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Backtesting with Historical or Market Replay data
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Backtesting with Historical or Market Replay data

  #1 (permalink)
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Backtesting with Historical or Market Replay data

I have searched all over Google and I can't seem to find this question asked or answered anywhere...

Is it better to do manual backtesting of a trade strategy with Historical data or Market Replay Data? Would any one be more accurate than the other?

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  #2 (permalink)
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Does anybody have any thoughts on this?

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  #3 (permalink)
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dielectric View Post
I have searched all over Google and I can't seem to find this question asked or answered anywhere...

Is it better to do manual backtesting of a trade strategy with Historical data or Market Replay Data? Would any one be more accurate than the other?

Assuming you are talking about a coded strategy, I would say it mostly depends on whether your strategy reacts to any intra-bar values or makes any intra-bar entries or exits, in which case you are going to get different results.

Using historical data will effectively result in your strategy running in 'on bar closed' mode.

Using Market Replay data will allow intra-bar activity, but that's only relevant if your strategy runs on every bar update.

Even if your strategy does make use of the extra intra-bar activity available with Market Replay data, or if it uses bid/ask data, the data stream is still compromised to a one second granularity, so 'accuracy' is a moot point. It might be 'better' but it still might not be 'accurate'.

If you have opted for the strategy running on closed bars choice of data won't matter anyway.

Just my 2c.

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