Optimization vs Backtesting
Optimization vs Backtesting
03 Aug 2022, 11:09
I am using the latest version 4.3.9.7083
There is a huge issue and discrepancy between Optimization and Backtesting. To be honest, Optimization is basically useless as the parameters and results are completely different than a Backtesting run. I will give a few examples:
Optimization gives me this result
Net Profit should be 1322.35
Max Equity Drawdown %: 33.91%
Running the Backtracking with the same parameters that the optimization produced and same period:
Net Profit: 2069.33
Drawdown %: 86.32%
But this is only an example. Basically I could choose any of the outputs from the optimization and Backtesting would not be the same.