In backtesting difference between different trials

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  • 01/29/2020 at 4:43 PM #118213 quote
    Jaldidee
    Participant
    Average

    Hello Everybody,

     

    I hope somebody can help me with my problem in backtesting. I haven a sponsored IG account and I use the backtesting tool quite often.

    Recently I wrote a new startegie and I used the optimizationtool to test for the best results. See picture below.

    When I try to run the backtest again with the “best values’ I get totally different results with exactly the same strategie code, where I inserted values.

    (see second picture)

    Why is this and what can I do to fix this?

     

    Hope somebody can help me.

    optimization.png optimization.png 2020-01-29.png 2020-01-29.png
    01/29/2020 at 5:05 PM #118216 quote
    robertogozzi
    Moderator
    Master

    It’s impossible to guess what it may be.

    The main issue I can spot is related to your initial capital (€ 1000) which is WAY TOO insufficient. You have a drawdown exceeding € 6000, so a better initial capital would be € 20000 (and performance would be more accurate).

    Usually when there’s insufficient capital it should stop trading.

    Try to always backtest within the same date/time interval.

    01/29/2020 at 5:43 PM #118219 quote
    GraHal
    Participant
    Master

    Yeah you have 1051 under Tick Mode so that means there have been 1051 instances of your Profit Limit Stop and Stop Loss being hit in the same bar.

    The results shown on the equity curve chart have been run under tick by tick mode and the results are shown accordingly.

    01/30/2020 at 9:23 AM #118245 quote
    Nicolas
    Keymaster
    Master

    I moved the topic in the automated trading section of the forum.

    To give results more quickly, the optimized strategies are not using the tick by tick engine to check all ticks in candlesticks, that’s why you can have different results between the optimizer result list and a real tick-by-tick  individual backtest.

    02/02/2020 at 11:50 AM #118486 quote
    Jaldidee
    Participant
    Average

    Hello Nicolas and GraHal,

     

    Thank you very much for your answers.

    I have learned alot through this about how the backtesting works and what makes the results different.

    I will certainly use this information in my future strategies.

    Kind Regards,

    GraHal thanked this post
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In backtesting difference between different trials


ProOrder: Automated Strategies & Backtesting

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Jaldidee @jaldidee Participant
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This topic contains 4 replies,
has 4 voices, and was last updated by Jaldidee
6 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/29/2020
Status: Active
Attachments: 2 files
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