Major Inconsistencies

[frostengine]

Having some major issues and can not figure out why. To set the stage here, I have 2 computers. One is running a regular free version of NinjaTrader the other is running a live lifetime license version of NinjaTrader. Both are on version 6.5.1000.10

Both computers are using the same exact market replay data. The data was gathered live today on the live version. Both are using the same exact strategy. Both are trading the same 10 stocks using same # of tick charts.

On the live trading in the real account today it made 12 trades. After market closed when replaying the market replay and trading those same stocks it only made 10 trades. I thought ok, maybe just differences between live and market replay.

Then I copied the data over to this second computer. Ran the same setup and it took 9 trades and nearly DOUBLE the profit! It was getting in and out at different times than the other machine. How are inconsistencies like this possible with the same exact data just two different computers?

Also, back to the difference between live and market replay. I understand there can be some differences, but what could possibly explain one taking 2 less trades than the other? Shouldn't market replay be VERY close to the same since its a recording of all the data it saw live that day??

[frostengine]

I feel stupid. I now know partly what is causing the problem. The second computer I copied over to, was only the market replay data. However, the first computer has some data from several other days live it ran. So this influenced some of the indicators.... Will try to get the data identical everywhere and rerun the test and see what happens...

However, I still don't understand the differences between live and market replay. How can 2 trades just disappear?

[NinjaTrader_JoshP]

frostengine,

Market Replay will never be 100% of live, real trading. There are market dynamics that you just can't simulate. For example, delays at the exchange, internet latency between your orders, slippage, etc.

[frostengine]

Josh,

I understand all of those. What I can't understand is not taking 2 trades? The trades are market orders, so its not a case of it not getting filled or anything like that. The problem is the strategy never generated the order to begin with. Which means the indicators value's were wrong. I am not quite understanding how that can be possible since the data to generate the indicators are exactly the same? So shouldn't the indicators have the same value as well? Delays, slippage etc... Don't explain that occurrence. Unless i'm just not understanding?

[NinjaTrader_JoshP]

If you feel your strategy is not generating orders you need to debug. Use TraceOrders = true.

[frostengine]

Josh,

It appears we are on two separate pages. Its not an issue of orders not being generated properly. The issue is using the same exact data.. one using live data recorded throughout the day, then at end of day using that SAME data as market replay. In one instance the indicator values were x and in the other the indicator values were Y. And since X and Y not the same, different orders were entered. Which slippage and delays does not explain what causes indicator values to be computed differently between the two data sets which for the most part should be the SAME data set, as one is just a recording of the other.

[NinjaTrader_JoshP]

frostengine,

If anywhere between the recording you decided to reload your historical data it may have gone and pulled from a different data server. If there are differences then you will end up with a different data set then what you had in your recording, otherwise it should be the same.

[frostengine]

Nope, did not reload any data. The box was left completely unattended from this morning till this afternoon. No changes were made. It is running on IB if that helps come up with any other ideas.

[NinjaTrader_JoshP]

Only way you can check is for you to look at the chart and take screenshots to compare. Remember indicator values are heavily influenced by historical data. If anything changes, likely if you loaded data from your provider, then it is not guaranteed to be the same. I suggest you try again tomorrow.

[hanaa]

paint bar question

have a question.how to paint a price bar certain colour.let us say want a price bar tocolour blue or red when it closes above or below the 9 EMA..
would appreciate your help
thanks

[NinjaTrader_Bertrand]

You would need to code a custom indicator for this and work with the BarColor() method - http://www.ninjatrader-support.com/H.../BarColor.html

[Mindset]

Backtesting

frostengine

Welcome to the world of backtesting - after about 3 years of sorting out all the little problems I found it much more useful to forward test real time.

quite often I will get different signals/ trades even when I reload the data on the same machine later in the day. It's part of the fun of trading and amply demonstrates that trading is VERY difficult to automate correctly ( I gave up).

It really isn't the software's fault - a friend and I trade the same strategy ( we both bought the same code) on the same symbol on the same time frame using the same broker data feed and I would say daily we each miss a signal (ie it just isn't there) that the other gets. Different broker servers give different ticks on occasions - really. Took me about a month to work that one out.

Be serene and accept that it's just something you have to live with and unless you have a live streaming direct exchange connection you will always get it ( even there I am told there are other issue like fat finger trades screwing up your indicators/ ghost trades/ etc)

Hope I am not putting you off - just the practicalities of trading.