When you run an optimization in ProRealTime, you may notice that the results differ from a standard backtest using the same parameters. This discrepancy occurs due to the way optimization handles historical data and trade execution.

Solution

1. No Tick-by-Tick Simulation During Optimization

• During optimization, tick-by-tick calculations are not performed, even if the “tick-by-tick” box is checked in the backtest settings.
• The optimizer evaluates trades using only the open, high, low, and close prices of each bar, which can lead to execution differences compared to a classic backtest.
• This means that trades may not trigger in the same way as they would in a full tick-by-tick simulation.

2. How to Get Accurate Backtest Results After Optimization

• Once optimization is complete, run the best-performing occurrence individually in a classic backtest to see how it performs with tick-by-tick precision.
• To do this:
  1. Open the Optimization Results window.
  2. Select the best set of parameters from the results.
  3. Click Backtest to re-run the test with tick-by-tick accuracy.

3. Differences in Order Execution

• Without tick-by-tick data, orders may be executed differently in optimization compared to a real-time market scenario.
• Indicators like moving averages, crossovers, or intrabar conditions might behave differently, leading to variation in results.

4. Impact on Strategy Performance Metrics

• Because optimization simplifies execution, performance metrics such as profit, drawdown, and win rate may be overestimated or underestimated compared to a full tick-by-tick backtest.
• Running a detailed backtest on selected optimized parameters ensures that the strategy performs as expected under real market conditions.

By understanding these differences and verifying optimized results with a tick-by-tick backtest, you can ensure your strategy is truly optimized for live trading.