Aligning Backtests with Live Simulations and Fixing ETF Filter Logic
Summary
The document discusses why a strategy's historical backtest may select different securities or rebalance on different dates than a submitted simulation. It describes cases where simulation begins between scheduled rebalances or after a rebalance close, and notes that signals may initially match before diverging. The post raises alignment and handoff between historical and live-like runs as issues to investigate, but does not provide a definitive diagnosis or a tested reconciliation method.
Its concrete technical lesson concerns Boolean precedence in an ETF universe filter. In the original expression, the volume threshold was joined to a series of instrument-prefix alternatives without grouping, so the threshold applied only to the first alternative. Parenthesizing the prefix alternatives and joining that grouped condition with the volume threshold makes the intended filter apply across the whole ETF universe. The author recounts a severe execution and liquidity incident after an illiquid ETF passed the flawed filter; this is an individual report, not a controlled analysis of platform behavior.
Key ideas
- Backtest and simulation signals can diverge when their rebalance schedules or start points differ.
- The post raises alignment questions but does not establish a general solution.
- Boolean operator precedence caused a volume filter to apply to only one instrument-prefix branch.
- Grouping the ETF-prefix alternatives makes the volume condition apply to all eligible branches.
- Low liquidity can make a mistaken ETF selection especially hazardous during execution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.