seeking advice: backtesting & forward testing and fast-forward testing(?)

[darkgreen]

Hi All,

I finally decided to move from TOS to NT, mostly due to pursuing my algo-trading code with automation (auto buy/sell),
So far, I have only back-tested my code in TOS where I'm limited with 1m on the 30day chart or 5m on the 180d chart, but based on what I'm reading, you don't know if it's actually working until you forward test your strategy. I'm seeking advice from someone who have already been through this process:

1. What is considered forward testing? The goal is to test it with actual market orders, if I do forward testing in NT (paper money) will it also mimic the exact entry price / exit price, delays in execution and such as if it was real money? Are there any differences I should be aware of?
2. Is there a way inside NT to "fast-forward" forward testing? How quickly can I forward test 1-6 months of data based on 1m charts?
3. Are there any gotchas that you can share?

Thanks!

[lmatiukas]

You should connect it to an account outside NT8, as that will replicate real-world delay expectations - a simulated account on one of the other platforms. And while I've backtested my algo for months, I forward live tested it for months also. Where I would find different results than what's expected, I would look to tweak the code, and it does happen - mainly with failed entries or exits, and being forced into market orders is really not the ideal solution.

[darkgreen]

You should connect it to an account outside NT8, as that will replicate real-world delay expectations - a simulated account on one of the other platforms. And while I've backtested my algo for months, I forward live tested it for months also. Where I would find different results than what's expected, I would look to tweak the code, and it does happen - mainly with failed entries or exits, and being forced into market orders is really not the ideal solution.

Thanks for the info. Is there a way to 'fast-forward-testing' from like 3 months ago, i.e. not waiting x or so months from the moment you started forward testing?

[NinjaTrader_Kate]

Hello darkgreen,

Thank you for your reply.

If you'd like to quickly test your strategy on the closest thing to real time data, you could download up to 90 days of market replay data and run the strategy on that using the playback connection. I should note market replay data must be downloaded one day at a time, but this allows you to play back the market exactly as ticks came in in real time. The playback controller will allow you to play through a number of days of data very quickly by adjusting the controller speed. Once you get to the end of the playback period, you can right click on the chart > Strategy Performance > Real Time to see how the strategy would have done on that data.

I have provided a publicly available link below to our YouTube video that provides a brief overview of downloading Market Replay data, connecting to the Playback Connection, and replaying data:

• https://www.youtube.com/watch?v=wvoc16oJhk8

To use the Playback Connection you will first need to have data for Market Replay.

There are 2 ways of getting market data for Market Replay:

1. Record live market data To do this you will need to enable the Market Replay Recorder by going to Tools> Options> Market Data > check 'Enable market recording for playback' > OK. Now data will be recorded for any instrument in any NinjaTrader window that is receiving live market data. Level II (market depth) data is only recorded if a Level II, SuperDOM, or FX Pro window is open and receiving data for the instrument. The Market Analyzer window is the recommended recording window as multiple instruments can be added to one Market Analyzer window and all recorded at the same time. Please see the following publicly available help guide page for more information: http://ninjatrader.com/support/helpG...ReplayRecorder
2. Download replay data from the NinjaTrader server.
   
   NinjaTrader offers a limited amount of replay data free to download. Only the most common instruments are currently available.

To download replay data:

• Select the Tools menu in the Control Center, select the menu item Historical Data and select "Load" tab. Here the section "Get Market Replay data" can be expanded.
• Select the instrument and date of the desired replay data and press the OK button to begin the download.

Please see the following publicly available help guide page for more information:

http://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?set_up12.htm#HowToDownloadPlaybackDataFromTheNinjaTraderServer

Notes:

• Record for market replay must be disabled from the Data tab of the Options menu before downloading replay data.
• NOT available when connected to the Playback connection.

To start playback, first disconnect from any other connections. Connect to the Playback Connection by going to Connections > Playback Connection.

Select the time frame for the Market Replay Data you would like to view. NinjaTrader windows will only display data for instruments and times you have data available.

You can check what data you have available by right clicking on the Playback Connect controls and selecting 'Available data'. Data will only be displayed within the selected time frame.

I have provided a publicly available link below to our Help Guide that goes over Market Replay.

• http://ninjatrader.com/support/helpG...connection.htm

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