In the strategy converter I'm working on, a review of one complex strategy found volume indicators replaced with price indicators. It also flagged position sizing that bypassed the intended sizing component.
Those findings need a trader's decision. A rule using volume and a rule using price are looking at different market information. Separately, changing how the order size is calculated can change the exposure even if the signal survives intact.
A backtest of that port could still be useful. It would describe the strategy produced by the translation, including its substitutions. It wouldn't establish how the original strategy would have performed. The conversion report needs to make those changes visible, so the trader can decide whether they're acceptable or need to be corrected.
Those findings need a trader's decision. A rule using volume and a rule using price are looking at different market information. Separately, changing how the order size is calculated can change the exposure even if the signal survives intact.
A backtest of that port could still be useful. It would describe the strategy produced by the translation, including its substitutions. It wouldn't establish how the original strategy would have performed. The conversion report needs to make those changes visible, so the trader can decide whether they're acceptable or need to be corrected.
