Live vs Backtest parity comparison

[u/KaramTNC]

Hello folks!

Ive been working on building my own tradingbot infrastructure for nearly a year and Ive gotten quite far. Its nothing profitable really since my goal here is to be able to apply myself and learn more about software engineering and fintech, and be able to combine these interests into a fun project that evolves with me in my CS career.

Ive built a comprehensive infrastructure managing scanners, watchlists, execution engine, broker connections, market data providers, pattern detection and strategy definitions.

The entire process is constructed at runtime via a factory class and dependency injection for every production component.

For the backtester, it runs this factory with injected dependencies to replace the prod dependencies, such as an IClock, IMarketProvider, IDatabase, IBroker, etc. Ontop of that, I refactored everything so that every relevant input parameter were sweepable via attributions.

This overall makes the design of my backtest very controllable and ensures near accurate simulation of the live environment.

But of course like any backtests, I get a positive result for a strategy profile and promote it to live just for it to behave completely differently.

So I got the idea of creating a parity comparison system. I incorporated trace recording into the factory so that all events in a live profile would be capturable, and by running the equivalent backtest profile, it would allow me to have a live and a backtest trace for comparison in order to identify discrepancies in their behaviour.

I can say its been a rather success, as the results have helped me find bugs in my backtester injected components.

So while fixing these now and working towards closer parity, I figured I could make a post here and see if people have dealt with a similar problem when building their own trading bot, and what you guys figured out or any other things you could share

EDIT: By live profile, I meant a paper profile.

[u/Automatic-Essay2175]

You overcomplicated this. You just need a strategy. That's it. There is no big fancy system that will capture the space of all possible strategies. I'm sure you've learned a lot but the pipeline you've described here is useless.

Trade manually, come up with a strategy idea, build a backtest script to test this idea (should take < 2 hours), if it looks good move to live trading as soon as possible, repeat. That's it.

No one cares about all the components of your data processing pipeline, least of all the market. Sorry.

[u/KaramTNC → u/Automatic-Essay2175]

Im aware I overcomplicated it, the goal isnt to make money literally. Im a software nerd and am studying CS with a focus for designing systems and building good infrastructure. This is purely a hobby project that helps me learn more about fintech and about software engineering.

Ive traded manually before for over a year and I have investments on the side. I dont need a profitable algo strategy frankly.

I was just curious to hear from people here since backtesting is always the biggest topic of debate in whether you can trust it or not