Can someone more experienced than I help me out with this? I have developed a strategy that has been profitable on MNQ since 2019, when backtesting this strategy (the exact same code) against the full NQ, I get dramatically different results. Any idea why this is?
My understanding is that since the code is the exact same, the entry and exit criteria is the exact same, the profit factor, win % and other stats should be the same as well. Am I incorrect here? The only difference would be that losses and wins are bigger in size due to the multiplier of the full vs micro contracts.
To give a little insight into the strategy. It is a gap based strategy that adds additional contracts (pyramids) into winning trades, and does not add to losers.
What am I missing here? I have excluded commission and slippage to make the comparison easier.
Can you help answer these questions from other members on futures io?
Easiest way to find out is to check the trades list. If you are executing entries/exits at market, over 1000 trades, the difference could add up.
While algos will keep both markets aligned they wont be exactly the same at all times - especially during off-peak hours. I have noticed the same thing with CL (NYMEX) vs WBS (ICE) and BZ (NYMEX) vs BRN (ICE). Technically they are the same market but there are differences in the BBO at times and the fills can be different but not by more than a tick or two.
So, best way to figure this out is to go through the trades one by one.
Thanks Hulk, this is a good idea and something I will try if I can't get to the bottom of it sooner. I guess I didn't expect them to be 100% exact like you said (account for slight differences is normal imo), but the drawdowns and net profit numbers are insane.
I agree. Its a large difference. A tick or two here and there is expected and it is expected to be random so it should go both ways. In my case, the differences were immaterial. I had no problems backtesting BRN and trading BZ.
