Optimization datastream vs real datastream

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Optimization datastream vs real datastream

Postby Scrat_Power » Wed Sep 10, 2014 7:43 am

Hi all,

Here a subject that i would share with you.
The idea is to find a solution at this annoying problem.

The fact :
When you are backtesting or optimizing a strategy, the Trading Station load historical data to play the strategy on the demanded period.
When you are in real life and you are playing your strategy, data are arriving in live.
Here the "hic" : if your internet link is bad or poor quality, datastream received is not complete. Some information are lacking and your datastream is incomplete.
I have done a lot of tests and i can observe (daily) these differences and, at final, the real strategy and the backtested strategy that give different results.
Used indicators are static (not dynamic ones).

So, my questions :
- Have you observed this issue ?
- Do you have an idea to correct it ?

The main concern is to obtain in real life the same result than in backtest/optimization life.

Regards,
Scrat.
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Scrat_Power
 
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Re: Optimization datastream vs real datastream

Postby Valeria » Thu Sep 11, 2014 2:17 am

Hi Scrat,

The Backtester trading result and the real market trading result most likely are different. The thing is that Backtester or Optimizer just simulate the trading, whereas during the real market trading can be met a bit different conditions. Say, different slippage or price change. Though, you will get the same bars on the real chart and Backtester chart.

Best regards,
Valeria
Valeria
 

Re: Optimization datastream vs real datastream

Postby Scrat_Power » Thu Sep 11, 2014 11:42 am

Hi Valeria,

Thanks for your quick answer.
It is more clear now.
Your answer gave me an idea to get around this difference in streams.
I will work on it.

Best regards,
Scrat.
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Scrat_Power
 
Posts: 26
Joined: Tue Aug 21, 2012 2:56 pm


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