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Replay vs Backtest inconsistency

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    Replay vs Backtest inconsistency

    Hello

    I have a strategy that should take a position on some combination of conditions.

    When in REPLAY it takes it, yet when backtested does not take that same signal.
    All the indicators that comprise the condition plot correctly in replay and in the resulting chart in the strategy backtester after backtesting.

    Any idea on how to decipher this ?



    Thanks

    #2
    tickling,

    What sort of charts are you using? Could you clarify the issue perhaps with a few screenshots?
    Adam P.NinjaTrader Customer Service

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      #3
      I have a third party strategy that combines inputs from three third party indicators and acts upon them, on a RANGE BAR chart. The strategy is working fine in market replay for a specific time: It opens a position. When the same time period is BACKTESTED with the exact same settings, the strategy - same strategy, same settings - does not fire hence skewing the backtest results.

      How can that be ? The strategy is the same, and the data is the same. It is not the third party problem as their code did not change, only the executing mechanism within ninja

      Moreover, I fiddled with that some more. When market replay connection is active and the specific time has passed, I can run the backtest and the trade is shown to be taken, When the market replay connection is not active, or if a live connection is active, the trade is not taken.

      Am I missing something here ?

      Comment


        #4
        tickling,

        One possible explanation here is the use of range bars. Does this behavior occur when you use minute bars?

        Range bars are time independent, as such each bar has a different time stamp that isn't some set interval of time. These are very sensitive to starting point, i.e. exact start time/date, as well as data providers.

        Are you using the downloaded market replay data or was this recorded?
        Adam P.NinjaTrader Customer Service

        Comment

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