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Accurate back-testing of strategies based on minute data

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    Accurate back-testing of strategies based on minute data

    Hi, I have noticed that often develop strategies that when backtested, appear to generate returns far, far, far greater than anything I have seen live trading. I use tick data to backtest the strategy, where the strategy is based on bar closed calculations. Is there something i am missing with my backtesting setup? I'd be honest with just a fraction of the projected profit from the backtest, but often see red instead. Is there a way to ensure that strategies, when backtested, are traded through limit orders?

    #2
    Hello Renorail,

    Thanks for your post and welcome to the NinjaTrader forums!

    What we recommend is to review on a trade by trade basis to understand where entry and exits actually occur compared to the strategy logic as first step in understanding the differences.

    There are a number of variables that can certainly influence backtesting results. Here is a link to a help guide page on expected differences: https://ninjatrader.com/support/help...ime_vs_bac.htm

    In general, using the Playback with market replay data, while certainly slower than the strategy analyzer, would provide results like you would receive with live data. Using this tool would give you another way to help analyze the strategy performance. In this regard, analyzing for example a recent 5 day period in the strategy analyzer as well as playback with Market replay data may be helpful in looking at the differences and then investigating further.
    Paul H.NinjaTrader Customer Service

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