I have found that strategies that perform well on backtest data are often drastically different (read very poor) in live market conditions. One source of the problem is the dynamic values of the indicators being calculated which may not be not an issue with historical data.
What is the best way to mimic as close as possible the backtest results.? For instance is it better to implement a strategy On bar close, rather than On each tick/price change, in order to limit false fills in live markets? What other ways?
Thanks for your help.
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