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optimization and play back

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    optimization and play back

    Hi

    I am running the optimiser with the strategy analyser and using the best optimised results in a re-run using the playback with the same settings and the results are vastly different?

    Also the month that I am running does't appear correctly in the strategy analyser chart? so if I run June, when the optimiser has finished the display chart would show another month?

    The results report the correct start and end date in display summary, drop down to chart and you get a different date range?

    I would of thought the vhart display would be of the month that is optimised?

    #2
    Hello fredfred,

    Thanks for your inquiry.

    Backtests use historical data while the Playback connection mimics realtime data. Because of the discrepancies between historical and realtime data, differences in trade performance should be expected.

    More information on these discrepancies can be referenced here: https://ninjatrader.com/support/help...ime_vs_bac.htm

    Our colleague Chelsea has created a thread with videos that go more into depth. You can find this thread here: https://ninjatrader.com/support/foru...d.php?t=102504

    Additionally, it is not advised to run backtests in the Strategy Analyzer while connected to the Playback Connection. The dates and time in the Playback Controller will effect the data available in the Strategy Analyzer backtest. If you are seeing issues with different months displaying in your backtests while disconnected or connected to a regular data provider, please let us know.

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

    Comment


      #3
      thank you for your reply and information.


      It seems that the first pick of best performance gives me a setting of 2 MA's and these are plotted on the chart of the strategy Analyser.

      The plots give me an indication of the trades made.

      When I then open a separate chart and plot the exact same settings with the settings from the strategy analyser on the same time frame currency etc the MA plots are different ?
      The 2 charts look the same.
      I checked that the MA's in the strategy are the same setting by overlaying new plots from adding new indicators. the new chart indicators line up to the MA's drawn by the strategy, so that looks correct

      I dont understand how the MA plots look totally different from the Strategy analyser to a separate chart with the same settings ( period ) The playback is not connected ?

      Comment


        #4
        Hello fredfred,

        As long as the data going into the strategy is the same, the setting used in the strategy are the same, and the strategy itself is the same, we can expect the historical backtesting results to be the same.

        I have attached a demonstration showing how we can compare Strategy Analyzer backtest results against those of a chart. I recommend taking the same steps for the SampleMACrossover strategy and then to repeat for your strategy. If you see differences with your strategy following the same setup as the SampleMACrossover test, I would recommend adding debugging prints to look further into the logic running in the strategy.

        Comparing Strategy Analyzer Backtest to Chart Backtest - https://www.screencast.com/t/qvqWCkT6D

        Debugging tips can be found here: https://ninjatrader.com/support/foru...ead.php?t=3418

        If there is anything else I can do to assist, please let me know.
        JimNinjaTrader Customer Service

        Comment

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