Has anyone compared the results of actual testing backtest screen results with buying the stocks in a virtual trading account for say 3 months and compared the results to see how much difference there is between the two?


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TWQS1
at 01/11/18 2:49 PM : RE: virtual trading vs backtest

Norman
at 01/11/18 10:32 AM : RE: virtual trading vs backtest

donihue
at 01/10/18 12:58 PM : RE: virtual trading vs backtest

TWQS1
at 01/04/18 9:16 AM : RE: virtual trading vs backtest

DrewM
at 12/06/16 12:03 PM : RE: virtual trading vs backtest

TWQS1
at 01/22/18 7:37 AM : RE: virtual trading vs backtest


I have not compared RW to actual results, but in my 6 January post on "Accounting for real-world factors in backtesting", I included a VBA subroutine which attempts to check RW's stated backtesting results for a given strategy. Even assuming zero transaction costs and zero price slippage, I invariably find smallish differences each period between the calculated portfolio return and that supplied by RW; those differences are always in the direction of lower returns than those stated by RW. Moreover, the annualised returns over long periods which I calculate are invariably much lower than those stated by RW. 
 
I have as yet been unable to discover why such discrepancies arise. In some cases, the real-world requirement that one buy integer units of stocks can lead to odd results when the stock price is very high. And in other cases, RW disturbingly assigns a negative selling price to a stock which goes "dead"; I assign a zero price in this case, but this may also be a source of discrepancy.
 
Regards
donihue

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