Strategy Questions

[NinjaTrader_Kate]

Hello bouncetherubble,

Thank you for your reply.

The speed that the playback is run at does not affect the results. Keep in mind, however, that it is trying to calculate large amounts of information in a short amount amount of time so you may see performance impacts if you are running a chart with a large number of indicators or complex strategies or a large number of charts at once at maximum speed.

Renaming the config.xml file will have no impact on Playback performance. The config file holds things like your connection information, license key, what add-ons you have installed, etc.

To troubleshoot issues with Playback, first, open a new workspace and close all other workspaces. If a workspace is open but running in the background, it will have a gray box next to it. Hover over any of these and click the close button to make sure they are completely closed.

Next, switch to the Playback connection in this new workspace and open up a completely new chart for an instrument that you know you have Market Replay data for and test playback and scrolling to rewind.

Are you able to scroll back in time when running just a single blank chart?

If not, please send us your log and trace files by going to Help > Email to Support. In the body of the email, please put a link to this thread and 2312196 ATTN Kate W. in the subject line.the iss

If you are able to scroll normally, it's likely that the issue is either something in the workspace you are using, or a strategy or indicator you are using during playback causing a freezing state when calculating. My suggestion then would be to limit playback to a minimal number of charts, strategies and indicators at a time. Make sure you use a separate workspace for playback and that all other workspaces are closed when using it. You may even want to try just making sure all your other workspaces are closed when you use it if you find you had several open workspaces in the background.

Please let us know if we may be of further assistance to you.

[bouncetherubble]

Hi Kate

Thanks for the detailed instructions! I am not sure what I did but it is bac to normal. I visited Historical Data menu and downloaded files again. BTW, this Menu is a bit confusing, but I confess I didn't look into the Manual.

I selected the last 15 days interval and selected the Instrument, all data types and intervals, and I suppose that is for Historic data, but the Market Replay data is at the bottom and only 1 day selectable... So I selected each day in the last 5 days interval and downloaded separately, as well. Market Replay data is really downloaded " per day" ?

Anyway, Playback function was back to normal after that ( I think some kind of data corruption happened, maybe it's me not restarting the laptop for long periods of time or maybe a windows patch , or both ...).






Thanks Much
G

[bouncetherubble]

Hi Kate

Still on the subject of Playback, Should Slippage be configured under Strategies > properties> Historical Fill Processing> Slippage , when running Playback with Historical dial button selected?

I am in doubt if this "Historical" reference at the Strategies Properties is exclusively when Playback Mode is NOT selected (Backtesting via Strategy Analyzer)... ?

Sames goes for the Market Replay as well...

Q1- Should Slippage be included when any Playback mode is active? Not sure is Playback is considered " Historical" or not ....

Q2- Is broker Spread included at "Playback> Historical" mode as well as "Playback>MarketReplay" mode?




Thanks much,
G

[NinjaTrader_Kate]

Hello bouncetherubble,

Thank you for your reply.

Whether slippage is applied if you put something in that field wouldn't depend if you're in playback or using historical or market replay data. If you are using Market Replay data, the spread calculations use the bid-ask series and are calculated from that, so you don't need to use the slippage to mimic spread. On the historical data, you would want to use slippage to mimic the spread since it's only able to use the bid data even when used with the Playback connection.

Please let us know if we may be of further assistance to you.

[bouncetherubble]

Hi Kate

Once again, thanks much for all your information. I have a final question about the topic.

Q- How does the Slippage "count" towards the expected BID/ASK Spread it is emulating?

For instance , a "1" unit populating the Slippage field would translate to an expected 1 PIP Spread? In this case, I am referring to 1 PIP as the fourth decimal after the "dot" in EURUSD pair , for instance 1.1140 - 1.1141, what roughly translates to $10 dollars Spread if you are trading 100,000 units in EURUSD.

Best,
G

[NinjaTrader_Kate]

Hello bouncetherubble,

Thank you for your reply.

Slippage is calculated in ticks per fill. Forex instruments such as the EURUSD use a tick size of 0.00001 in NinjaTrader. A tick will be the smallest increment size for the instrument. So a 1 Pip spread = 10 Ticks.

Please let us know if we may be of further assistance to you.

[bouncetherubble]

Hi Kate,

It seems the term "tick" is used with some freedom as being "the next minimum price" in a trade sequence and a fixed ratio tied to the PIP value, like you provided. I always thought of a "tick" as one free move of the price up or down to the next trade price, usually minus than a PIP. Anyway thanks very much for the answer about Slippage.

I have come to the realization there are many strategies for EURUSD, using $1000 dollar balance and 100x Leverage (so 100,000 units lot) that can be built with the Strategy Builder that will show a $1000 dollar profit a day at the Historic backtesting ( with less than $500 drawdown and usually never a negatve accumulated profit at the whole trading period), which later will become (at least) a $500 loss a day, once they are tested with the correct Spread (Slippage simulated) or via Market Replay with the actual BID/ASK data. The shorter the time frames used, the greater the profit in backtesting, but also the greater is the disappointment in Market Replay. I have compared data from Historic and Market Replay and the trades times are almost exactly the same to 1/100th of the second, but the huge accumulated profit amassed in short timeframe trades strategy is completely erased by broker spreads of 1.3 PIP per trade. The greater profitable swings cannot overcome the series of short losses that happen during Noise areas, which represent huge loss areas, due to broker spreads mainly. It seems the greatest problem to be tackled is not the imprevisibility of the markets, but the broker's spreads. That is really something I was not expecting to face, now that Ninjatrader Strategy Builder allowed me to build strategies exactly as I imagined were possible, but still, they are not profitable.

Thanks much,
G