Negative sharpe when running dynamic small system optimised

[pwholzel]

Hi All,
I am getting a large negative sharpe with every flavor of backtest of Rob's "dynamic small system optimised". I am using the "rob_system" config supplied with pysystemtrade. I am running a production backtest with the below settings in my private control config file. If I run the classic system, with a more classic config I get expected sharpe's around 1.0, so I don't think there's anything wrong with my prices or anything.

private_config.yaml:
#process_configuration_methods:
run_systems:
rob_system:
max_executions: 1
#object: sysproduction.strategy_code.run_system_classic.runSystemClassic
object: sysproduction.strategy_code.run_dynamic_optimised_system.runSystemCarryTrendDynamic
backtest_config_filename: systems/provided/rob_system/config.yaml
run_strategy_order_generator:
rob_system:
#object: sysexecution.strategies.classic_buffered_positions.orderGeneratorForBufferedPositions
object: sysexecution.strategies.dynamic_optimised_positions.orderGeneratorForDynamicPositions
max_executions: 1

Any help is appreciated. Thanks.

[robcarver17]

What code are you using to get the performance, if it's system.accounts.portfolio() you will get the wrong result, this has been covered multiple times before please read the documentation and the previous discussions.