Backtest Tick Replay vs Order Fill Resolution High

[Yannick]

Hello ,

► 1) I tested my strategy once with TickReplay and later with Order Fill Resolution on high.
I had 81 trades with TickReplay and only 51 trades with O.F.R High.
Which setting is more precise now? Shouldn't I have more trades with O.F.R High or at least as many as with TickReplay?
I have already read the Ninjatrader manual. I can therefore not fully explain the results

► 2) Even if I choose TickReplay for the normal backtest, does it only calculate it based on the closing price? The tick data are then only used for the indicators?

► 3) If I want the same results in live trading as in the backtest (without O.F.R High)! Should I then simply set the -> live mode (!) To Calculate based on the closing price?
Would I get the results 1 to 1 like in the normal backtest (with TickReplay) ?

► 4) If I choose a very small unit of time or volume (additional Data) for GetCurrentBid, would I get a much more accurate result in the test?
For Example : For example: I choose Series 1 for CurrentBid with the setting 1 second (see attachment)

Then it would cover almost all price changes, although it only takes the closing price ?
Would this be a good alternative solution to get the backtest even more accurate?

Thank you in advance for your help!


Best Regards

[NinjaTrader_ChelseaB]

Hello Yannick,

TickReplay does not increase accuracy with order fills.

Below is a link to a forum post about intra-bar granularity, tick replay, and order fill resolution.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

When TickReplay is enabled, OnBarUpdate will update according to the Calculate setting. If set to .OnEachTick, OnBarUpdate will update for every tick. However, those updates are not used for fill prices.

If you want the same results (or as close as possible) in historical as real-time, add 1 tick intra-bar granularity to the script and place orders to that added series and also enable TickReplay.

GetCurrentBid() returns the close price in historical data.

https://ninjatrader.com/support/helpGuides/nt8/getcurrentbid.htm

[Yannick]

Ok, to make sure again. If I want to get the same results as in the normal backtest, how do I have to use the strategy in live trading?
Would I get the same results as in the backtest if I choose "Calculate based on closing price"?
Normally he would have to do the same as in the backtest, right?

Not that I work on the strategy all the time and in the end all the effort was in vain

Best Regards

[NinjaTrader_ChelseaB]

Hello Yannick,

The Calculate setting should be the same in real-time as in historical. TickReplay should be used if Calculate is not set to OnBarClose.

If you are running with Calculate as OnPriceChange in real-time, use TickReplay with Calculate as OnPriceChange in historical.