Strategy backtesting results do not match between StrategyQuant and my trading platform

Before the strategy development process begins you have to make sure you have correct market data prepared. The ideal way to do this is to use the very same data for strategy development process you will use later for trading it. You can obtain such data from your broker. Many brokers do not provide sufficient amount of historical data so you have to obtain the data somewhere else. In this scenario you have to make sure such data matches your broker’s as much as possible. Only small differences can have significant impact on strategy performance. Also pay attention to the timezone and trading hours your broker uses.

Another important aspect is the backtesting resolution i.e. what testing precision you use when evaluating your strategies in StrategyQuant and later in your trading platform. This is especially crucial when you use complex strategies such as those which use limit orders for entries and/or trailing stops for trade management or strategies that tend to have most trades executed within the same bar. In such case you should always work with tick data strictly so your order fills are correctly evaluated.

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