I have created strategy that shows good results in 6 month market replay. It is based on Renko charts.Yesturday I have lauched it in real-time, but results were opposite. I tried to run market replay on yesturday's data and have got positive results. I absolutely don't understand it. As I think, market replay just runs all deals that have took place on market in past and it can't be different from yesturday's real-time. But in real-time I got -$5000, in the same day's market replay I got +$5000. Such difference can't be explained as the result of slippage. It seems that it driven by order placement and execution. Because of a lot cancelled orders in real-time, which I can't understand yet. Can anybody explain me the reason that explains such great difference between market replay and real-time deals?
P.S. I clearly understand that the backtest of renko graphs is fully differ from the real-time one, because of it tested my strategy on market replay ony.
Regards, Makhmout
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