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Different outputs in Strategy Analyzer and Market Replay

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    Different outputs in Strategy Analyzer and Market Replay

    Hi,

    I'm having different outputs from my strategy using Strategy Analyzer and Market Replay.

    The expected outputs are the ones in Market Replay, but in Strategy Analyzer the pending orders are sent one bar after expected, and at the high price, not at the in-bar price as expected.

    Attached the picture to illustrate the differences.

    BR,
    Federico

    Attached Files
    Last edited by federicoo; 02-15-2015, 07:04 PM.

    #2
    Hello,

    Thank you for the question.

    I was unable to see your attachment but It sounds like from the output you are getting that you are seeing the difference in the data that is being used.

    In Market Replay, you will be playing back recorded market data at varied speeds where the Analyzer is using historical data.

    There is a good explanation of the results you will get in the strategy analyzer in the help guide in the Strategy Analyzer section : http://www.ninjatrader.com/support/h...y_analyzer.htm

    This document explains the differences : http://www.ninjatrader.com/support/h...ime_vs_bac.htm

    This would be the explanation if you do not currently have intrabar granularity built into the strategy to take account for the way back testing is run. We have a reference example of how to do this located here: http://www.ninjatrader.com/support/f...ead.php?t=6652

    I would advise to read through the strategy analyzer section as it better explains all of the processes and expected results and also take a look at the reference sample as it shows how to create a script that can be used intrabar in back testing.

    I look forward to being of further assistance.
    JesseNinjaTrader Customer Service

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