Chart Difference

[GuppyDRV]

Hello all,

I have attached to picture files to this post. They are of the same trading day one showing the results from a walk forward optimization and the other a back test. They are of the same trade on the same day using the same time frame, instrument etc...

They both show the trade being entered at the same time and same price however the WFO chart has a completely different value set for the market. The back test has the market and trade happening together. I have compressed the price scale on the WFO chart so that you can see the trades and the price.

Can anyone explain why the market is at an elevated level on the WFO chart and not the other.

GuppyDRV

[NinjaTrader_PaulH]

Hello GuppyDRV,

Thanks for your post.

Please repair your database and clear your cache data then rerun your tests using the SampleMACrossover.

Please follow the instructions below to repair the NinjaTrader database. (This can take long depending on the size of your database file and your system.)

Disconnect NinjaTrader from any open connections via File > Disconnect.
From the NinjaTrader Control Center window select the menu Tools > Options.
Select the 'Data' tab.
Press the 'Repair DB' button.
Press the 'OK' button.

To delete the cache, follow the steps below.

Shut down NinjaTrader.
Open the Documents > NinjaTrader 7 > db folder.
Delete the sub-folder named 'cache'.
Restart NinjaTrader and test.

[GuppyDRV]

Paul,

Thanks for the suggestions. I followed your recommendations and have found that the problem still persists.

I have found that when I run a Back Test or simply attach a strategy to a chart and look at the performance report that the trades happen properly. I have checked this against investing.com data which is different than the IQFeed that I use. When I run the Walk forward test I still find that the trades are happening at a different price. When I place a performance report and the Walk Forward side by side I can verify that the WFO is talking the trades at the same time essentially. Minor differences in which bar as the inputs are variable, obviously.

So why only on the WFO is this happening. I must have a setting improperly adjusted I just can't find which one. I ran the moving average as well with same results. The strategy that I'm testing is conventional in nature. In other words no special chart types like Line Brake or Renko that manipulate open price etc... just plane vanilla.

Any other thoughts?

GuppDRV

[NinjaTrader_PaulH]

Hello GuppyDRV,

Thanks for your reply.

In an effort to isolate the issue, please test using the sampleMACrossover strategy and advise your findings.

So I can test on my end, please advise what instrument, what start and from dates are being used, session template, and note any optimize settings.

[GuppyDRV]

Some additional data

Paul,

I ran the simple moving average strategy on a YM contract using a 5 minute time bar in the WFO just for an easy reference point. The results were the same as running the strategy I was first referencing.

I have included three screen shots.

YM Snip 1 shows the SMA in the WFO with a screen capture of trading day 1/15/15 with incorrect trade Vs. market pricing. This anomaly is present anything from 1/15/15 back to the start of the year. I have also found that 4/15/15 - 5/15/15 also exhibit this behavior. Also notice that the trade visual profit/loss lines are missing.

YM Snip 2 shows the same WFO except the chart date has been advance beyond the 1/15/15 time period to 1/16/15 and beyond in this case. Now notice the trades are correct relative actual market price and the visual profit/loss lines have returned as would be usual.

YM Snip 3 shows the same SMA crossover run on a YM 5 minute chart in the Back Tester. Notice now the trades are correctly processed reference the actual market price. I checked the remainder of the year and while in the Back Tester or Optimizer all is normal. The date is also for the 1/15/15.

I have never come across an anomaly such as this before and suspect that I have something on my end set incorrectly. I have repaired my database and cleared my cache as you suggested. Any additional feedback from anyone that may have encountered this before would be appreciated. I should also mention that I'm using NT7.

Thanks.

GuppyDRV

[NinjaTrader_PaulH]

Hello GuppyDRV,

Thanks for your posts.

Please provide a screenshot of your WFO settings that those test results were received on so that I can replicate on my end.

Thank-you.

[GuppyDRV]

Settings

Paul,

Thanks again. I have attached a screen shot of the settings. I have used YM on a 5 minute chart. The issue can be seen by running a WFO then picking a trade period under the walk forward tab. In this example several (attachment "Settings 2") such as the 1/1/2016 - 1/14/2016 are showing trades that differ from market price. I'm going to do some further research to see if there is any consistency in why certain periods show improper trades and other do not. Such as contract roll over months. I'm also going to check a few trades and see if they are in sync with what the profit/loss should be had the trade been taken at the correct pricing.

Any help would be appreciated.

GuppyDRV

[GuppyDRV]

Additional Info

Paul,



I ran a few more WFO using the settings and instrument from my prior post and checked some trades. My findings. The bellow listed, weeks (referring to) are from the Walk Forward tab of the results page.

• Week prior to contract roll over all trades are normal
• Week that includes contract roll over trades become priced incorrectly (this condition persists for one month after any contract roll over dates).
• After one month from roll over date trades are again normal

With slip set to Zero the trade amounts seem to be equal as in even though they have different prices relative the actual market price the net profit/loss seems to be the same as if they happened at the actual and correct market price. I have only check a few so am not sure if this holds true all the time but suspect that it will.

I'm guessing I have something with regard to my contract dates or some setting set wrong. Any help would be appreciated.

GuppyDRV

[NinjaTrader_PatrickH]

Hello GuppyDRV,

Thank you for your patience.

Please send me your log and trace files as well as your database so that I may look into what is occurring. You can do this by going to the Control Center-> Help-> Mail to Platform Support. Ensuring 'Log and Trace Files' and 'Database' are checked will include these files.

Please list 'ATTN: Patrick H - 1564472' in the subject line.