Backtesting Vs Live Trading

• 05/17/2020 at 6:03 PM #132005
  jays1

  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.

  

  jays1

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  05/17/2020 at 6:20 PM #132009
  GraHal

  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.

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  jays1

  

  GraHal

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  05/17/2020 at 6:41 PM #132016
  Vonasi

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

  

  Vonasi

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

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

  

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  05/17/2020 at 8:44 PM #132024
  Francesco

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

  

  Francesco

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

  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.

  

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

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

  

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

  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.

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