Why is Strategy Tester so unreliable? - page 2

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whoowl:

I had abandoned Strategy Tester for more than a year.

Then I decided to try it again.

Terrible experience just like in the old times.

I write an EA that is an absolute winner in the backtests, then I put it to work on a live account (demo, of course) for three days and it loses money for three days straight like a drunken sailor.

That's happened with half a dozen EAs I have written. Apparently, Strategy Tester results are completely meaningless.

What is Strategy Tester ever good for?

I would mainly suggest that you use strategy tester just to see if your EA working perfectly according to your strategy, meaning it enters as it should, sets correct SL/TP, exits as it should and works similar to your strategy rules.
besides that, the strategy tester in my humble opinion is not a very good way of judging a trading EA. 
i have had instances similar to your experience, and had EAs that worked the other way around, where an EA performed horribly on ST but made money for a reletively lobg period of time in the live markets. i have had EAs that performed very similar to what they did in strategy tester, so i personally decided to leave it that and only use it to check my code. 


 

1. Poor Quality or Incomplete Historical Data

2. Incorrect Modeling Method

3. No Slippage, No Requotes, No Latency

4. Unrealistic Spreads

5. Bad EA Coding / Forward Bias

6. Unrealistic Trading Conditions

7. Curve Fitting & Over-Optimization


I think the following may be helpful:

  • Use tick-level data (e.g., with TickStory or Birt’s Tick Data Suite)
  • Simulate slippage, latency, spread variation
  • Forward test on demo or live
  • Avoid overfitting
  • Use Monte Carlo analysis or walk-forward testing
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