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I haven't quite found a thread like this on here yet, so I wanted to reach out and grab a few opinions. What I am looking for are thoughts on the accuracy of various types of SIM / Market Replay systems as compared to the real market.
Here is what I have observed thus far: With Respect to Limit order entries and exits:
NT 7 Market Replay seems to have some consideration for volume requirements to fill orders, and a fairly robust SIM engine, but I think it is too liberal in hitting a short profit target during the first or second touch.
NT 8 Market Replay is more conservative and requires more touches or price pass through to fill orders.
Comparing 7 to 8 I noticed that overall 8 was more conservative and 7 is more liberal.
Regarding granularity, I understand that 8 uses market events down to the millisecond in it's decision engine, so it has more granularity and is therefore going to likely be more accurate. It also has a tick replay feature that in theory makes it's results even more accurate.
For those that have used NT 7 or 8 for Market Replay and went live using 7 or 8. What did you think? Is one or either of these in line with the real market (Ballpark)? What I am kind of thinking is perhaps 7 is too liberal, but I am not sure about 8. Maybe it is in the ballpark, or too conservative, or too liberal. Any opinions here would be very helpful?
I haven't tried the TopStepTrader SIM platform yet, but I am thinking about giving it a go soon. I understand they work with NinjaTrader as a platform. So my questions is, how can you use their SIM in connection with NinjaTrader? If anyone has any thoughts on this let me know.
I haven't tried multi-charts yet, but I hear they have a market replay / SIM. Does anyone have any thoughts on how this compares to live?
Basically where I am at, is that I can beat the Market Replay in both NT 7 and NT 8 fairly handily, but some of my systems that crush one fail in the other or vice versa. I also have some that beat both. I am in the process of doing some reconciliations and optimizing but before I waste any more time, I figured I would ask the community here what they think is a good SIM / Market Replay system. If it turns out there is a strong favorable opinion on one platform or another, this will help me determine where to invest my time and research. Otherwise it will be an endless game of whack a mole!
Thanks for your feedback!
Ian
Can you help answer these questions from other members on NexusFi?
Thanks for your feedback on another thread recently by the way. I have tried to enable tick replay and test this way as well. I haven't experienced too much, if any, of a material difference between checking or un-checking this in my results. So while it may add more granularity and accuracy, I didn't see any significant change when I ran it checked or unchecked.
Do you think, that when this is enabled, and when you run SIM with live data, this gets you pretty close to what you experience in the live market?
Hi Ian, I can only relay my experience which, as of now, is limited to replicating a couple of live trades which - in replay - did not get filled without the 'tick replay' option enabled, but did get filled if I enabled that option.
That NT help link I posted in the other thread states (emphasis mine)
The way I interpret the word 'guarantees' is, it will replicate exactly what happened during the live session.
It will hog resources though but if that's the price to pay, it's a small price IMO.
This kind of leads me to the conclusion that in terms of testing SIM with NT, the most accurate results you can get with their software is to run your Live SIM or Market Replay through:
NT8 not NT7
With the enable tick replay checked to add extra granularity.
I have ran around 9 months back in Replay with this so far, and everything looks good. I just wonder how close, this will be to trading live.
If anyone else has any experience between NT Market Replay / SIM vs live trading I would love to hear from you!
Also if there are any opinions on other tools out there beyond NT that would be better to test on, I would love to hear about those as well.
