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Difference between Backtesting and Running with Live Data

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    Difference between Backtesting and Running with Live Data

    Hi,

    I have a strategy that performs very well using historical data from last week, but totally under performs using live data. Is there something that needs to be done to make the backtesting results more realistic?

    Thanks

    Ian

    #2
    Hello IanC28,

    Thank you for your post.

    This would depend on what difference you are seeing that makes it underperform. There are some items which are expected to be different between historical testing and real-time testing, you can find some common items here: https://ninjatrader.com/support/help...ightsub=discre

    Depending on how your script is set up, you can see differences in how your logic is being executed or also fills. With more information on the specific difference you are seeing, that may help narrow down what is happening in contrast to historical/real-time testing.

    To make a script perform more like realtime in a backtest, there are various ways to do that. One is to add a secondary series for granularity, you can also experiment with the analyzers fill resolution property.

    https://ninjatrader.com/support/help...ipt_strate.htm

    https://ninjatrader.com/support/help...ill+resolution




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

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