I started a program (found it here on the site) and in backtest it works without problems. But in real it don´t generate the entrys and i can´t find the error. Pls find attached on the left side the real trades, and on the right side the results from backtest. After my last trade, three more trades followed in the backtest.
It´s a GPB/JPY strategy (i can´t find the thread anymore)
Can someone help?
Are you using the same value for spread in the backtest engine as will be used in Live?
Keep it running and keep the backtest run, as well. They should both open trades at the same time.
Have you checked that conditions have been met?
Attached 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:
- Spread
- Slippage
- 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
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.
Are you using the same value for spread in the backtest engine as will be used in Live?
My spread in the backtest is 3.5
Spread on Forex varies every few seconds. Insert the bid ask band on your chart and set to 5 sec TF and you can see the band widening and contracting every few seconds.
You could try your Algo on an Index, e.g. DJI between 14:30 and 21:00 UK Time (fixed spread) and see if backtest results are same as Live … but could be risky with real money?
Better to share the code so we could find hints to help you, if that’s possible.
Better to share the code so we could find hints to help you, if that’s possible.
Yes, of course. Attached the code.
I checked it live on yesterday. From 11 p.m. the spread exploded from 3.5 up to 20 for round about half an hour. In the terms and conditions i did´n found this high spread. Under that conditions it´s not possible to run that stragedy. 🙁
Indeed, that strategy is using pending limit orders to enter the market, if the price level to put that orders is contained in the spread, then the broker will reject it. Do you have rejected orders in the list?
No, i don´t have rejected orders in my list. I only see the diffrents when i compare backtest and live results.
Are you looking in same place as on attached for Rejected Orders?
