Backtest vs Live – Different Results Recently??

• 11/20/2024 at 12:16 PM #240577
  GraHal

  Peformance of one of my Algo’s had dropped off recently under Demo Live running, so I thought I’d check the variables for optimum.

  Spent about 20 mins checking everything out, even did a check on  https://www.diffchecker.com/text-compare/.
  Also, as a double check, I copied & pasted the code from the Demo Live Algo and backtested that exact same code.

  Results are:

  1.  1st image shows results since 21 Oct 24 on Demo Live.

  2.  2nd image shows results since 21 Oct 24 on Demo Backtest.

  It’s as if the data (from 21 Oct to 31 Oct) available to Backtest is not the same as the data which was available while the Algo was running in Demo Live??

  Give it a try / test over the same dates to see if you get similar differences please?

  

  GraHal

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  11/20/2024 at 1:57 PM #240580
  JS

  What strikes me is that the number of orders differs and in the backtest another order was also opened at the beginning…

  There are quite a few orders in total and it seems that the “spread” in demo live differs from the backtest…

  

  JS

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  11/20/2024 at 3:01 PM #240587
  GraHal

  JS wrote:

  the “spread” in demo live differs from the backtest…

  I agree … spread in Demo Live will be same (?) as Real Live … 4.8 UK overnight, 3.6 UK daytime with 2.4 during USA market open hours.

  I use a spread of 5 in Demo Backtest if the strategy takes orders overnight; I use a spread of 4 if no overnight orders taken.

  I have not noticed such a marked difference between Backtest and Live with my other Algo of the same overall strategy.

  I’ll check a few other Algo’s when I get chance.

  Thanks for taking a look and your comments JS.

   

  

  GraHal

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