Even if you Back test and do Replay with the same strategy for the same period of time the results are totally different .
Below is the example of same strategy for the same time period for Mar 30 crude oil. The back test (not optimized) shows $4640 and replay shows $375
Looks like back testing gives completely misleading results.
I also tested default strategy Sample MA crossover for March 27 CL futures and got - $-660 for back testing and $-20030 on the replay.
This makes back testing totally useless and explains why so many good looking on the back
test strategies are loosing in a real market.
I hope you can prove me wrong .
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