I have been seeing differences in the outcomes of a single day run through backtesting and run through market replay. I thought it was my strategy somehow, but then I started output some data elements from 9:30:00 - 9:30:10 for every bar (I'm using 10-tick bars) ... the data is different. Not hugely different, but different enough that I can see how my strategy behaves differently.
So I'm wondering ... which of the two better represents the real data of the day?
Thanks.
Comment