Real trading does not match the backtest

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  • 08/12/2021 at 11:03 AM #175149 quote
    mcolladoc
    Participant
    New

    Hello, after a while testing a simulated system I have decided to put it to work with real money but I am realizing that if I do a backtest, the operations of the simulation do not coincide with the real one.

    What do you think it could be?

    Thanks a lot.

    08/12/2021 at 3:53 PM #175183 quote
    Mauro T. “Algorithm System”
    Participant
    Master

    You have to start the Backtest with the date and time corresponding to the Live.
    I think that’s what makes the difference.
    Hello
    Mauro

    08/12/2021 at 4:18 PM #175189 quote
    Nicolas
    Keymaster
    Master
    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
    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.
    IG orders list history may be also helpful!
    08/12/2021 at 5:38 PM #175194 quote
    GraHal
    Participant
    Master

    Link to above added as Log 298 here ,,,

    Snippet Link Library

    Not a code snippet, but an easy point of reference will be very useful.

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Real trading does not match the backtest


ProOrder: Automated Strategies & Backtesting

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mcolladoc @mcolladoc Participant
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This topic contains 3 replies,
has 4 voices, and was last updated by GraHal
4 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/12/2021
Status: Active
Attachments: No files
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