Intraday Back Testing - Trend Filter
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How accurate are the Trend Filter based back test results?
I’ve run multiple strategies in Intraday Back Testing using the Trend Filter (like some Close greater then Open / Close lower than Open / etc.) using Candle chart type.
Later when I apply P&F or Renko based strategies in Nifty Futures for 0.05% / 0.1% in one min, I get good results. But I find many profit value that’s shown are against the the Trend Filter.For eg: A Trend Filter condition states Close below Open for Short Trades.
The first row trade the Short Entry is taken above the NF Open price, which actually doesn’t meet the Trend Filter condition, even though its in profit. My query is what will happen to LIVE trade when we deploy in Algostra. If the conditions are met, it will not trigger SELL like it’s s shown in backtest. Am I correct?
If yes, then how to interpret the back test results then, pls share your inputs…
Note: Deployed Algostra derivatives strategies last two weeks and found few trades taken but missed in back test data and few trades taken inspite of conditions not being met and have failed. Hence had to dig deeper and compare with NF Open. I have backtested strategies from 2018 until now and find many mismatch (related to trend filter). Have already emailed the full data to the team. Any thoughts and if I’ve misunderstood incorrectly the data, pls correct me.