I know it seems illogical to test on the underlying index’s / asset’s (DAX index) tick data when I have the traded instrument’s (FDAX future) tick data but still I am curious about the massive difference between the two data series when backtesting.
Simply put my main question is: do you have any idea why there is such a massive difference result wise between the FDAX Future versus the DAX index (total net result 1100 points versus 4500 points) when backtesting utilizing tick data based price bars (SIBackTestRenko, Range Bars etc.) when the strategy applied and other settings are all identical between the two backtests - just changing Data Series – from 2000 ticks DAX to 40 ticks FDAX?
What I can optically see in the charts when comparing is that the FDAX future chart generates more price bars, more signals and the price seems to be more volatile relative the DAX index.
Any underlying logic for this “behaviour” according to you?
Thanks//
//TB
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