difference limit order backtest and live

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  • 09/11/2018 at 2:17 PM #80172 quote
    Vonasi
    Moderator
    Master
    GraHal wrote:

    Correct … at 0 / zero spread, I get a trade opening on Demo Backtest at 1 min at 10:24 (I am UK so 1 hour behind the OP).

    So it must be a difference in the spread/slippage between the live spread/slippage and a fixed demo back test spread of 1.0

    If there are multiple times that this is happening when comparing live trading with back testing then I would consider it something to worry about when analysing results. If it is just a one off or very rare that you are seeing trade differences then it is unlikely to seriously effect the back test results. It is unfortunately one of the disadvantages of back testing using a fixed spread as spread in real life is not fixed. It varies from year to year and changes dependent on the time of day and can even change second to second on some stocks – but we only have a fixed spread to use.

    09/11/2018 at 2:23 PM #80174 quote
    Paul
    Participant
    Master

    I agree too! With spread disabled or set at 0, there’s a buy at 1 minute with a limit order which is the same as live.

    So that’s the reason and good to find out. Thanks for the tip!

    What does dat mean now for a backtest if you use spread, because in live trading you win or lose money and the backtest skipped the trade?

    09/11/2018 at 2:43 PM #80176 quote
    Vonasi
    Moderator
    Master

    It means that when you back test you have to do so in the knowledge that it has limitations in its accuracy – which is why you must forward test extensively in demo to gain confidence that your strategy actually works on the real battlefield.

    Paul thanked this post
    09/11/2018 at 2:50 PM #80178 quote
    Nicolas
    Keymaster
    Master

    Backtests cannot be as accurate as live trading (and I’m not talking about potentiel bugs), but reality of spread, liquidity and slippage.

    Paul thanked this post
    09/11/2018 at 3:37 PM #80185 quote
    Paul
    Participant
    Master

    The question why it happened is most important and that has been answered. Thanks all!

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difference limit order backtest and live


ProOrder: Automated Strategies & Backtesting

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Paul @micky75d Participant
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This topic contains 19 replies,
has 4 voices, and was last updated by Paul
7 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/09/2018
Status: Active
Attachments: 5 files
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