backtest situation

Questions about MultiCharts and user contributed studies.
djmoura
Posts: 7
Joined: 15 Apr 2013

backtest situation

Postby djmoura » 30 Jun 2013

Has anyone ever faced situations like these?

1) approx. $1530 total profit
$25 per contract slippage
Fill limit order 1 tick beyond price

2) approx. $1269 total profit
$25 per contract slippage
Fill limit order at price or better

Both scenarios with bar magnifier enabled and no IOG used.

None of them are even close to the real results (approx. profit $358).
Interesting is that fill limit 1 tick beyond is retrieving better results in bkt mode.
Any suggestions on how to reflect such results in live mode?

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Andrew MultiCharts
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Re: bkt situation

Postby Andrew MultiCharts » 02 Jul 2013

Backtesting may provide you with better results, but unfortunately it doesn't mean the identical (profitable) results can be achieved in live trading. One should not expect the same results comparing backtesting vs. live auto trading. The Extended Backtesting mode is to make results more realistic, however some real-time factors simply cannot be emulated in historical calculation. Extended mode cannot be used simultaneously with Bar Magnifier feature. Multiple settings of automated trading in real-time may also increase the discrepancy. Starting with MultiCharts 8.5 the slippage doesn't affect limit and stop-limit orders in MultiCharts, since a limit order cannot be filled at a worse price.


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