|09-23-2008, 05:46 AM||#1|
Join Date: May 2008
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I have done intensive reading behind your backtesting philosophy. And while it makes sense for the most part, it errs by ommission.
Yes, it's true that live results will differ from backtest results. However, although you can not know the bid/ask during backtest, you can always come down to the lowest possible timeframe in order to provide a more accurate result.
Let me give you an example, I have a TF 3min strategy with a $280 TP and a $190 SL. My backtesting results are completely off becuase in those cases where a long bar is encountered, NT cannot discern what came first between the OHLC and mmy entry gets tagged as a loss instead of a profit. And, although market replay is a nifty feature, it does not work for log term backtest of a strategy.
A more accurate approach would be for a smart backtest, in which it looks at the bar and, if there is an entry, then default to 1 min data (for example) to see what happened inside it. That way, the problem with the OHLC would be avoided and more accurate results would be provided.
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