Diagnosing Backtest and Live Signal Differences from Stale Indicators
Summary
The post describes troubleshooting a strategy that behaved correctly in backtests but produced missing or intermittent signals in simulated trading. After checking other strategies and revisiting the selection conditions, the author found that including the margin trading status field coincided with the loss of signals. Removing that field restored normal signal generation in the reported trial.
The author suspects that the field may have updated late or incorrectly in the simulated environment. This is a single platform-specific observation, not a confirmed diagnosis or a general rule about margin data. It offers a practical debugging approach: compare the strategy across environments and isolate individual data fields when outputs diverge. The post provides no independent validation, quantified results, or details about the exact data timing and field semantics.
Key ideas
- A strategy can produce different signals in backtest and simulated trading environments.
- The author isolated the margin trading status field as a condition associated with missing signals.
- Removing that field restored signals in the reported simulation.
- The proposed explanation is delayed or faulty data updates, but it is not independently verified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.