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Suggestions before going live

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    Suggestions before going live

    NT8:
    I am trying to imitate worst-case scenarios on my strategy, in Strategy Analyser.
    1. by setting the slippage to 6 and order fill resolution to Standard - made a good profit.
    2. by setting the slippage to 6 and order fill resolution to High -(Tick/1) - made a good profit
    3. by setting the slippage to 6 and tested on playback (not sure if slippage has any effect here), and made a good profit

    Setting slippage to 7 is like break-even and setting it to 8 gives me losses. I know these numbers are too high, but as I mentioned, I am testing the worst-case scenarios.

    Now, are there any other tests that I can do before going live?
    Last edited by venkateshdvk; 09-25-2020, 01:50 PM.

    #2
    Hello venkateshdvk,

    Thank you for your reply.

    While we can't advise you on specific settings as that could be a compliance issue, I'd just like to point out how the slippage works. Slippage is only applied to market, stop-market and Market-if-touched orders. NinjaTrader will add the slippage to each order, however you cannot have more slippage then the high/low price of the next bar.

    One other thing to point out is Order Fill Resolution can really make a difference in how closely your strategy run in the Strategy Analyzer comes to real world trading conditions.

    Selecting order fill resolution of "High" will allow you to set a secondary bar series to be used as the price data to fill your orders, this allows you to bring in more granular data then you are currently running the strategy on. For example you may have a strategy that you run on "Daily" bars but then want to bring in "Minute" bars for the historical fill algorithm to be based on.

    I'll leave the thread open for our users to give their opinions.

    Please let us know if we may be of further assistance to you.
    Kate W.NinjaTrader Customer Service

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