Hi everyone,

Sorry if it sounds like a noob question. I'm a college student and I was trying to compare the performance of a sample EWMA strategy on WTI futures to the oil price. Given we cannot use set_benchmark for continuous futures, I tried to record the spot futures price in the same backtesting chart.

import talib  
import datetime

def initialize(context):  
    fetch_csv('https://docs.google.com/spreadsheets/d/e/2PACX-1vRAaHlpWPQdaPvh-XFgjUKZ3WYp7iVzjOvhd5G2RkmBZrqady13tOKVY1FlcBJg_LIU8Efz4TJ8YxcU/pub?output=csv', date_column = 'Date', date_format = 'dd/mm/yyyy', symbol='Oil', pre_func = preview, post_func = date_correct)  
    #set_benchmark('Oil')  
    context.futures = continuous_future('CL', offset=0, roll='volume', adjustment=None)  
    #set_benchmark(context.futures)  
    # Create a variable to track the date change  
    context.yesterday = None  
    schedule_function(rebalance, date_rules.every_day(), time_rules.market_open())  


def preview(df):  
    log.info(df.head())  
    return df

def date_correct(df):  
    df = df.tshift(-1, freq=datetime.timedelta(1))  
    return df

def rebalance(context, data):  
    spot = data.current(context.futures, 'contract')  
    # added for comparison the standard ma  
    mavg_standard = data.history(context.futures, 'price', 11, '1d').mean()  
    record(position=context.portfolio.positions[spot].amount)  
    # Check for start of a new day  
    if get_datetime().date() == context.yesterday:  
        return  
    context.yesterday = get_datetime().date()  
    price_history = data.history(context.futures, 'price', 11, '1d')  
    maseries = price_history  
    maverage = talib.EMA(maseries, timeperiod=11)[-1]  
    current_price = data.current(spot, 'price')  
    position = context.portfolio.positions[spot].amount

    if current_price < maverage and position >= 0:  
        order_target_percent(spot, -1)  
       # log.info("SHORT %s" % (context.security.symbol))  
    # elif current_price > maverage and position <= 0:  
        # order_target_percent(context.security, 0)  
        # # log.info("COVER SHORT %s" % (context.security.symbol))  
    if current_price > maverage and position <= 0:  
        order_target_percent(spot, 1)  
       # log.info("LONG %s" % (context.security.symbol))  
    # elif current_price < maverage and position >= 0:  
        # order_target_percent(context.security, 0)  
        # # log.info("COVER LONG %s" % (context.security.symbol)  
    oilprice = data.current('Oil', 'price')  
    #record(Price=current_price)  
    #record(Ema=maverage)  
    #record(MaStandard=mavg_standard)  
    record(Oil=oilprice)  

While the output looks normal under 'build algorithm', when I switched to full backtesting view the 'Oil' line shows fluctuations that do not exist in the source data. Any idea how this can be fixed ?

Many thanks.