Strategy Desk Users' Group

[JohnPS]

Very interesting forum, it is pulling together a lot of talent and enthusiasm.
I hope this reply isn't too late to the game. This topic of writing the most incredible mouth watering backtests rings very true in me, I spent several months in this mind trap dreaming of $$'s. After perfecting my best formula, something that would be like a day trader, in and out of a stock several times a day, buying at the low and selling at the high, it was converted from backtest to real time by the advise of the SD people and all of the terms were set to 1 bar ago so that it would trigger on closed data. My big day on Wall Street had arrived!
I was new to running with saved orders to test in real time and it was very disappointing, the triggers were always 1 bar to late for entries and exits, in this case 12 minutes. This began the unraveling of my misconceived approach, Jason T at SD explained it all to me. I was writing the Strategy in a 12 min interval and back testing in a 1 min screen in SD. This is a big "no can do". A 12 min formula must be BT'd in a 12 min window in SD. Pages of explanation could be offered here to explain it all, let me say this; when I write a formula with a 1 min intervals and go thru the BT drill, get the results I am after, and then convert the formula to 1 bar ago it works perfectly in real time saved orders. I can run with saved orders during the day, come home from work at 5:00 pm, download the days results to Excel and run a backtest with the unconverted formula and it corresponds within seconds. I have done this several times with different formulas and stocks and on different days. It always corresponds within the minute. The same would be true with a formula written with a 10 min interval that was backtested in a 10 min SD window.
This is my rule #1, always BT in the same interval that the formula is written in.