The list below, which is not exhaustive, is presented to caution you that many areas can lead to problems. Some are obvious, while others may be expanded on as needed and time allows.
– High/Low precedence (contrary to EOD where the Backtester is unable to determine which came first, the entry/exit or the high/low, in realtime there can be no ambiguity in price precedence).
– Data Delays (real-time data may be delayed for various reasons and time periods (Internet delays, lack of quotes, packets vs. ticks, etc.).
– Low Liquidity (there may be no-volume trading periods).
– Data Holes (bars with no trades).
– Data Spikes (high spikes without volume may trigger trades).
– Data Padding (a bar without data may be padded).
– Premature Padding (the last bar may be a padded bar).
– Data Accuracy (prices you receive aren’t always accurate).
– Random Slippage (you will rarely get the expected price).
– Breakout slippage (you will rarely get the Breakout price of your system).
– Survivorship Bias (companies that didn’t do well and stopped trading won’t be in your database, i.e., you are working above average stocks).
– Lucky Trades (a series of lucky trades may look like good performance).
– Parameter Over-Optimizing (optimized parameters are rarely stable over time).
– Design Over-Optimizing (frequent testing is like running an optimization and may be leading to false conclusions).
– Out–of-Bound Prices (with PriceBoundChecking turned ON, AmiBroker forces the trade price within the High-Low range, this may hide pricing errors).
– Price Rounding (prices may be rounded or truncated by the broker).
– Wrong Use of >= and <= (when using both <= and >= in the same statement, only the first equal condition will ever be seen).
– Comparing Floating Point Numbers (calculated values can have many decimal places, either round values or use the AlmostEqual()).
– Chart Justification (make sure you are looking at the Last bar!).
– System Mortality (no system will work forever).
– Sharing Trading Systems (sharing systems with other traders may result in over-trading a system).
– Being Duped by a Trend (a rallying ticker may make your system look like the HG (holy grail).
– Tricking AmiBroker (AmiBroker has its limits; it is possible to write esoteric code that will produce wrong results).
– Order Visibility (placing your order for every trader to see may influence the orders they place).
– Making the Market (extreme example: if you place a MKT order during a no-trading period you will change the chart).
– Window/Pane Execution Order (when passing variables between panes or windows do not assume that they execute in a fixed order, more).
– Trading at the Open (order execution at the start/end of day is different from midday because of volatility and data