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Backtesting experts, tick data vs market replay
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Backtesting experts, tick data vs market replay

  #1 (permalink)
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baltimore marylnd
 
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Backtesting experts, tick data vs market replay

hi guys, i've created hundreds of strategies in the course of 4 years and i'm working on a strategy right now and the results are just puzzling me. I tend to not give any weight to backtesting results and look forward to testing the strategy live. but still i'm just curious what everyones inputs are.

the strategy is very simple and utilizes bid/ask and close data. i have tick data from cgq (both bid/ask & close). the results on tick data are good. The equity chart is a nice smooth rise over time, no huge blips anywhere. just steady upward trend. monte carlo also looks good. i've reviewed many trades vs the chart and they sound good.

what is puzzling to me is that the market replay results are completely different. the strategy essentially gets hammered. i was able to review some of the trades and noticed that since this particular strategy does not end the position EOD the trades were being executed based on the logic huge bid/ask spreads toward end of the day. i fixed that issue but the results are still just completely different that tick data.

now I am going to test this in the real world to see what happens. i'm just curious what peoples thoughts are. sorry i cannot share the logic behind the strategy.

why would tick data results be significantly different than market replay data?

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  #2 (permalink)
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calhawk01 View Post
hi guys, i've created hundreds of strategies in the course of 4 years and i'm working on a strategy right now and the results are just puzzling me. I tend to not give any weight to backtesting results and look forward to testing the strategy live. but still i'm just curious what everyones inputs are.

the strategy is very simple and utilizes bid/ask and close data. i have tick data from cgq (both bid/ask & close). the results on tick data are good. The equity chart is a nice smooth rise over time, no huge blips anywhere. just steady upward trend. monte carlo also looks good. i've reviewed many trades vs the chart and they sound good.

what is puzzling to me is that the market replay results are completely different. the strategy essentially gets hammered. i was able to review some of the trades and noticed that since this particular strategy does not end the position EOD the trades were being executed based on the logic huge bid/ask spreads toward end of the day. i fixed that issue but the results are still just completely different that tick data.

now I am going to test this in the real world to see what happens. i'm just curious what peoples thoughts are. sorry i cannot share the logic behind the strategy.

why would tick data results be significantly different than market replay data?

Taking a guess, you are using exotic bar types like a renko based bar. Has been discussed a million times on futures.io (formerly BMT), all backtest results are false.

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  #3 (permalink)
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Taking a guess, you are using exotic bar types like a renko based bar. Has been discussed a million times on futures.io (formerly BMT), all backtest results are false.

Mike

Agree all backtest results are false. But they should give you some idea of how the system could perform.

I am not using Renko. Good old plain regular 1 Tick values. I've also used 1 minute values. Both on backtesting results are fine. But market replay is just all out of wack.

Just a minute ago i was observing all the orders that were being executed on market replay. I think i found the problem. Looks like even though price is trading at 80$ some how logic is able to buy it 1% less and sell it. This leads me to believe that the market replay bid/ask/last quotes have major noise in them. On the chart the 1% below price was never plotted. But the data must have. It happened so quickly for me to analyze it.

I'm going to try to add a spread value between close[0] and ask price to be less than 50 cents and hopefully that changes something

update---


adding the spread didn't change anything. looks like the last values are all corrupt. way to go NT market replay.

i guess at this point i'm just curious what everyone thinks of 1 tick values from cgq on NT backtest?


Last edited by calhawk01; October 18th, 2014 at 07:25 PM.
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