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difference between the realtime and the backtest

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    difference between the realtime and the backtest

    Hi

    i launch my strategy in real time this morning, i come back from the office this evening... and i can see no trade from my strategy on FGBL market, i look at the chart and normally it should !!!

    i made the backtest of the day and i have the trade...

    Look at the picture, you can see the result of the backtest and behind on the second line, the strategy with no trade !

    more important and more affraid... the same strategy on the FESX (first line) made a short trade and lost 27 ticks... but when i made the backtest... it should had to BUY and not to sell ! watch the second picture !

    It is a really big problem if the backtest and the real money are different !

    To launch a strategy in realtime, i have to launch it via a chart ? and not only via the "Strategies" page....
    Attached Files

    #2
    Thomas,

    There are discrepancies between backtesting and real-time trading.

    http://www.ninjatrader.com/support/h...ime_vs_bac.htm

    You can get more accurate back-testing results if you increase granularity. Here is a reference sample.

    http://www.ninjatrader.com/support/f...ead.php?t=6652

    Please let me know if I may assist further.
    Adam P.NinjaTrader Customer Service

    Comment


      #3
      i just read closely the link...

      there are 4 possibilities:

      - getting Filled on a order: my order are "market", no limit, no stop...
      - the fill price of orders: same than above !
      - running a strategy on a bar close or tick by tick: i'm running it on bar close in 60 minutes, so exactly as in back testing...
      - difference in chart data: there is no difference between my chart data... in real time and in backtest...

      the problem is not that i have order sent and not filled... or different data... this is than my strategy doesn't not give me the signal and even more dangerous... it gave me a wrong signal !!!

      do i have to run it only with a chart ?

      for the second link... i don't need it because i'm using calculate on bar close on my backtest and realtime... and it is what i want...

      please, can you help ?

      Comment


        #4
        Thomas,

        I can take a look at your entrance criteria to see if I notice anything. Ill just need your strategy code.

        In your case this is an entrance signal, however please keep in mind stops and take profits will be affected by intra-bar granularity even with calculate on bar close = false.
        Adam P.NinjaTrader Customer Service

        Comment


          #5
          where can i send you the code ?

          Comment


            #6
            Thomas,

            You can send it to [email protected] with ATTN : Adam in the body, or if you are comfortable you can post it here.
            Adam P.NinjaTrader Customer Service

            Comment


              #7
              Thomas, we got the code and are looking into matters.
              BertrandNinjaTrader Customer Service

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