I originally developed and back tested the strategy using the order fill high resolution (1 tick) in the strategy analyzer.
I ran the strategy yesterday 9-4-20 live in sim mode.
I then back tested the same date with all the same parameters on the same machine and the results were very different.
Running in sim mode during market hours returned 30 trades with a profit of $2005. The back test results returned 26 trades with a -$360 loss.
There was a time span of 8 minutes where the sim took 4 trades and these trades do not appear in the back test which would resolve a large part of the discrepancy.
I also tested the rest of the week and the results didn't match on any day but the correlation appeared to be much worse on the volatile days.
What is the best way / settings to get the back testing more accurate.
Thank you
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