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Goen
2007.03.30 22:17
I've tried few times, and the results a lot differences trades between Strategy
Tester and when I let my EA do the the trades lively.
In ST, model i used "every Tick", same time, same period, same EA with the real trades online, but I got a lot differences Trades and it makes me lose a lot of money. Sometime have same open time trades but difference close time. Sometimes the trades have same time but difference action (between BUY and SELL). It makes me headache. What happen ? and how to handle it ? |
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Zap
2007.03.31 22:10
Study these topics, and ask specific questions if something is not clear:
'Made $ 258 663.50 from $3000 using Problematic Backtesting by just buying at open (Fractal ZigZag)' 'Indicative vs "Real" quote data...' 'Historical data differences?' 'EA Tester is useful?' |
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Goen
2007.04.01 02:46
Hi, Zap |
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Zap
2007.04.01 12:52
It is not the slippage which makes the big difference, but inaccurate data. M1 data
will not be enough for accurate testing, because the ticks are simulated, and can
be really different from real ticks.
You will need good quality historical tick data to perform accurate tests. This can cause extreme inaccuracy in some cases. (even 100000%). Of course all the above depend highly on your style of EA. Even when using real ticks, the inefficiencies in realtime trading (slippage, changing spread) cannot be backtested, but as I saw it causes only around 10% inaccuracy. It cannot really be reduced, but it is acceptable for me. |
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Goen
2007.04.02 09:34
The most important is the EA style itself which it using the real tick or using
fix point/data, such as: data in previous bar etc will not have big effect as long
not using ask or bid (ontime data), etc which the data unreliable and the result
of backtesting is more reliable when using fix data. is it correct? |