Moving from Backtest to Live

[fl0wo]

Hi there,

I'm currently using vectorbt's backtesting capabilities to test my trading strategy, and I'm now ready to move to live (paper) trading. I have generated "entries" and "exits" Series that I want to use for live trading.

However, I'm not sure what the best approach is for transitioning from backtesting to live (paper) trading using vectorbt. Specifically, I'm concerned about how to handle changes in the pf.orders.records_readable generated by Portfolio.from_signals over time.

Currently, I'm using vectorbt to run the backtest every 30 minutes, and I'm obtaining the pf.orders.records_readable from the Portfolio.from_signals method using my "entries" and "exits" Series. However, these values ​​change over time because the backtesting window is shifted forward. This can lead to discrepancies in my live trading if the signals generated by the backtest do not match the current market conditions.

Although the signals are very similar, they can still change by cents, which can cause problems if I receive a signal from a backtest that does not reflect the current market conditions. For example, I may receive a SELL signal at $1.1 from a backtest that thinks I bought at $0.5 (but maybe I didn't due to a different signal in the previous window time).

Do you have any suggestions or best practices for addressing this issue?
Thank you for your help!

[fl0wo]

Any suggestion?

[andydoc]

spam

[fl0wo]

Any idea?

[realfishsam]

For anyone still interested in live trading with VectorBT, there's a solution.

StrateQueue provides a bridge between backtesting frameworks such as VectorBT and live trading with no code changes.

Installation:

pip install "stratequeue[vectorbt]"

Quickstart:

stratequeue deploy \
  --strategy examples/strategies/vectorbt/sma_crossover.py \
  --symbol AAPL \
  --timeframe 1m