Backtesting an Real life....

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Erik Pepping
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Backtesting an Real life....

Postby Erik Pepping » 10 Aug 2011

I developed a trading system that backtests super, just looks at the strategy analysis picture.
However on a trail account results were somehow different. To much though.
At what parameters do i need to look to say the back test is reliable.?
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TJ
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Re: Backtesting an Real life....

Postby TJ » 10 Aug 2011

Erik Pepping wrote:I developed a trading system that backtests super, just looks at the strategy analysis picture.
However on a trail account results were somehow different. To much though.
At what parameters do i need to look to say the back test is reliable.?

this post might help:
viewtopic.php?f=1&t=8626&p=40427&hilit=backtest#p40427
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JoshM

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furytrader
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Re: Backtesting an Real life....

Postby furytrader » 11 Aug 2011

How many trades a day are you doing? What time interval are you using?

It's very easy for a backtester to incorrectly calculate profits and losses when you're using (for example) a bar that has a range of 25 ticks and your stop loss and profit target are +5 / -5 ticks from your entry point. Without using bar magnification on the tick level (or some other very short time frame), the backtester has no way of telling which level (target or stop) was hit first, and so just uses assumptions to determine the sequence of prices, i.e. (open -> high -> low -> close) or (open -> low -> high -> close).
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JoshM

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JoshM
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Re: Backtesting an Real life....

Postby JoshM » 15 Aug 2011

Erik Pepping wrote:I developed a trading system that backtests super, just looks at the strategy analysis picture.
However on a trail account results were somehow different. To much though.
At what parameters do i need to look to say the back test is reliable.?

'Huh hoe kan dat?' Good question. ;)

What kind of backtest settings did you use? What kind of time frame for the FDAX do you use? How do you submit orders (limit or market, and if you use limits, how do you submit them?) How were the results 'somehow different'?

Regards,
Josh


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