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Market Playback Margin of Error

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    Market Playback Margin of Error

    Is there any way to potentially estimate a margin of error on trading stats like max dd and net profit when running strategies through replay data compared to live data? So if over each block of say 100 trades we could potentially calculate in real life what would have been the actual statistics with some degree of accuracy?

    #2
    Hello Bmatarese, thanks for writing in.

    If you export your trade results to a CSV file, you can do any calculation on the data in Excell or any spreadsheet software. After generating results, right-click the results> click Export. There is nothing in the platform that will do this specifically.

    Please let me know if I may provide further information.
    Chris L.NinjaTrader Customer Service

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      #3
      I'm asking if the discrepancy between playback data and real-time data has been quantified. So within X amounts of trades on playback, we can estimate with some degree of accuracy what real time statistics would have been based on an established margin of error.

      Thanks

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        #4
        Hello Bmatarese, thanks for your reply.

        The playback data is a tick-by-tick recording of the live level 1 and 2 data. The price and volume data is accurate, any further analysis/comparison of the data would need to be performed by the user.

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

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          #5
          What about when increasing playback speed? Is there any way to quantify the discrepency?

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            #6
            Hello Bmatarese,

            Increasing the playback speed would not change how trades are executed in playback.

            Playback would have orders filled immediately as opposed to a live account where the order must leave NinjaTrader and reach the broker's order routing server and exchange before the order can fill.

            You could compare Playback runs to your live runs of the same trades if you want to quantity, and the differences here would be due to latency to have the orders filled outside of NinjaTrader. You could then estimate some differences based on these variances, but I would not say that you could predict the exact latency that your live trades would have after testing in playback.

            Discrepancies between realtime backtest - https://ninjatrader.com/support/help...ime_vs_bac.htm

            We look forward to assisting.
            JimNinjaTrader Customer Service

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              #7
              Ok. Thank you

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