Is there any point devising strategies and backtesting?

Forums ProRealTime English forum ProOrder support Is there any point devising strategies and backtesting?

Viewing 8 posts - 1 through 8 (of 8 total)
  • #218469

    Is there any point devising strategies and backtesting when the real world trades and results bear no resemblance whatsoever to them, I am using the below code, have run it for 10 days linked to IG. The orders it takes are losing ones, and have no correlation to what the backtesting said it would:

     

    #218476

    FYI

    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, I’ve highlighted in bold the truest similarities to this particular strategy.
    1. Spread
    2. Slippage
    3. 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”)
    4. Different trading hours (ProOrder code launched in a different time zone / custom hours, by the user)
    5. Coding problem: division by zero error, null or negative periods for indicators, ..
    6. Lack of responsiveness of IG demo servers (if IG is the broker), although this has improved considerably since last year.
    7. Make backtests without tick-by-tick option
    8. “set stop trailing” instruction that give IG the total control of your stoploss, can be moved differently between accounts due to points above
    9. Limited risk accounts and their rules
    10. Guaranteed stoploss rules and fees
    11. 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.
    12. Margin required on the trading account (no demo or backtest tests are made on this subject)
    13. Overnight and overweekend fees
    14. Automatic adjustement of stop orders checked or not when launching the ProOrder
    15. Minimal distance used in backtests for pending orders, not the same as in real trading, due to broker requirement
    16. Different contract size between backtests and live
    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.
    #218709

    Prior to setting my strategy live it had never had such a losing streak as this – something fishy is going on on IG’s side and it isn’t just slippage. How could so many strategies that show as winning in backtesting be bankrupting all users? The coding behind their side is very opaque and for all we know, they are profiteering massively on the backs on PRT users

    #218711

    I sympathise and smile at same time; your thoughts echo same as many of us have had at some stage.

    First off, are you 100% sure you had tick by tick enabled when you backtested?

    I’ll run your code on my Platform and see if I have moree to add later.

     

    #218716

    To run your code myself, I would need the Indicator MetaScore and, as I can’t see it in the Library, I take it you bought off MarketPlace?

    If Yes, does the Vendor have any comments to alleviate your frustration?

    #218719

    Yes, I found MetaScore Indicator on MP … sounds good, a confluence score of many Indicators!?

    #218822

    Position size of orders in your IG statement is not the same as the one from your backtest, maybe that’s related:

    1. change position size with 1 for example
    2. make sure you have sufficient margin required
    3. check orders list rejection in the platform
    4. check in ProOrder that these IG statement orders were really launched by the code?
    #218843

    Thank you both for your kind sympathy and input – I think this is more about whining than not winning. I do recommend Metascore, will keep trying and keep all of your advice in mind

    1 user thanked author for this post.
Viewing 8 posts - 1 through 8 (of 8 total)

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