Strategy Analyzer and Commission settings for NinjaTrader 8 for Forex Trading

[johnnybegoode]

NinjaTrader 8 Strategy Analyzer and Commission settings for
trading Forex through NinjaTrader Brokerage.

How should I set up Strategy Analyzer and Commission
to reflect the real conditions as if I'm trading
EURUSD using NinjaTrader Brokerage.

Under Commission, what should be
Minimum commission and the Per-unit commission?

Under Strategy Analyzer, what should be
the High Order Fill Resolution Tick Value and
Slippage.?

[NinjaTrader_PatrickG]

The Strategy Analyzer will use the commission template that is applied to the sim101 account. To apply commissions, please take the steps below.

1. Navigate to the Accounts tab of the Control Center
2. Right click on the Account you would like to apply the commissions to, and select 'Edit Account'
3. In the 'Commission' drop-down menu, select the commission template.
4. Click OK

If the commission templates you see don't suit you, then you would have to create a custom commissions template which you may do so by navigating to the Control Center > Tools > Commissions. In this window, click, "add" in the Templates section towards the bottom left side to create a new template. Next, depending on the instrument type you intend on trading, click on the instrument type in the 'Commission per instrument type' section, and click edit. Lastly, add the 'Minimum commission' or 'Per-unit commission' and then click 'OK'. Follow the above steps to apply the commission template to your account.

Unfortunately, the prior orders you've executed will not be applied with commissions, however, the new orders you execute will have the commissions applied.

Additionally, please see the following NinjaTrader 8 help guide link directed section Working With Commission Templates:

• https://ninjatrader.com/support/help...commissi_2.htm

This forum is for technical support and we do not have access to your account to tell you the correct commission values. Please contact your broker directly to find out the correct minimum and per-unit commissions to enter.

'Order fill resolution' sets the order fill resolution to be used for the backtest. (See the "Understanding Historical Fill Processing" section of the Help Guide for more information). 'Slippage' sets the amount of slippage to apply to market / stop market order executions (default is 0). There is no 'correct' setting as it would be determined by what kind of backtest you were wanting to run. You can learn more about backtesting and the Strategy Analyzer at the link below:

https://ninjatrader.com/support/helpGuides/nt8/en-us/backtest_a_strategy.htm

[johnnybegoode]

Could you just tell me what are the values to set it up properly for NT8 FXCM forex brokerage?
It is connected to Ninjatrader FXCM for data but Strategy Analyzer does not run like the real-life condition.
This should be default because It is connected to Ninjatrader FXCM for data.
It runs like there is no spread between the bid and ask price.

[NinjaTrader_PatrickG]

I cannot tell you the correct commission values because I do not have access to your particular commissions. You need to contact your broker to find out your commissions which you can then use to enter. You can always estimate a value now and clarify with your broker later if for some reason you're not able to contact your broker.

[johnnybegoode]

The main reason I'm asking is that
when I attach the strategy on a chart to do simulated trading, the result is vastly different from the ones generated by the strategy analyzer.
I did not connect to a 3rd party brokerage. I'm connecting to the "My NinjaTrader FXCM".

Everything is NinjaTrader even the brokerage.

Anyway, this is your NinjaTrader brokerage's reply:

"Thank you for the interest in NinjaTrader. For Forex trading, there will be no commissions charged, you will just pay the spread. For your 2^nd platform question, I recommend sending directly to our platform support team by emailing [email protected]"

What are the correct settings and values?
I should not even be trying to figure out the correct settings and values.
I'm connected to "My NinjaTrader FXCM".

Do you understand what I am asking?
Strategy Analyzer is inaccurate!
Maybe the Strategy Analyzer is a gimmicky flaw product?

[NinjaTrader_PatrickG]

I'll clarify further for my colleague from the Brokerage Team. There are no additional fees/commissions charged for using the NinjaTrader platform. Since your underlying trading technology is FXCM, it is FXCM who you'll need to contact to determine the fees associated with your trading. Please consult with FXCM to determine the pricing structure.

Do you experience the same trading discrepancy if you use the built-in Sample MA Crossover to test? How would I replicate the real-time vs historical trading discrepancy you're describing?

[johnnybegoode]

Yes - I experience extreme discrepancy using the "Sample MA Crossover"
Yes - How would I replicate the real-time vs historical trading discrepancy?

[NinjaTrader_PatrickG]

I was asking you to detail what steps I would need to take to replicate what you're describing so I can be sure I understand what you're reporting. For example:

• Connect to FXCM
• Run the Sample MA crossover on EURUSD for a few hours in real-time
• Run a Strategy Analyzer of X days with X settings

Please provide me with a detailed set of steps to reproduce what you're experiencing. Also, if you could include screenshots of the discrepancy, that will also assist me in understanding what you're reporting.

[johnnybegoode]

If you look at the attached photos of the summary and settings

Real-Time Net Profit: ($317)
Historical Net Profit: $12,460

[NinjaTrader_PatrickG]

First, you may be using different quantities in each. I can only see that one is set to 100k. Second, you are running your tests on heiken ashi bars. Heiken ashi bars can't be backtested since it doesn't plot actual price movement, it does an average/smoothing of bars. See if you can create a discrepancy on a time-based bar type like 5 minute.

[johnnybegoode]

Yes both real and historical use the same settings. Why are the settings there when it cannot be used for back testing and real time trading. It is no longer the settings. I cannot trust strategy analyzer for any strategies if the discrepancy wasn't cause by commission and slippage settings. It should run accurately down to the tick, not 5 mintes. No way. Not a reliable product.

[NinjaTrader_PatrickG]

Due to the fundamental nature of how Heiken Ashi bars are formed, it's not possible to accurately backtest them. Other bar types which aren't created in the same manner as Heiken Ashi bars would work for your backtesting and closely match real-time results as long as you consider the other expected differences between real-time and historical results.

[johnnybegoode]

Well, this is the historical result from strategy analyzer at 5min.
I am running a real-time simulation at the moment and I doubt that it could replicate the fictitious result.

The options that do not work in real time and backtesting should be removed.
It is deceptive.

[NinjaTrader_PatrickG]

The Strategy Analyzer is looking only at one side of the market and in this case the Last is the Bid. As there is no Ask to compare and fill against all executions are on the Bid.

Work-arounds include using Playback, or developing the strategy to trade specifically to certain bar series which means getting into multiple series strategy building in NinjaScript:

Using Historical Bid/Ask Series
Multi-Time Frame and Instruments

[johnnybegoode]

I don't trust any Strategy Analyzer. Would look into playback.