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Market Replay vs. Strategy Analyzer

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  • priceisking
    started a topic Market Replay vs. Strategy Analyzer

    Market Replay vs. Strategy Analyzer

    Hi,

    I wanted to find out if the Strategy Analyzer outputs, when used in market replay for the same time period should result in same results?

    I'm trying to test a simple crossover strategy for the same instrument for the same time period. I have the market replay data downloaded already.

    When I run the strategy analyzer, i used some of the optimization settings from the results.

    I used those same optimization settings in Market Replay for the same time period and i'm not getting the same results. What is the best to get the results to match?


  • priceisking
    replied
    Thank you for the reply. Understood.

    Leave a comment:


  • NinjaTrader_JoshG
    replied
    Hello priceisking,
    Thanks for your post.

    The Strategy Analyzer does the best it can to simulate the real market but it is not perfect and it works on bar closes instead of every tick. It would be expected for a strategy running on market replay to produce different results than the performance results generated during a backtest.

    Please review the following links that discuss the differences between Real-Time strategy results vs Strategy Backtest results:

    Help Guide- Discrepancies: Real-Time vs Backtest
    NT Support Forum- Comparing real-time, historical, and replay performance
    Last edited by NinjaTrader_JoshG; 03-19-2019, 01:52 PM.

    Leave a comment:

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