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Backtest vs historical strategy performance

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    Backtest vs historical strategy performance

    Hello all and Ninjatrader team,

    I'm really wondering and do not understand why a backtest result in the strategy analyzer, over a long or short period, is substantially different than the historical strategy performance (also backtested since no real trades have been made) over the same period.
    Please have a look at the attached results (Overview and trades). As you can see the entry end exit prices are different (trade 7/8 up to 20 Pips?!)

    It is the same strategy, the same price data (IB), and the exact strategy setup.
    The strategy works with limit orders to enter a trade and take profits/stop loss to exit.

    Could you please explain:
    - Why does it differ so much?
    - After many tests, the historical strategy performance shows always worse results than the strategy analyser, why is that?
    - What of both scenarios is right?
    - What is closer to reality?
    - Is this a bug?

    I hope you don't mind that the strategy is in the red on that days

    Thanks in advance for your effort
    Last edited by fernlicht; 04-13-2021, 06:53 AM.

    #2
    Hello fernlicht,

    Thanks for your post.

    Here is a link to the help guide that discusses differences you can expect: https://ninjatrader.com/support/help...ime_vs_bac.htm

    Please see this thread created by my colleague to address these type questions: https://ninjatrader.com/support/foru...mance?t=102504

    Paul H.NinjaTrader Customer Service

    Comment


      #3
      Ok thanks will look into that

      Comment

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