Replay and Live Auto-Trading

[Loki45]

Who has experience with the reliability/significance of automated strategies based on market replay vs. live trading? I guess auto trading on replay looks better than in reality due to the lack of slippage, right?

[NinjaTrader_JoshP]

Market Replay will not be 100% to real trading. At the end of the day, it is still simulation and as such fills are subject to randomness that may not necessarily characterize the real market.

[Loki45]

Market Replay will not be 100% to real trading. At the end of the day, it is still simulation and as such fills are subject to randomness that may not necessarily characterize the real market.

Thanks Josh. On average, does replay simulation of a strategy with only limit orders generally lead to better results than live trading (because you get more or faster fills on limit orders) or is there a real randomness, meaning simulation might also be worse than live trading. True randomness implies that a statistically relevant number of samples would show almost no performance difference to real trading.

[NinjaTrader_Ben]

Hello,

The simulated fill engine will some times fill "better" than the market and sometimes "worse" than the market. It depends on the market conditions by which you are comparing it. I would say it does a reasonably good job at approximating the market most of the time, although it is not perfect.