Completely Different Results in Backtesting @ wealthlab and @ tradesignal.com!!!

Hi SSB,

Comissions are turned on; (2 point spread + 5 €for a halfturn).

I dont know if I need Slippage, because there is a LIMIT order to open and the position is closed @ the last price of the day...

best regards
walli
 
In Wealthlab limit order slippage forces price to trade through the limit price (not just at it) for a trade to be filled. Since there's no way to be sure if a trade will be filled if price just drops to your limit price and reverses (sometimes it will -- usually only for losing trades though :p).

You should try to export the data and run it in Wealthlab, that'll tell you for sure....
 
In addition to non-fills at entry, there isn't a guarantee that exit orders will be filled at the closing price. So, you should also have slippage adjustments in your back tests for exits.
 
Hi All,

Having worked for many years in algorithm development, I must say that to make live data agree with simulation (backtesting) is horrendously difficult. Several smart people have pointed this out over the years.

If you ever arrive at trading for real, and adhering 100% to your strategy of course, simply give it a try. At night rerun your day's data through your simulator/backtesting program and see wether they agree. Chances they won't the first time around. :D

Improving on this will take you quite some time and effort. In doing so, I often learned a lot about improving my current strategy as well.

Lesson: If you hope to find any similarity between popular commercial toys, each with different data streams. Good Luck. I used to still believe in this almost 10 years ago and luckily understood this was not my piece of cake.
 
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