added position in Ping An Bank appeared to generate a sudden large profit because its recorded average holding price was wrong. The user changed both buy and sell adjustment points from the TWAP setting to the open price; the unexplained jump then disappeared from the equity curve.

The exchange illustrates how a pricing or position-cost error can create misleading backtest performance, even when the strategy logic itself has not changed. It also shows the value of tracing suspicious returns to individual trades and comparing results under another price convention. The platform representative said the data issue would be checked and repaired. The post does not establish the root cause, the affected data range, or whether a fix was completed, so it is a useful troubleshooting example rather than evidence about TWAP execution quality generally.

Key ideas

• An incorrect average holding price can create an artificial profit spike in a backtest.
• The reported anomaly occurred on a newly opened Ping An Bank position using TWAP adjustment prices.
• Switching the adjustment points to the open price removed the sudden equity-curve rise in the reported run.
• Unexpected backtest gains should be traced to trade-level prices and position-cost calculations.
• The post reports a suspected data issue but does not confirm its cause or resolution.

Tags

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