Strategy optimizer results do not match with Market replay

[shanibaba]

Hi,

I am using a demo account of Ninja Trader (Continuum connection). I created a strategy and then optimized it. Then, I ran same strategy on market replay using same instrument, same best optimized parameters and same time frame. But my results were way off. I compared the charts for both side by side. They both have same price of entry and exist for each trade but results are not same. I have used Renko charts for both. Can any tell me why I am seeing this difference or came across with this issue?

I really appreciate it!!

Thanks,

Zee

[NinjaTrader_ChelseaB]

Hello shanibaba,

Below is a link to the help guide on Discrepancies: Real-Time vs Backtest.
http://www.ninjatrader.com/support/h...ime_vs_bac.htm

Adding intra-bar granularity may correct this. Below is a link to a reference sample that demonstrates intra-bar granularity.
http://www.ninjatrader.com/support/f...ead.php?t=6652

[koganam]

Hi,

I am using a demo account of Ninja Trader (Continuum connection). I created a strategy and then optimized it. Then, I ran same strategy on market replay using same instrument, same best optimized parameters and same time frame. But my results were way off. I compared the charts for both side by side. They both have same price of entry and exist for each trade but results are not same. I have used Renko charts for both. Can any tell me why I am seeing this difference or came across with this issue?

I really appreciate it!!

Thanks,

Zee

You are using Renko Bars. Ergo. Fiction.

Here are a few posts about it.

ref: http://www.ninjatrader.com/support/f...ighlight=renko

http://www.ninjatrader.com/support/forum/showthread.php?p=389786#post389786

http://www.ninjatrader.com/support/forum/showthread.php?t=68224

If you search the fora, you will find many other posts of a similar nature.

[shanibaba]

Different results with backtest vs. market replay

Thanks Chelsea for your response!

I tried to use your recommendation into my strategy. However, there is a problem. I am using a custom renko bar (it is different than the renko bar comes with Ninja Trade). Now the problem is when I try to add this custom renko type in following;
Add(PeriodType.CustomRenko, 2);

The script can't find it in intellisence. How can I add my custome Renko bar type to intellisence so it shows up as default types (min, days, weeks, etc.) do?

Thanks

[NinjaTrader_PatrickH]

Hello Zee,

Thank you for your response.

You would need to refer to the internal syntax or intellisense that will appear when you type "Add(PeriodType." without the quotations. You should see options for Custom0 to 9 and Final0 as well. For example:

Add(PeriodType.Custom0, 1);

Now you need to figure what is slot your custom bar type has been assigned.

[shanibaba]

difference in result from Market replay and backtesting

I do see Custom0 to 9 and Final0 in the internal intellisence. However, how do I figure it out where my custom renko bar type has been assigned? True is, I got these custom renko bar type from somebody and don't know much about it.

Also, Is there a way to look the script for renko bar that comes with the Ninja Trader? For example, I can look the script for indicators that comes with Ninja trader for learning the script language.

Thanks,

Zee

[NinjaTrader_ChelseaB]

Hello shanibaba,

You will have to find this in the file of the bar type you are using.

If the bar type is open source then it will be located in:

• Documents\NinjaTrader 7\bin\Custom\Type

If the script is an assembly, you will need to contact the author of the bar type script and ask which slot was used.