Market replay vs backtest

[stewarco]

Hello. I have a strategy running on S&P eminis which I backtested for a given period that generated approx. 14 trade entries. However, when I ran it with the Market replay it only generated 1 trade entry. The replay is showing that the price data is flowing through correctly, and visually I can see that trades should be generated, but they're not. Do you have any idea what might be causing this?

One theory I have is that one of the inputs for the trade condition is VIX index, and I received a message saying Ninjabrokerage does not support the VIX index. So the data exists in the cache somewhere for the backtest (via my other brokerage account), but when I'm running the simulation it's trying to access data through Ninja which isn't there. I have no idea if that makes sense at all but it's only thing I could think of.

Any thoughts?

[NinjaTrader_ChrisL]

Hello stewarco,

Thanks for the post.

Vix data is not available from the Playback data servers. Only futures and forex data will be available from those servers. If you are connected to your data provider while running the backtest, then the strategy analyzer will pull the data from your connection, if you are not connected it will pull the data from your database. Since the Playback data servers will not supply this data, this strategy cannot be backtested by means of the playback connection.

Please let me know if I may be of any further assistance.

[stewarco]

related question

Thanks Chris. If I wanted to run this strategy live, would I run into the same problem? I'd like to execute all my futures through the ninjabrokerage, but some of the strats reference inputs on instruments or indices that are not supported by ninjabrokerage. I have the multibroker license, so would it be possible for me to connect to both so that I can access the data from my other broker but route the trades to Ninja?

Thanks,
Colin

[NinjaTrader_ChrisL]

Hello Colin,

Thanks for the reply.

With the Multi-Broker key, you can connect to two brokers and trade with both of those brokers. Just select the account you want to trade in the order entry window. This also means that you will receive data from both of these brokers.

If the NT Continuum connection can not pull the requested data series, then NinjaTrader will look to the second data connection to get that data. As long as whatever data you need is coming from your data feed, you will not see this happen in real time.

The help guide page below describes multiple connections further:

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

Please let me know if I may be of any further assistance.