Difference between live and backtesting

Viewing 5 posts - 1 through 5 (of 5 total)
  • Author
    Posts
  • 02/08/2018 at 11:27 AM #61977 quote
    dkinse
    Participant
    New

    Hi,

    I’m pretty now in this and need your help with one of my systems. When I do a backtest, the system works fine but now I’ve started it live, it does not make the same trads as in testing. In fact, it makes no trade when it’s live?

    This is the code, quite simple I think.

    What is wrong?

    Big thanks for your help :))

     

    //-------------------------------------------------------------------------
// Main code : MACD cross over
//-------------------------------------------------------------------------
// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated

// Conditions to enter long positions
indicator1 = MACDline[12,26,9](close)
c1 = (indicator1 CROSSES OVER 0)

IF c1 THEN
BUY 1 CONTRACT AT MARKET
ENDIF

// Conditions to enter short positions
indicator2 = MACDline[12,26,9](close)
c2 = (indicator2 CROSSES UNDER 0)

IF c2 THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF

// Stops and targets
SET STOP %LOSS 0.09
SET TARGET %PROFIT 0.36
    2018-02-08-09_21_20-Detailed-report.png 2018-02-08-09_21_20-Detailed-report.png 2018-02-08-09_18_59-Detailed-report.png 2018-02-08-09_18_59-Detailed-report.png
    02/08/2018 at 11:31 AM #61983 quote
    Nicolas
    Keymaster
    Master

    > For clarity of messages on ProRealCode’s forums, please use the “insert code PRT” button to separate the text of the code part! Thank you! <<

    Did you include the spread in your test? Did you use tick by tick backtesting? Have you looked at rejected orders list into the platform (CTRL+O)?

    02/08/2018 at 12:02 PM #61993 quote
    dkinse
    Participant
    New

    Hi Nicolas,

    Thanks for your answer. Now I have done a test with tick by tick and suddenly it becomes enormously unprofitable. before it was a okay strategy!

    this means that the strategy does not work in reality?

    should you always test with tick by tick to be sure that the strategy works?

    Bjarke

    02/08/2018 at 7:29 PM #62066 quote
    T-rader
    Participant
    Average

    Spread often does a big diffrens. The world would be beautiful if there wasn´t any spread 😉

    You always have sprread in live trading so you should always optimize/backtest with correct spread and tick by tick.

    02/14/2018 at 11:12 AM #62705 quote
    dkinse
    Participant
    New

    Hi T-rader,

    haha yes after testing again with tick by tick, it dos a big diffrenc ;)) That hatred certainly saved me a lot of money 😉

    Can i ask you! Have you used this for a long time?

    Several of my systems that are running do not make the same trade in real life as when I backtest. Have you experienced the same?

  • Author
    Posts
Viewing 5 posts - 1 through 5 (of 5 total)
  • You must be logged in to reply to this topic.

Difference between live and backtesting


ProOrder: Automated Strategies & Backtesting

New Reply
Author
author-avatar
dkinse @dkinse Participant
Summary

This topic contains 4 replies,
has 3 voices, and was last updated by dkinse
8 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/08/2018
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™