Convert Backtest Results to Live Strategy Outcomes

[Tagliareni]

I'm getting good backtest results on Strategy Analyzer with a couple Builder Strategies, so I have a few questions about translating these results into automated trading strategy live performance.

1. How do I know whether my backtest data is corrupted or up-to-par?

2. If the backtest data is accurate, how well will these results translate into live performance and is there anything I can do to improve it, like running the strategy through optimizer?

I would greatly appreciate any help on converting positive automated trading strategy backtest results into real winning trades!


Thank you Forum & Support, you're awesome.

~Matt

[NinjaTrader_AlanP]

Hello Tagliareni,

Thank you for your note.

If you were concerned about data integrity you could compare the chart vs another data provider, or you could go Control Center >Tools>Historical Data and look at the contracts data points vs another provider.

How well a strategy preformed historically is no indication of how it will perform in the future.

I would suggest the following link in our helpguide,

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

You could use the optimizer to improve how a strategy preformed historically, however this would not necessarily translate into better future results, you may be interested in researching topics such as “over optimization”.

Please let us know if you need further assistance.

[Tagliareni]

Thank you for your answer. I understand the risks inherent in trading and backtesting. I am not asking anyone to guarantee my results. I'm simply asking that, since backtest results are going well, what can I do to better prepare to these strategies to go live? Just looking for a little advice from someone who has done this before.

I'm also wondering whether my own historical data is accurate and whether I should clear it out an download it all again.

[NinjaTrader_AlanP]

Hello Tagliareni,

I would suggest backtesting with intrabar granularity for most accurate results, see

https://ninjatrader.com/support/forum/showthread.php?t=6652

I would suggest you test your strategy using market replay too. So you can watch the system execute as if in real time, then you can scrutinize the entries and prices.

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

You could discount your profits by a factor, perhaps by taking total trades number * 3 ticks for say slippage.

Please let us know if you need further assistance.