Trade reconciliation between Amibroker Backtest Report and Interactive Brok

AmiBroker
1

I am usig Amibroker Backtest report with Artificial bar added to get signals to enter with a market order on next day open. I do this religiously every day. With very few, in my view, non material mistakes.

But, there is quite a discrepancy in real results and what Amibroker is showing when you run the Amibroker backtest for even a month or two months and observe cumulative performance as shown in AB backtest report and in live trading accounts.

I want to understand where this discrepancy is coming from:

  1. Data issues (simply difference in data between when I run daily signal/trade generation and when I am performing a MTD backtest)
  2. Bad fills (getting much worse than open price)
  3. Not following all the signals/trades AB suggests
  4. Some other issue

Has anyone done any trade reconciliation between AB and IB? How? Is there some tool or script or code available?

Thank you very much in advance for your answer.

2

I find that Excel works quite well to compare two trade lists, whether they come from AB or another source. The basic idea is to create a unique key for each trade, for example by combining the ticker symbol and entry date, and potentially other fields like entry price, shares, exit date, etc. Then, in each trade list I use the Match function to see if the other trade list contains the same key. If not, the Match function will return #N/A and I can investigate what caused the issue.

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