Back Testing Not Respecting Spreads

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  • #165021 Report

    I have a back testing strategy for the Tesla (TSLA) market which returns the same gain results whether or not I specify a spread. E.g if I specify a spread of zero I get the same results as when I have a spread of 100. By the way, I have tick mode on. This hasn’t happened when I have put together strategies for Wall Street, where the specified spread is respected. Have anyone else found a similar situation or know why this could be?

    #165063 Report

    I specify a spread of zero I get the same results as when I have a spread of 100.

    Specify meaning entered in the backtest engine settings (not hard coded in)?

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    #165098 Report

    I mean that I click on the Spread check and enter the number of points. Not in the code. Please see attachment. Thanks for taking an interest GraHa. Much appreciated!

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    #165116 Report

    Attached image 1 is with spread = 0, image 2 is with spread = 100

    There is a difference of 9827 – 9175 over 669 trades.

    It would appear there is some inbuilt limit on spread as a % of price or some absolute limit on spread value?

    Why would you use / enter a spread of 100 anyway?

    Why not use what the spread actually is … 0.41 currently??

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    #165153 Report

    Interesting result. Thanks for that. Correct me if I’m wrong but (9827 – 9175)/ 669 trades means an implied spread limit in the system of 0.974. I used a spread of 100 just to see whether there would be a difference in the resulting gain. However, as you’ll know, Tesla has a very volatile spread which seems to vary between 40 and even over 100 depending on when one trades so in a back testing strategy I like to use more of an average spread rather than what the spread is at the time. For Wall Street I specify a spread of 3.2 which is excessive but introduces a margin of safety, and find that the back testing and actual results in my IG demo/live accounts against live data are pretty much in line as a result.

    #165170 Report

    implied spread limit in the system of 0.974

    The difference between above and 1 is maybe due to slippage?

    I agree with all of the rest of your comment and I do the same re use worst case spread etc.

    I tests I posted above were from on my CDF Platform … hence the spread I quoted of 0.41.

    You must be testing on your SB Platform when you say spread 40 and even over 100?  True price (currently $669) is multiplied by 100 to give point size = $1 on IG SB Platform (current Tesla price is $66,900).

    I just bought 1 Tesla share on IG SB and straight off I am $87 down due to spread! 🙂

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    #165171 Report

    The difference between above and 1 is maybe due to slippage?

    I deviated in previous post … so spread of 1 on CFD would be same as 100 on IG SB Platform.

    I’ll do another test later and let you know!

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    #165172 Report

    Attached image 1 is Tesla on SB with spread = 0

    Image 2 is Tesla on SB with spread = 100

    Oh for no spread, we all be billionaires! 🙂

    So spread of 100 is taken into account, There were 2,545 trades with spread = 100 … you do the maths from values on rhs of equity curve.

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