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Date/Time: Thu, 19 Sep 2024 01:01:18 +0000

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Post From: Backtest results are radically different from live trading results

[2022-02-24 22:29:30]
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1+1=10 - Posts: 270
If you’re trading a short-term automated strategy, the problem with any of SC’s backtesting methods is that the time it takes for the data to get to your algo’s computer and for your order to go back to the exchange are not factored in at all! In that time of up to 500 ms, in the worst-case, the live price could have changed by dozens of ticks. To gain some insight in to this simply open a “Time and Sales” on the contract you’re trading; eventually disconnect and look at the time stamps.

The only way to overcome this problem, unfortunately, is right export a chart’s data and build a backtesting system outside of SC. If you do, you can factor in how long it takes your algo to react to new information, which you absolutely must know of any sort of short-term trading. You can write an ACSIL study to submit 1 live limit order far away, that won’t get executed, and then wait for the order acknowledgment —- this will more or less be your algo’s reaction time.

A much more accurate method in SC for determining the profitability of an ACSIL algo is the Simulated Futures Trading Service as since the data and orders actually go back and forth from the service’s server which is in Chicago it factors in algo reaction time (including limit order queues). The disadvantage is it is only for “forward-testing”, meaning it only provides the ability to trade on “live” data, weather real-time or delayed.

The remote buffer delay and chart update interval are part of determine your algo’s reaction time during live trading and while using the Simulated Futures Trading Service. You want them both at their minimum values, 10 (millis.) High compression is a good idea.

SC warns about setting some of the values too low but if you’re serious about algo trading you need a computer/server setup capable of processing the data as quickly as possible (which can handle the minimum settings).