Latency matters

This is simple and perhaps even obvious, but if you're simulating a fast strategy on high-resolution historical data – you at least need to simulate some average latency or the results are probably misleading.

For some exchanges, you also need to look out for weird(?) looking bulks of orders and/or order book updates that all have the exact same timestamp(!). Figuring out what actually happened here is tricky or even impossible and everything but limit orders will, I think, just be guesswork. It seems reasonable to assume that none of your order adds or updates went through during a period like this – and latency is probably higher than average just before and afterwards.

This result is only possible with 0 latency:

..the moment I add a little latency to this simulation, the diagonal blue line (PnL) is flipped!

Quick backtest update [ STRATEGY-TREND-1: XBTUSD @ 2018-11-01 -> 2019-01-17 ]

STRATEGY-TREND-1: XBTUSD @ 2018-11-01 -> 2019-01-17 { git: a623d60742e96d35b8f7365496ffd99911aa7dbb }

NOTE: I'll post future backtests on this page ==> https://quantoga.blogspot.com/p/backtests.html

• 10000 USD fixed position size (perpetual futures contracts).
• Fees are included.
• Limit orders are used for both entries and exits.

Huge improvements are still possible; i.e. even by adding basic kelly% for position sizing+++.

NOTE: the candle coloring isn't a very good representation of what's going on. The color is only based on avg position at a single point in time (the open). The candle at 2019-01-10 (2nd image) is shown as a long (green), but that's only for the first part of the candle before it goes short. It then goes long again before the next candle -- which is therefore green "again". In the end the initial loss for that duration is cancelled out by the gain from the brief short taken in the middle of the drop.

Don't pay too much attention to the colors in this; they are not correct or accurate.

...this is based on recent improvements to the strategy I did a screencapture of here: https://www.youtube.com/watch?v=JnCQ3qOKou4 ..actually, the biggest change is probably a move from trading based on discrete time to continuous time and the addition of a signal system with dedicated grace durations etc. etc..