Backtest results not congruent with Exploration results

[edwardlevy]

I have an exploration that relies on intraday data. It exits either when a target is hit, a stop is hit, or at 15:59:59 EST. It appears to be working as it was built. However, only a small fraction of these trades are showing up in the backtest, no matter how non-exclusive I make the filters. I'm thinking the following areas could have issues, including:

• Custom Time Interval Amount in Preferences. I currently have the database periodicity to 5 minutes and the analysis settings periodicity to 5 minutes. Do I need to adjust the custom time interval amounts as well?
• The initial equity could be the problem, but I have my initial equity set to $100,000 and my position sizing in my backtest parameters at $1,000, so there should be plenty of room for losses without my equity going below the $1,000 mark.
• Currently, the Trades Scenario in Analysis settings is Custom. Does it need to be trade next bar or trade current bar?
• The Stops tab in the Analysis settings is also Custom. Does it need to be trade next bar or trade current bar?
• The Max Positions I have in the Portfolio-level settings is 10. In my parameters, it doesn't matter if it's 10 or 1, I get the same results. It doesn't appear to be the problem, but maybe it is?
• Even though my database supports 24 years and I indicate 24 years of data in the Range, I only get data going back to 2010. I use DTN IQFeed.

Also, how do I save settings, such as Commissions. Use Save button and then load these settings every time?

Thanks.

[Tomasz]

Backtest is NOT an exploration and Exploration is NOT a backtest.
These things are fundamentally different, read this:

Scan vs Exploration vs Backtest - summary of differences

INTRO The post summarizes in tabular form the differences between different Analysis modes namely: Scan, Exploration and Backtest. First and foremost thing to understand is that these three modes serve different and distinct purposes and they by their nature are meant to display different things. SCAN The Scan is meant as a quick tool to show raw, unprocessed, non-delayed signals as they are present in Buy/Sell/Short/Cover arrays. Scan does not do ANY processing. Output of scan is not custom…

[edwardlevy]

Thank you for the explanation. It still doesn't explain why I'm seeing only a small fraction of the results that come up in my Exploration. Is there further reading on how I can make adjustments in the settings or in the code to reflect the results that I'm seeing in my Exploration?

[Tomasz]

Yes it DOES explain that. Please just read explanations I provided in earlier reply carefully and slowly and completely. The explanation provided contains LINKS to Users' Guide among others this: Portfolio-level back testing which is must-read.

[edwardlevy]

Hi Tomasz,

It seems to me that the issue is with DTN IQFeed. I've gone through this thread: Force backfill of IQFeed

It seems like there's some setting that I need to fix. I have the NASDAQ 200 plus a handful of other stocks in my database. Here are my settings:

Here are my backtest settings:

I called DTN IQFeed and their help was limited, which was to be expected. They also mentioned there might be a setting in the Windows registry whereby I could change the amount of data that can be downloaded, but I'm not interested in messing with those settings.

Regarding the forum post mentioned above, is there a suggestion that you could make based on my circumstances? There seem to be a lot of them.

Thanks.