Detailed Report-Backtest different to detailed Report
04/30/2023 at 7:55 AM #213861
When I backtest an automated system on Realtime Pro (With Tick by Tick) and then after uploading the system to the Pro-Order Autotrading to trade live and then select the uploaded system and then select Detailed report — there is a large difference in the results (Wins/Losses and gains etc.). Huge difference as large as winning by hundreds of pounds to losing by same.
Please see attached screen shot of side by side Detailed reports — on left is the one from backtesting with the one on the right from after uploading to Pro-order trading.
My question is simple — which set of figures can I trust?
Any help much appreciated.
Harry Makings04/30/2023 at 8:43 AM #213863
Why are the dates and times – from and to – not showing for the ProOrder Report?
Why is the ProOrder Report showing a different Algo name (than backtest) – 1V8DC – or is that your Account number?
Judging from the ‘All Tading and All Trades etc’ … it looks like the ProOrder Report you show is for your full Account ProOrder Portfolio??
1 user thanked author for this post.04/30/2023 at 9:31 AM #213867Attached is a non-exhaustive list of the elements that can impact a live trading strategy and create differences with a demo account and/or backtests:
Because backtests are only tested on history *with no connection to live market* , you may encounter differences with real live trading environment subject to spread enlargement, slippage, etc. If your stop hasn’t move, there must be information of an error into your orders rejected list you can consult with CTRL+O.In any case, first step is to compare the backtest orders with the real orders, and why they triggered not at the same time/differently.04/30/2023 at 9:36 AM #21386804/30/2023 at 11:00 AM #213879
- Orders rejections due to one of the above reason, but also because of the allowed distance from current price to put pending orders (known as “minimal distance”)
- Different trading hours (ProOrder code launched in a different time zone / custom hours, by the user)
- Coding problem: division by zero error, null or negative periods for indicators, ..
- Lack of responsiveness of IG demo servers (if IG is the broker), although this has improved considerably since last year.
- Make backtests without tick-by-tick option
- “set stop trailing” instruction that give IG the total control of your stoploss, can be moved differently between accounts due to points above
- Limited risk accounts and their rules
- Guaranteed stoploss rules and fees
- Starting a strategy at a different time (1 hour or even 1 minute later): depending on the code of the strategy, the results of some calculations could be different.
- Margin required on the trading account (no demo or backtest tests are made on this subject)
- Overnight and overweekend fees
- Automatic adjustement of stop orders checked or not when launching the ProOrder
- Minimal distance used in backtests for pending orders, not the same as in real trading, due to broker requirement
- Different contract size between backtests and live
Harry, though GraHal saw through it better than I did, by semi-funny apples and oranges comment applied prior than reading GraHal’s post. I mean :
You can’t even have such statistics built up in Demo or else you would have waited for the result since October. Well, you could have, but I think this is not the case. 🙂
And so what you are doing there is something which is “n/a” (not applicable), as it seems to me. You can’t show statistics and compare, unless you forward tested your Strategy on Demo (or Live), and next Backtest over the same period. Understand ? Forward test : let run for a month etc. and after that run a backtest with the same Strategy over the same period of time.
Peter05/01/2023 at 11:13 PM #213952
“set stop trailing” instruction that give IG the total control of your stoploss, can be moved differently between accounts due to points above
someone can explain me this point with an exemple with some value pls ?