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Live results vs. backtest results at a glance
Jessica Stauth
posted Apr 25, 2014

In lieu of a more detailed implementation shortfall analysis (that I'll try to get up in blog post form soon), I wanted to share an updated screenshot of the actual market performance of the equal-weighted sector ETF strategy we have been running the past few months compared with backtest results for the same time period.

There are few possible places for discrepancies between these two:

-time frame is slightly off, the backtest runs from 9:30am on 1/28 through 4pm yesterday (4/24) while the live trading results are from 1pm on 1/28 through just now.

-back-tester estimates slippage and commissions while live trading has the actual costs as incurred via our broker.

In general though we have seen good fidelity between our backtested results and live trading. Look for a more detailed study on this to come soon.

live screencapture

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

1 response
Russell Hanson
May 3, 2014

Thanks Jess, I've been seeing different kinds of behavior in a higher frequency strategy between live trading and backtest, but it is, of course, very time consuming to have the live trading algo running and develop some data on that vs. the backtest.

In this algo, there were three trades in all of March. Four in Feb. It would be interesting to see how a higher frequency strategy compares between backtest and live trading; my guess is there would be more discrepancies in executions for low volume stocks, and so on.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.