Mh, interesting:
i was told this is called "walk forward testing" - nontheless: thanks for clarification!
Exactly what you describe is what we are doing:
Since in backtesting, our algo works more than perfect - if we switch to "live-data-scenario", meaning adding data bar by bar (per timeframe), the system behaves differently and the results are a little bit worse.
Therefore my sentence above: During intensive testing we found out that most of those strategies fail (nearly completely) in real-world-market-scenarios.
Tradestation:
We have built our own app, we are aware of these "of-the-shelf" solutions, but they are fairly limited regarding what we are doing.
Exactly what you describe is what we are doing: Since in backtesting, our algo works more than perfect - if we switch to "live-data-scenario", meaning adding data bar by bar (per timeframe), the system behaves differently and the results are a little bit worse.
Therefore my sentence above: During intensive testing we found out that most of those strategies fail (nearly completely) in real-world-market-scenarios.
Tradestation: We have built our own app, we are aware of these "of-the-shelf" solutions, but they are fairly limited regarding what we are doing.