I am using range bars to do my optimizations. I also am running my strat on a sim account to see what it does in the "real" world. I am finding that the 2 results don't always match up enough for comfort. Sometimes one or the other takes a different trade or no trade at all. Sometimes the entry times and exit times are not that close (read several minutes or more apart).
My question is, is there a best practice method for validating an optimization? Should I be using a minute data series to optimize and compare it to a minute dataseries run on the sim account for the same time frame? I need to have confidence in my optimizations and if I can't match up *exactly* or very close to exactly, I get skittish. I am anxious to turn my strat loose and suck up a few dollars, but I need to know that what I see in my optimization is the same as what I see in the sim.
So, for example, if I run my back test for 3/1/16 to today and compare it to the results of my strat running for the same period. I would like to see very close results.
BTW, I am running 1 contract for one instrument for one direction (long or short) in one account. So that means that I have to separate strats in 2 separate accounts ... one long and one short. This keeps things nice and simple.
Inquiring minds want to know ... how best to get to the promised land!
Thanks ... Ed
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