I have a strategy coded that seems to lose money in forward testing, but makes money in backtesting. (It works on ES). For instance, in the 11-hour period up to 11:00 am today, forward testing indicates a loss of $845, while backtesting indicates a profit of $1200! In 11 hours!
Now, I understand that back vs. forward testing might not always give exactly the same results, but this is ridiculous. The fill type is set to 'Liberal' in both cases, and the data feed is the same (OpenTick). So, the fills should theoretically be about the same, but they aren't. I'm beginning to think the backtester is useless for all practical purposes. And no, I don't believe it's my code. Any thoughts, anyone?
Comment