Backtesting Vs Live Trading

Viewing 8 posts - 1 through 8 (of 8 total)
  • Author
    Posts
  • 05/17/2020 at 6:03 PM #132005 quote
    jays1
    Participant
    New

    I have a EURGBP 5 min strategy that appears to backtest well on ProRealTime (as well as on Bloomberg) very consistently for multiple periods.

    I loaded the strategy into live trading (demo account) and, as per the attached screenshot, the “live” result seems to be completely different from the subsequent backtest on the same period.

    I would really appreciate it if anyone could provide some insight as to why this may be the case (apologies if this is a basic question, I am still new to PRT). For instance, does the backtest not take account of spreads etc.

    Thank you again.

    05/17/2020 at 6:20 PM #132009 quote
    GraHal
    Participant
    Master
    jays1 wrote:

    does the backtest not take account of spreads

    It does if you set the spread within the backtest engine.

    Also did you have tick by tick enabled?

    See red arrowhead on atached.

    Btw … no screenshot attached to your post.

    jays1 thanked this post
    Jay.jpg Jay.jpg
    05/17/2020 at 6:41 PM #132016 quote
    Vonasi
    Moderator
    Master

    Topic moved to the ProOrder forum as it is a ProOrder strategy related question. Please try to post your topics in the correct forum.

    05/17/2020 at 7:29 PM #132019 quote
    jays1
    Participant
    New

    Please see the screenshot of the backtested vs live equity curves. Thank you.

    Snapshot.png Snapshot.png
    05/17/2020 at 8:44 PM #132024 quote
    Francesco
    Participant
    Veteran

    How can you base a backtest on 100 units and pretend to take assumption for the future?

    05/17/2020 at 10:11 PM #132034 quote
    Francesco
    Participant
    Veteran

    Ok i did not understood well the question, i thought you were complaining about the strategy not being good as the previos 100 units backtest.

    05/18/2020 at 12:01 AM #132042 quote
    jays1
    Participant
    New

    No problem ! To clarify, I was simply trying to determine why the backtest results were so different from the live results. Thank you

    05/18/2020 at 7:48 AM #132061 quote
    Vonasi
    Moderator
    Master

    You have not answered GraHal’s questions.

    Spread can make a big difference. In back testing we have to fix it at a certain value where in real life it can be different at different times of the day and change during times of high volatility.

    If your strategy can close trades mid bar then you must back test it with tick by tick on otherwise it will look much better than it really is.

    Another issue could be your stop loss levels. In a back test you can set them closer than your broker allows you to in real life.

    GraHal thanked this post
  • Author
    Posts
Viewing 8 posts - 1 through 8 (of 8 total)
  • You must be logged in to reply to this topic.

Backtesting Vs Live Trading


ProOrder: Automated Strategies & Backtesting

New Reply
Author
author-avatar
jays1 @jays1 Participant
Summary

This topic contains 7 replies,
has 4 voices, and was last updated by Vonasi
5 years, 9 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/17/2020
Status: Active
Attachments: 2 files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™