BackTest & Market Replay

[sasil]

I'm doing a backtest using MarktReplay.
When I put the same strategy to run on the graph and on the Tab Strategy, in the Control Center, the trades number and the result are different.
The differences is significant, on the Tab Strategy the number of trades is much higher.
Why is that?

[sledge]

When are the extra trades taking place?

Are they both running the same session template?

[sasil]

I am using ES 06-15, between 05/04 and 05/08, with time frame Range 2, the same session template, and strategy.

See you both cases:

Tab Strategy Graphic
Trades Profit Trades Profit
04/mai 44 173,26 29 320,16
05/mai 118 677,72 79 447,16
06/mai 92 165,68 76 89,04
07/mai 78 286,12 64 281,56
08/mai 41 102,64 23 -96,08

Thanks

[NinjaTrader_PaulH]

Hello sasil,

Thanks for your post.

To provide a better understanding, if possible please add a screenshot or two of what you seeing.

Thank-you.

[sasil]

I am sending you a spreadsheet with the results of the strategy when you run on the graph and Tab Strategy.

Please see the results.

Thanks

[NinjaTrader_PaulH]

Hello sasil,

Thanks for your reply and the spreadsheet.

The terminology: Graphic Trades, Tab Strategy trades, is confusing me a bit.

Are you comparing trades from market replay results to the strategy analyzer results?

[sledge]

I too am confused by the terminology, but I think he has replay running but his strategy attached to both the strategy tab and chart and seeing different results for each.

[sasil]

On both cases I ran the strategy in the Market Replay.

When I say Chart I mean the graphic, the menu you get when Ctrl+S and choose the strategy.

When I say Strategy Tab, is on the Control Center, when you chose the Strategy Tab and and set a New Strategy.

The other conditions are the same.

[NinjaTrader_PatrickH]

Hello sasil,

Thank you for clarifying this matter.

Can you provide screenshots of the settings used on both the Chart's Strategies menu and the Strategies tab Edit Strategy menu?

[sasil]

Sorry, I don't understand You.

Follow the screenshots to both cases

[NinjaTrader_PaulH]

Hello sasil,

Thanks for your reply and screenshots.

What we are trying to do is to help answer your questions and to be able to do that we need to understand how you are generating the results. The screenshots while helpful do not show all of the strategy settings used and we would like to see them. Also, please ensure that the setting shown are what you used during market replay as the two screenshot settings appear quite different.

[sasil]

OK, I am sending you the screenshot settings, so you can understand what I am doing.

I am only running the strategy on two different sites on the NinjaTrade, and the results are different, when they should be the same.

What I'm doing and using is:

- Every day I download the Replay Data, on the Control Center File\Utilities\Download Reply Data...
- My data Feed is Ninja Trader Continnum.
- I use the same strategy.
- I do not change anything in neither case.

[sledge]

1 is a 2 range bar and the other is 60 minute bars?

That's entirely different.

[sasil]

I ran again the strategy between 05/11 and 05/13. Again the results were different.
Please see the attachment.

[NinjaTrader_PaulH]

Hello sasil,

Thanks for your reply and the spreadsheet.

I would like you to confirm my understanding of what you are doing to generate the two sets of differing results.

Using Market replay, you are applying your strategy named RoboScalp0101R21 to a chart, enabling the strategy and running the replay over a set period of time. After that time you are using the account performance to generate the data you have supplied in the spreadsheets as "Graphic".

Then you are resetting the time on the market replay, applying the strategy RoboScalp0101R21 to the strategy tab and enabling it and again running market replay for the same period of time, then re running the account performance to produce the second set of results called Tab strategy.

In both cases you are apply the strategy to 2 range data over a 3 day period.

Please confirm this is your process or clarify as needed and add any detail that may help. I appreciate your patience as we attempt to understand how the results are being generated.