Understanding backtest results
Backtests never completely correspond to what would have happened in reality, as they depend on factors that cannot be taken into account such as the order execution time or the spread.
In order to correspond as closely as possible to reality, we have defined these few rules:
The order is placed after the condition is fulfilled (and not on the same candle).
For market orders, we use the opening price of the candle that follows the condition (and not the closing price of the candle on which the condition is verified).
For buy orders, the volume to be bought is calculated using the highest price of the current candle (and not the closing price). This minimizes the volume to be bought and avoids errors due to insufficient volume.
Backtests take fees into account.
In order to correspond as closely as possible to reality, we have defined these few rules:
The order is placed after the condition is fulfilled (and not on the same candle).
For market orders, we use the opening price of the candle that follows the condition (and not the closing price of the candle on which the condition is verified).
For buy orders, the volume to be bought is calculated using the highest price of the current candle (and not the closing price). This minimizes the volume to be bought and avoids errors due to insufficient volume.
Backtests take fees into account.
Updated on: 30/10/2020