Is there a report or way to look at backtest vs. live(or paper) trading results? This would give me the ability to look at how the ideal compares to real world results. To look at slippage, NSF, and other execution anomalies.
Rename
There isn't a combined report, but you can create/run a regular backtest and compare it to a "Trade History" strategy's results. For the latter, you need your trades from the broker in an ASCII format and connect the "TH" strategy to it.
To expand Cone's idea further, finantic.ScoreCard comes with a handy strategy Compare Tool:
https://www.wealth-lab.com/extension/detail/finantic.ScoreCard#screenshots
https://www.wealth-lab.com/extension/detail/finantic.ScoreCard#screenshots
Is there really no way to get a grip on live trading results and a real trading history for a trading system? Not even an log file or anything?
How do you guys verify that your strategy is working like expected? How do you evaluate the real results of your strategy, if you trade for example 10 portfolio strategies with thousands of stocks?
I didn't found anything for that and after this post it seems, there is no real solution for that? Do I have do that by hand? As I'm a beginner in WL at the moment, I only trade one strategy in the IBKR Demo Account with 10 trades a day. By hand that might be possible and Im doing excatly that at the moment and already found many inconsistencies (which most were cleared up after reading and reading again the help files and searching in the forum how the order engine works, but there are still many questions open). But one only find these "errors" or inconsistencies by comparing the real results and the backtest results. Thats possible with one strategy (and even than its a lot of work, I literally spent hours to compare the results). But thats not possible with many strategies trading at once when the trades and symbols between the other strategies mix up (or even in my case orders from another program in future as well). How do you guys do that?
With my real money account I trade with another program fully automated 8 Strategies EOD with thousands of stocks with 1000 trades per month. How shall I compare that all by hand? Without Log files, which says, which position belongs to which strategy? That other program has real trade histories and log files and compares it automatically to the backtest and calculates the real stats like the slippage, accuracy, max Drawdown, sharpe, trade lists and so on for every live traded strategy including a chart as in the backtest. And if thats not enough, I can access the logfiles and compare it automatically with an own program (which I do, I have for example written a dashboard, where I compare all my trading results live with the backtest for all my systems and mark for example orphan position which I would otherwise not find. With 50 positions open its otherwise more or less impossible to find orphan positions..). How do you handle that with large portfolios? Im really astonished, that it seems not possible in WL, because WL is famous for trading large portfolios and has great functions (a lot better than the software I use at the moment to trade live, thats why I rented WL as well), but it seems to be very difficult to follow the live trading results. Or do you open for each portfolio strategy an own brokerage account? Or is it possible to program in C# strategy a real trade history with WL? Is there something I overlooked?
How do you guys verify that your strategy is working like expected? How do you evaluate the real results of your strategy, if you trade for example 10 portfolio strategies with thousands of stocks?
I didn't found anything for that and after this post it seems, there is no real solution for that? Do I have do that by hand? As I'm a beginner in WL at the moment, I only trade one strategy in the IBKR Demo Account with 10 trades a day. By hand that might be possible and Im doing excatly that at the moment and already found many inconsistencies (which most were cleared up after reading and reading again the help files and searching in the forum how the order engine works, but there are still many questions open). But one only find these "errors" or inconsistencies by comparing the real results and the backtest results. Thats possible with one strategy (and even than its a lot of work, I literally spent hours to compare the results). But thats not possible with many strategies trading at once when the trades and symbols between the other strategies mix up (or even in my case orders from another program in future as well). How do you guys do that?
With my real money account I trade with another program fully automated 8 Strategies EOD with thousands of stocks with 1000 trades per month. How shall I compare that all by hand? Without Log files, which says, which position belongs to which strategy? That other program has real trade histories and log files and compares it automatically to the backtest and calculates the real stats like the slippage, accuracy, max Drawdown, sharpe, trade lists and so on for every live traded strategy including a chart as in the backtest. And if thats not enough, I can access the logfiles and compare it automatically with an own program (which I do, I have for example written a dashboard, where I compare all my trading results live with the backtest for all my systems and mark for example orphan position which I would otherwise not find. With 50 positions open its otherwise more or less impossible to find orphan positions..). How do you handle that with large portfolios? Im really astonished, that it seems not possible in WL, because WL is famous for trading large portfolios and has great functions (a lot better than the software I use at the moment to trade live, thats why I rented WL as well), but it seems to be very difficult to follow the live trading results. Or do you open for each portfolio strategy an own brokerage account? Or is it possible to program in C# strategy a real trade history with WL? Is there something I overlooked?
Like you alluded too, the other program doesn't have the backtesting and analysis capabilities of WL. This is where we focused most of the effort. We will spend more time now shoring up the tools involved with managing the trading operation when many strategies and orders are involved. It's a very complex project since we support numerous brokers, but there's a lot of room for improvement in this area and we're seeing a demand for it.
Thank your for your fast response.
