I started testing trading strategies on NinjaTrader vs. TradeStation. For parallel comparison, I imported Historical Data from TradeStation.
So, what I've found is that there are cases where trade signal Triggered on TradeStation but not triggered on NT. One of the reason I have confirmed is that on TradeStation, the backtesting assumes you can double entry in the same bar, e.g: when signal reverses TS proceeds as first cover the previous Long/Short and then reverse Short/Long.
In NT, it doesnt allow signal reversing inside same bar. for the above case, when signal reverses, it would cover position in this bar, and enter a reverse buy/sell on next bar.
I am not sure which one is more realistic.
However, there is another big discrepancy in indicator value calculating and Bar constructing.
So, assume that I have perfectly copy my strategies from EasyLaguage to C#. I would say it is 100% correct, as I tested some of the strategies on both platform and generated say 95% similar results. Plus I re-assured the trade being executed are all match-up.
The problem is, okay all the trades are signal based, when the indicators are plotted correctly, the trades are correct trades. However, I happened to do some due diligence, and found out that there are 5% of chance that some indicators plotted on TS are different than that on NT, sometimes its slighlty different, sometimes its BIG.
I understand this feels like an inevitable issue as these are two different platforms, but I just want to know if this is what cannot be resolved. Also, NT has really fast optimization speed, and given that we are able to optimize a lot of parameters, which could be a double sword. (overfitting)...
Sorry it is a long thread, there should be an explanation from NT, or even TS. Its about reliability, and consistency. I love NT, more than TS, but when you see something performed great on NT but moderate on TS, you start to be skeptical.
Thanks,
Steve
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