Hello,
I was facing an issue today. I ran probacktest and automatic trading simultaneously. I was trading with US tech 100. Spread was set 2 points.
Here is an example, an order which is showing very different result.
Can someone help me, please why is it? I think that testing should show about the same result (1-2 points could be tolerated).
What do I miss here?
Thanks
George
| Probacktest |
ProOrder Autotrading |
| Entry date |
exit date |
type |
nbr bars |
abs perf |
Entry date |
exit date |
type |
nbr bars |
abs perf |
| 14Jul2020 15:00:00 |
14Jul2020 15:00:00 |
long |
0 |
GBP104,7 |
14Jul2020 15:00:01 |
14Jul2020 15:02:01 |
long |
2 |
USD5,01 |
Backtests are not suffering from real market conditions, spread and slippage could have some impact to the final results.
I can’t help more without the code you are using, there might be things to improve into it.
Hello Nicolas,
First of all thanks for your reply! Of course I do understand, that there must be differences between test and real environment. But you make your decision based on backtest results whether you let the algo run or not. If you have an algo that makes consistent profit in the test, but it can not make the same in the real life, then why is the backtest functionality? How can you optimize your algo, if test is not running like real life? Sorry, I understand, that it is a complicated issue from developers point of view. But what about a customer?
First I made a mistake that I did not set the spread. Now I have a two point spread. In NYSE opening hours there is a 1 point spread in US100. So theoretically test should make worse results, right?
Thanks for your understanding!
best
George
14Jul2020 15:00:00 14Jul2020 15:00:00
You sure above is correct … open and close in same second and makes £105??
I guess it was a spike that retraced by the time the trade opened in REAL Live at 14Jul2020 15:00:01 ??
Hey Grahal,
Thanks for your question. It can be a spike…I collected these data from PRT. Have to tell you, that all the closing dates are the same as opening dates for each order (if I remember well, can not check at the moment).
Best
George
Have you got Tick by Tick Mode enabled?
Thanks GraHal, very good question again :)! It was not enabled, because I got a warning message, to relaunch…
Since I do not use target price in the code, only trailing stop (so there is no sequence issue)I meant that tick by tick is not necessary. But I can see that tick by tick mode is much closer to reality.
Thanks for all of you for your support!
Any tip I should pay attention to?
Thanks again!
Best
George
