Backtest results profitable over a period that in real life trading was all losses

[koganam]

Gentlemen,

Let me go back to RunnrX and thank him for posting this thing in the first place since it appears to be a common theme in several of the forums I have visited.
Koganam, thank you for your comments and what would appear to be a slight shift in your thinking.
I would like to mention JC's comments regarding how the data would be interpreted in one time frame compared to another. For any given trading day, the price data is a perfect and unequivocal representation of all of the action out in the marketplace. This includes fear, greed, bad decisions, good decisions, special announcements and every aspect of human behavior and every aspect of equity flow. So once we collect the data during that live day it becomes an unchanging road map to the human equation for that day. Now, just because we do a playback on the data at a later time doesn't mean that we have to change the granularity to match changing environments. If I play back the data one month later and the big bomb drops, the data will still reflect the environment at the time it was created. the fact that you are adding and subtracting ticks to see what the data should really look like is ludicrous.
The data is what it is and the profits should be statistically indistinguishable.

Steve

Then you have not understood how data is processed by ANY trading application. On Historical data, the only price data available is the OHLC. If, and only if, both your live trading and backtest depend on ONLY that data would you have the correct data set to make a valid comparison.

Nothing that I have said represents a shift in thinking. I have simply pointed out the limitations of data sets that do not have the same basis.

You can only compare results from tests that have the exact same data sets and rules. If a backtest can only access OHLC data, you cannot compare the results to live data unless the live strategy also only makes decisions based only on OHLC data. That means that if you want to peek into the intrabar historical data on a higher time frame, you have no choice but to use a datastream with a finer granularity. That is simply a function of how digital data is processed.