November 2019
Beginner
394 pages
10h 31m
English
We've looked at a lot of possible avenues for finding and fixing issues in the simulation and historical market data playback framework. If we are still observing differences in trading strategy performance in live markets as compared to simulations, then another possible solution to explore would be to adjust the expected performance results as obtained from simulations to account for the backtester bias.
As we discussed before, the backtester bias can be optimistic or pessimistic in nature and can be a constant bias or a bias that varies by trading strategy type, by strategy parameters, or by market conditions. If the bias can be isolated to be constant for a specific strategy type and ...