Optimization vs Backtesting

Created at 03 Aug 2022, 11:09
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ST

Stormgate

Joined 24.02.2021

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.


@Stormgate