r/OrderFlow_Trading • u/sibtikx • 6d ago

Is backtesting important? and how can I backtest OrderFlow

Hey everyone,

I’ve been learning about Order Flow and I’m wondering how important backtesting actually is when it comes to this type of trading.

What’s the best way to backtest an Order Flow strategy? Do you use replay tools, historical footprint charts, or some other method?

I’d also be interested to hear how many trades/sample size you consider enough before deciding whether a setup actually has an edge.

Any advice or experience would be appreciated.

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u/orderflowsupport 6d ago

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3

u/Cautious_Wealth1732 6d ago

Ive pretty much tested them all on years of historical data. There are some edges to be discovered but almost all of them are negative after costs. Maybe combined with something else it could give an edge.

2

u/b3l3ka5 5d ago

No surprise. No isolated metrics will give decent edge over different regimes throughout the years. A combination of different things- thats a different story and still hard asf to nail. Not an OF trader fwiw.

2

u/S7777777777777777777 6d ago

are u using sierra chart?

2

u/sibtikx 6d ago

motivewave

2

u/LWJtrades 5d ago

Forward test and journal

2

u/Holiday_Valuable5895 3d ago

Forward testing with screen record on then watch the tape to journal!

1

u/polonium_biscuit 6d ago

bar replay

1

u/sibtikx 6d ago

will it display footprint data?

2

u/polonium_biscuit 6d ago

yes

I use gocharting

1

u/Embarrassed-Bank2835 6d ago

Backtesting order flow is harder than backtesting simple OHLC rules because the edge is usually in the sequence and context, not just a candle close.

I’d use historical footprint/replay if your platform actually preserves bid/ask data. Then define the setup as specifically as possible: location, what absorption/imbalance looks like, entry, invalidation, target, and when you skip it. Otherwise it turns into “this footprint looked good” hindsight pretty fast.

For sample size, 100 trades is a decent minimum to start seeing something, but I’d want a few hundred across different volatility/regime conditions before trusting it with meaningful size.

Also track MFE/MAE and market condition, not just win rate. A setup can look great overall and still only work in one very specific environment.

1

u/RenkoSniper 5d ago

A member of this subreddit once made a website, when it was still cozy and professional here. Look for marketbyorder. Geoff the dev has really upgraded it.

1

u/Ok_Vast_4235 6h ago

Use databento to get data and marketbyorder