Comparing simulation fills vs expectation of real fills
I had 2 short questions:
[If important, I use different datafeed and simulation account; kinetick for datafeed and IB for execution ( sim).]
For the questions, I had trading futures in mind ( 6E) [ but it would also be interesting to hear it for futures on other instruments ]
1) In trading simulation, and using x ticks as target, sometimes price moves exactly x ticks ( and not x+1) and the simulation account sees this as a fill, and thus succesful trade. This happens about 20% of the trades which move exactly x ticks. Is this realistic?
2) When evaluating a historical backtest, what would be a wise/realistic number of movement to label a trade as succesful? For example, suppose you control your entry price by a lmt order, using a target of x ticks, would you include all trades as succesfull which move x+1 ticks, or x+2, or more? I can imagine this number would be increased trading more contracts and be different per market, what is realistic?
Last edited by Zwaen; April 24th, 2012 at 04:46 AM.
This post has been selected as an answer to the original posters question
For more realistic (back)test results please use REPLAY of downloaded days as 3. test variant.
Without special and tricky use of fills based of additional 1 tick data series, you don't can secure use the standard backtests of NT7. Only with replay and NEVER realod your test results give a real picture of the strategy potential.
Hi TimeTrade, thanks, the backtest is performed manually/visually in historical charts, not by using NT.
( btw my questions are more out of curiosity since it would offcourse be ridiculous to let a strategy depend on 1 tick more or less )
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