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Tony G

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Tony G

Re: FreshlyBlended post# 264

Saturday, 05/16/2009 12:03:17 AM

Saturday, May 16, 2009 12:03:17 AM

Post# of 795
backtesting will never match if you compare completed bars vs. 1-min intervals vs. live ticks. 1-min intervals will get you as close as possible to live ticks, but it still doesn't test every second or every tick.

Also if you enter market orders, you really need to see the level II to see how many offers are out there. There is no history to Level II data so the backtesting assumes there are enough offers to meet your bid size. In real "live" trading you may be paying up to buy your full position, or paying down to sell out. Backtesting won't account for that.

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