For me it would be enough to have a log file with all the real orders, which system gave the order and when and at which price the order was filled or not or cancelled. From that I could do everything else on my own. All the information are shown already in the order manager, one would just have to write them continuesly in a log file, so one can read that and can compare them with the backtest position and order list, caculate slippage, capital curve , search for orphan positions, find inconsistencies and so on. That would already be a huge help and from my point of view (but I could be terrible wrong as an outsider...) shouldn't be that complicated because all the information should already in the order manager.
For me it would be enough to have a log file with all the real orders, which system gave the order and when and at which price the order was filled or not or cancelled. From that I could do everything else on my own. All the information are shown already in the order manager, one would just have to write them continuesly in a log file, so one can read that and can compare them with the backtest position and order list, caculate slippage, capital curve , search for orphan positions, find inconsistencies and so on. That would already be a huge help and from my point of view (but I could be terrible wrong as an outsider...) shouldn't be that complicated because all the information should already in the order manager.
@hungerturm2000
Since you use IBKR, one solution for you is enable daily FLEX trade confirmation report. This will give you a list of all the details (order prices, execution prices, fills, fees, etc) about positions/trades/executions. You can configure it to deliver to your email as a csv or html file each day market market close (I usually get it between 4-5pm EST). The report has an OrderRef column, which, if you submit your orders using WealthLab, the value is something like "WealthLab_your_strategy_name". From all these you should be able to easily map actual broker orders to signals.
Besides daily delivery, you can also go to IBKR portal to request it for historical data such as YTD, MTD, etc. You can use that for analysis, reconciliation, etc.
Since you use IBKR, one solution for you is enable daily FLEX trade confirmation report. This will give you a list of all the details (order prices, execution prices, fills, fees, etc) about positions/trades/executions. You can configure it to deliver to your email as a csv or html file each day market market close (I usually get it between 4-5pm EST). The report has an OrderRef column, which, if you submit your orders using WealthLab, the value is something like "WealthLab_your_strategy_name". From all these you should be able to easily map actual broker orders to signals.
Besides daily delivery, you can also go to IBKR portal to request it for historical data such as YTD, MTD, etc. You can use that for analysis, reconciliation, etc.
@rainfield I do something similar on Tradestation.
@hungerturm2000,
I once got concerned about the same question and manually checked it for a while. Everything matches.
Somewhere in the wishlist there’s my request for a trade log, you can vote for it
I once got concerned about the same question and manually checked it for a while. Everything matches.
Somewhere in the wishlist there’s my request for a trade log, you can vote for it
QUOTE:
Since you use IBKR, one solution for you is enable daily FLEX trade confirmation report. This will give you a list of all the details (order prices, execution prices, fills, fees, etc) about positions/trades/executions.
There's also, from the New Strategy menu, something called a Trade History Strategy that will let you import "real" broker trade data so WL can run a simulation (backtest) on it. Then you can compare your actual trade results to the WL simulation results. This was alluded to in Post #1, but without much elaboration.
QUOTE:
Since you use IBKR, one solution for you is enable daily FLEX trade confirmation report. This will give you a list of all the details (order prices, execution prices, fills, fees, etc) about positions/trades/executions. You can configure it to deliver to your email as a csv or html file each day market market close (I usually get it between 4-5pm EST). The report has an OrderRef column, which, if you submit your orders using WealthLab, the value is something like "WealthLab_your_strategy_name". From all these you should be able to easily map actual broker orders to signals.
Thank you for the hint. For my real account I use that, but haven't used it for my Demoaccount (if thats even possible). At the moment, I use that with a PDF, but i the PDFs, there are no OrderRefs included (I use them a lot for my real trading dashboard to indentify the positions and to which system they belong). Will look into that, if it is different with the csv or html variants. That would be a solution... Thank you very much for your help...
PS: Yes, I have probably to use the flex report for the OrderRefs.... Thanks again
QUOTE:
There's also, from the New Strategy menu, something called a Trade History Strategy that will let you import "real" broker trade data so WL can run a simulation (backtest) on it. Then you can compare your actual trade results to the WL simulation results.
Thanks for that hint as well. That would be a nice way of analysing my account, if I get the systems seperated... I will look into that as well
QUOTE:
Thank you for the hint. For my real account I use that, but haven't used it for my Demoaccount (if thats even possible). At the moment, I use that with a PDF, but i the PDFs, there are no OrderRefs included (I use them a lot for my real trading dashboard to indentify the positions and to which system they belong). Will look into that, if it is different with the csv or html variants.
I took another look and noticed this:
1. I setup to get my report as csv. It has order reference in the attachment for each daily delivery.
2. If I go to the portal to download the report as csv, and if I select the date range to be a single day, the report has the order reference column, otherwise, it's empty... Seems like a bug to me. This means it's not easy to use that field to map live trades to backtest signals if you export data for a longer period of time (you has to do it one day a time or use email attachment if you have that).
I had the same experience. Even though you can select it, IB "loses" the Order Ref for historical exports. We should all create a ticket for that and maybe they can fix that bug on their backend.
QUOTE:
We should all create a ticket for that and maybe they can fix that bug on their backend.
yes let's do that! IB support has been quite disappointing so far.
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