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Direct MessagesDate/Time: Thu, 02 May 2024 20:31:13 +0000
Post From: Problems persist with Autotrade System Replay Back Test
| [2018-03-28 18:35:26] |
| joer - Posts: 41 |
|
I created a new spreadsheet leaving out most of the formulas, leaving me with a very basic, small spreadsheet. I upgraded to the latest version (1725)and started using the bar based back test as you recommended. A month of data now takes less than a minute so I am able to test a year worth of data in a reasonable amount of time. I am quite pleased with this and was producing the type of results profit wise I was looking for. FYI I am using your Sierra data feed and 1 tick interval for all this testing. As a final check before actually trading with this system, I ran a system replay back test. This takes about 20 to 25 minutes for a month of data. Not too bad. But here is the problem. The back test results for the autotrade system bar based back test for 3/1/2018 thru 3/23/2018 showed a profit of $4,279. But when I ran the autotrade system replay back test the results were a loss of -$3,164. I ran both types several times and get the exact same results each time so I am confident this is not a problem with my spreadsheet logic. I also ran for other months and saw similar results. My question is how can there be such a huge and totally opposite result from these two methods? And sadly, it appears the method you said I need to use, the bar based back test, is the one that is wrong. This has all been very frustrating. I understand how there would be small differences between the 2 types of back tests, but when the results are completely opposite how can they be used as part of developing a system? Also, since the replay back test appears to be the one that is correct, I'm back to taking 10 hours or more to back test 1 year of data. It's like mining bitcoins. |