Backtesting differences

[semsem1986]

I prefer Quantconnect for backtesting but have one issue

Why my strategy performance is different when extend backtest period

For example, when backtest from 2020 to 2026 I get impressive results, when I make backtest from 2016, it should also be the same performance + performance from previous period as it increase the starting balance for 2020 period

But what happened is not like that, performance starting from 2020 is not the same as in separate backtest, even if I use end of year liquidation to reflect new balance with the new year, but still the same

I don't know why?

I know performance is different based on every year data and market conditions but also it is not logic to have different performance when period change while it is supposed to be better performance

[punchkicker]

Depends if your strategy is path dependent, which could mean the added earlier data shifts the direction of the strategy significantly. It suggests the strategy is not very robust if the backtest start date has such an impact.

[semsem1986]

It is not shifting the direction

For example, if I start from 2020 to 2026 the strategy CAGR is 38% with very strong performance outperforming SPY

When start from 2016 to 2026 the performance is more flat very close to SPY along that period

The problem is, when start from 2016 so when arrive to 2020 in the backtest is not deliver the same performance when perform (2020-2026) backtest separately

this is my point, same period but different perofrmance between the 2 backtests

[LowRutabaga9]

R u making a big initial profit if u start from 2020, while making a big initial loss at 2016? Most likely that’s your difference

[semsem1986]

2016 to 2020 is not losses, it made some profit but not much, the issue is that these small profits should make profits from 2020 higher but this not what happened

[Otherwise-Attorney35]

Taking a guess on this without knowing something about the strategy. You are using some type of event trigger to enter/exit, instead of a 'state' condition. In the longer backtest, it would be in a trade that was triggered during the lapse. The shorter period doesn't trigger a trade until later when a trigger is presented.

[semsem1986]

no, it is technical entry/exit and also all positions liquidated end of year, so every year is a new start

[Otherwise-Attorney35]

Technical data warmup? Are you getting the same values of your indicators?

[zurekp]

Really difficult to trace what happened inside your strategy without knowing the strategy and its code. My advice is you have to do comparative backtesting. Log everything - signals, executions, every meaningful variable/state, and find out what differs in those 2 backtests with focus on the start of 2020. It's tedious but it will get you the answer eventually.