Support Board
Date/Time: Mon, 10 Feb 2025 01:35:01 +0000
Post From: Replay Backtest Issues
| [2020-07-29 19:00:34] |
| Marion2025 - Posts: 13 |
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I'm having the same problem. Have you checked that your algorithm references any cells at the current timestep? This will cause a very large divergence in the backtests as the reply backtest will pull tick data but the bar backtest will estimate a value based on the current bar. However, even if you only reference the prior bar, you will still likely see a large divergence. This is the issue I am facing and cannot explain it. My bar backtest still shows my strategy performs 10x better than in a replay back test. I have even enabled "always simulate bid/ask." I cannot explain the discrepancy as it makes no sense, nor can I find a strategy that runs consistently on both backtest methods. In my strategy, the trade should only execute at the absolute beginning of the next bar, referencing only values from the previous bar. These two methods should produce similar results under those conditions This an extremely frustrating result. Some divergence would be tolerated, as it would allow users to iterate on the quicker method and validate on the slower method. But when the bar based backtest is wholly inaccurate even under these restrictions it renders it useless as a feature, or worse, a time waster. The runtime on the reply test makes it near impossible to optimize strategies in a time efficient matter. I don't see a solution in sight beyond building my own backtesting framework |