3 ms·
Why is backtesting foolish? As long as you haven't used the data you're using to backtest in any way, it seems like a reasonable way to test your strategy.
by gentaro 7y ago
Why is backtesting foolish? As long as you haven't used the data you're using to backtest in any way, it seems like a reasonable way to test your strategy.
- throwaway77384 7y agoI think I was mainly trying to avoid risking that anyone reads this and thinks past performance is an indication of future performance. Your point is perfectly valid and is a useful addition to my prior post.
- gingabriska 7y agoI think because the data you are backtesting doesn't react to the trades you make.
- tardis_thad 7y agoUnless you have order book data, then you can simulate market impact of your trades as well.
- lordnacho 7y agoDepends on your scenario, but in a general sense, no, the extra degree of confidence from having that extra info is limited. Just being visible in the OB will cause other people to act differently from if you weren't. This of course has a profound effect on strategies relying on passive orders.
- tardis_thad 7y agoOr course you're right, there is a lot of nuance into that. Btw, would you care to review historical tick crypto data API (https://tardis.dev https://tardis.dev) I've built? Seen your 'about' hence question.
- lordnacho 7y agoAt first glance looks useful. But data quality is really hard to judge without a deep dive.