After seeing some initial differences, (some small and some huge), I think I have found a good example of one that has major enough differences that it should be looked at by NinjaTrader support. I recreated the two strategies in both 7 and 8 reasonably well, so that they can be tested side by side to evaluate what is causing the large discrepancies.
It's a very simple test strategy just to see how limit orders are handled specifically on the exit by way of a profit target. Therefore I am using a 1 tick profit target against a greater stop loss, just to see how and when a 1 tick limit order (Profit Target) will not get hit on an exit. Here are my observations: The NT7 strategy has around a 20-1 win to lose ratio while the NT8 strategy has maybe a 10 to 1 or 15 to 1 win to lose ratio.
So I guess my question is how would you explain these differences and which assumptions are more representative of the real market? Are we assuming in 7 that profit targets are always filled on touch? Are we assuming that in 8 all profit targets are only filled on pass-through? Or is it less black and white?
Either way I would like to know the underlying assumptions being made by both 7 and 8 regarding this, so I can understand this behavior.
For testing purposes I used the ES Jan 04-8 2016 on a 250 tick chart in Market Replay.
Please let me know if you need any further information to test on your end.
Thanks,
Ian
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