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Backtesting vs Market Replay
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Backtesting vs Market Replay
Backtesting for one program for a small period of time give .9% profit. Market Replay for the same program with the same values give -.95% loss. What is the reason for this discrepancy?Tags: None
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Hello CriticalMind,
You should expect that a strategy running tested on Market Replay, performance results will produce different results than the performance results generated during a backtest.
During a backtest, fills are determined based on 4 data points, OHLC of a bar since that is the only information that is known during a backtest.
During simulation using Market Replay data, the fill algorithm is dynamic in that it uses incoming market data (both price and volume) to determine if an order should be filled or not.
Here is the Discrepancies: Real-Time vs Backtest Help Guide, which will detail the differences in fills when using Market Replay, Live, Simulated feeds and Backtests to assist you further.Shawn B.NinjaTrader Customer Service
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