Support Board
Date/Time: Fri, 27 Dec 2024 02:27:11 +0000
replay back testing vs real-life
View Count: 1618
| [2014-01-15 13:29:15] |
| dominikos - Posts: 106 |
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I'm evaluating Sierra Charts and wrote a few ACSIL strategies for automated trading since this is my intended use of this application. I was wondering about the accuracy of replay back testing. I found that the same strategy left running for a day will produce different results than backtested using replay for the same time period. I would expect the to be a bit off but the differences were sizable. I use CTS4 demo account for testing and have my charts set to use tick data. The chart itself used for testing is a tick chart. I would appreciate if folks using back testing could comment on the accuracy of the testing vs real life based on their experience. Thanks, - Dominik |
| [2014-01-15 17:24:09] |
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More information about this can be found here: http://www.sierrachart.com/index.php?l=doc/doc_Backtesting.php#DifferencesBackTestRealTime Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-01-15 17:25:04
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| [2014-01-15 17:27:10] |
| vegasfoster - Posts: 444 |
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Replay/backtest will never be 100% accurate to live, sad but true. By and large backtesting and optimization are myths. It really just tells you if something is completely no good, but a strategy can test good and still be lousy live based upon a multitude of factors, the most significant being slippage on market orders, no-fills on limit orders, randomization and emotions. On the technical side, I'm not the right person to answer why simulation and replay would be different, but in lieu of a better response, I believe simulation accounts for the current bid/ask whereas replay does not, i.e. there is no level 2 in replay. I've previously requested level 2 in replay many moons ago, but it has not been implemented. Someone correct me if that is wrong. Also, make sure your intraday storage time unit for your data/trade service is set to 1 tick. |
| [2014-01-15 17:55:36] |
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Yes, actually one definite reason for a difference between back testing live trading is the fact that the actual bid and ask prices are not known. They are estimated. Using the actual bid and ask prices during a back testing is something not easy for us to implement unless we were to change the data file format . It would take more space and create complications. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-03-10 19:07:21] |
| User110078 - Posts: 16 |
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Is there a way to modify in % the bid and ask values for backtesting to make the backtesting harder than live, maybe as a feature?
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| [2016-03-11 02:29:01] |
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You can increase Chart >> Chart Settings >> Tick Size. This is explained here: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#IncreasingSpreadBetweenBidAndAskPrices Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-03-11 02:37:52
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| [2016-03-11 02:38:11] |
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Here is the specific section: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#IncreasingSpreadBetweenBidAndAskPrices Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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