Replies to post #264 on Strategy Desk Users' Group

[Tony G]

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.

[mattie633]

If I'm understanding your question correctly, the answer is... you can't. I had several 100% accurate backtests using various intervals (without the detect intrabar = 1 min option selected). And the strategies were built based on what I could see on the chart. Like when I look at a day chart, I can visually tell when the sto is in the right position for the day and the MACDh has crossed 0 that day, etc.... but in real life, tick by tick, those things don't all happen at the same time, so they are never triggered as your eye sees them. Does that answer your question/make sense?