Indicator calculation discrepencies on NT vs. other platforms

[MichelleK]

Does anyone know why I would get different values (in real time) with the exact same indicator, with the exact same settings, on the exact same chart on NinjaTrader vs., (in my case) DTN ProphetX?

It doesn't matter what indicator I use whether that be a moving average or a MACD. When I replicate the same chart on both platforms, the values of any indicator are completely different.

Here is an example taking "stock" settings of a MACD with duplicate chart/indicator settings on DTN ProphetX vs. NinjaTrader http://www.screencast.com/t/dfwvPOZ6k5r.

This completely changes a strategies entry/exit capabilities. I first noticed this when working on automating a strategy with NT that I have run on DTN for several years. The outcome in profitability was night and day. One that was profitable on DTN was not so profitable on NT using the same algo.

I thought the algo was incorrectly translated over but then realized that the indicators were giving different outputs when monitoring it's performance in real time.

Would love some input on this subject if anyone has had similar experience and what your resolution was - or perhaps it is something on my end in how I have my NT charts set up.

Thanks!! - MichelleK

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

Are you seeing differences in the OHLC values reported for bars within charts between the two sources?

[koganam]

Does anyone know why I would get different values (in real time) with the exact same indicator, with the exact same settings, on the exact same chart on NinjaTrader vs., (in my case) DTN ProphetX?

It doesn't matter what indicator I use whether that be a moving average or a MACD. When I replicate the same chart on both platforms, the values of any indicator are completely different.

Here is an example taking "stock" settings of a MACD with duplicate chart/indicator settings on DTN ProphetX vs. NinjaTrader http://www.screencast.com/t/dfwvPOZ6k5r.

This completely changes a strategies entry/exit capabilities. I first noticed this when working on automating a strategy with NT that I have run on DTN for several years. The outcome in profitability was night and day. One that was profitable on DTN was not so profitable on NT using the same algo.

I thought the algo was incorrectly translated over but then realized that the indicators were giving different outputs when monitoring it's performance in real time.

Would love some input on this subject if anyone has had similar experience and what your resolution was - or perhaps it is something on my end in how I have my NT charts set up.

Thanks!! - MichelleK

Try it with an SMA. If there are differences there, there might be something strange going on. If you are using any Infinite Impulse Response filter, such as the MACD is built from, it is almost expected that there will be differences: it is in the nature of such filters, unless both the data and the filter construction are exactly matched.

[MichelleK]

Thank you for your quick reply NinjaTrader_Kyle... Visually looking at them (without running tabular comparisons in excel - which may be the way to go) they are the same. I looked at a 1 minute chart to do a quick comparison. And each of the candles I looked at matched exactly on both platforms.

Koganam thank you for your response as well. I did run an SMA. It seems that the SMA is not populating on the current candle on NT whereas it is on DTN. So in other words the SMA is lagging by 1 candle - which is what may be the case with any other indicator. I'm not aware of any filters that might be "turned on".

[NinjaTrader_Kyle]

Hello,

Please right click in the chart and select indicators. In the menu, select MACD or SMA from the list on the lower left. On the right side of the menu, set the Calculate on Bar Close property to False. After making the same change to both indicators click OK and reload chart data.

[MichelleK]

Thank you so much NinjaTrader_Kyle! That actually did the trick. You wouldn't know I've been at this for 9 years.. yikes!

On a side note, in doing that I also noticed my DTN charts default to round to the nearest .01 in my indicator settings.

Is there a way to do that in NT? If not, this is close enough.

- MichelleK

[NinjaTrader_Kyle]

Hello,

Can you provide an example of the behavior which you are seeing so that I can further test here?

[MichelleK]

Here is a screenshot http://www.screencast.com/t/VMlyjHK1VF.

Perhaps it is a decimal place view rather than rounding? Initially I thought it was based on my assumption at first glance.

It's pretty close, but still curious to know your thoughts.

Thank you,
MichelleK

[NinjaTrader_Kyle]

Hello,

Thank you for providing the image. I see what you mean.

It is not possible to cause the default indicators to round values in this way however this is likely something which could be accomplished through custom programming.

[MichelleK]

Ok, thanks again. I really appreciate this. I have been battling this for several months. DTN couldn't figure it out. I am glad to know that it was something so simple. I've been waiting to make the full switch to NT and this sealed the deal. So thanks again!!

MichelleK