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Strategy Analyzer data source while playback

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    Strategy Analyzer data source while playback

    hello,

    i'm curious - what data source does strategy analyzer use when the connection is connected to playback?

    i'm asking b/c i've noticed that the strategy analyzer results are completely different when playback connection is turned ON. so i'm quite certain it's not historical data and it's not market replay data.

    i'm not looking to use market replay data in strategy analyzer but rather trying to find a way to use strategy analyzer on historical data while connected to playback connection b/c some of my market replay test take 6+ hours and it puts me out of commission from being able to do further testing via strategy analyzer

    #2
    Hello staycool3_a, thank you for the post.

    The Strategy Analyzer will use the historical data in your database to run a backtest if you are on the playback connection, or if you are not connected at all. The results you get from a historical backtest should be the same on every run regardless of the connection you are using. The market replay connection was designed to be a backtest in itself, so I would recommend using the strategy analyzer only if you are connected to your data provider.

    Please let me know if I can assist further.
    Chris L.NinjaTrader Customer Service

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      #3
      Originally posted by NinjaTrader_ChrisL View Post
      Hello staycool3_a, thank you for the post.

      The Strategy Analyzer will use the historical data in your database to run a backtest if you are on the playback connection, or if you are not connected at all. The results you get from a historical backtest should be the same on every run regardless of the connection you are using. The market replay connection was designed to be a backtest in itself, so I would recommend using the strategy analyzer only if you are connected to your data provider.

      Please let me know if I can assist further.
      then why are these different?

      Look at the starting date of the chart vs the range for the test for the strategy analyzer run during market replay. I have not had the time to look at the actual trades but right off the bat you'll see that there is a difference. I'm running the same exact strategy. One run was done while being connected to only market replay and the other run was done while connected to zero external data connections but using historical data already on the NT8 databse.
      Attached Files

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        #4
        Originally posted by staycool3_a View Post
        then why are these different?

        Look at the starting date of the chart vs the range for the test for the strategy analyzer run during market replay. I have not had the time to look at the actual trades but right off the bat you'll see that there is a difference. I'm running the same exact strategy. One run was done while being connected to only market replay and the other run was done while connected to zero external data connections but using historical data already on the NT8 databse.
        Just noticed this as well: the strategy analyzer is actually updating prices as my market replay is going forward rather than using historical prices.

        Comment


          #5
          Hello staycool3_a,

          Connecting to the Market Replay changes the internal current date and time.

          This does affect the merging of contracts by rollover date depending on the current date in playback.

          If you set the playback time to today's date and the current time, are the backtest results still different than when you are disconnected or connected to a real-time feed?
          Chelsea B.NinjaTrader Customer Service

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