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Market Replay Not Accurate?
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Market Replay Not Accurate?

  #1 (permalink)
Elite Member
Arizona, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: MB Trading
Favorite Futures: Cello
 
serac's Avatar
 
Posts: 116 since Jan 2011
Thanks: 321 given, 137 received

Market Replay Not Accurate?

Hi all,

I have been extensively testing several strategies using real time data from MB Trading. Having got to a point where a journal here at Mike's place would be a good idea, I started Market Replay to recreate my results (I am saving all the live data in NT).

Surprise! The market replay results are nothing like the real-time sim results. In real time, I do quite well. In market replay, I tank.

Has anyone else encountered this? I'm not really trading short time frames, so I doubt timing has much to do with it (five minute bars, trades of several hours).

What the heck? Any suggestions? Do you think my (sim) real-time data results are more accurate the the market replay results?

Looks like this guy had a similar issue:
https://futures.io/ninjatrader/541-market-replay-vs-realtime-data.html

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  #2 (permalink)
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  #3 (permalink)
 Vendor: www.integrity-traders.com 
East Rochester, NY
 
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Hi, sim trading uses a live data feed. This data is different than what is saved on the NinjaTrader historical data server and wherever they save the data for market replay downloads. The only way to have the same data as you saw live is to record your own.

Dan

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  #4 (permalink)
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eDanny View Post
Hi, sim trading uses a live data feed. This data is different than what is saved on the NinjaTrader historical data server and wherever they save the data for market replay downloads. The only way to have the same data as you saw live is to record your own.

Dan

Hi Dan,

Thanks for the reply. Maybe I am confused?

I am saving my data for market replay (not at my NT computer right now, but it is somewhere buried in Options/Data). When I right-click on the Market Replay control box, the availiable data I have is what I recorded.

What I think I am seeing is an inconsistancy between sim trading performance and Market Replay performance. Market Replay performance is what is yielded from using the same data that I recorded while I was sim trading.

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  #5 (permalink)
 Vendor: www.integrity-traders.com 
East Rochester, NY
 
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Then I have no explanation. Sorry.

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  #6 (permalink)
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serac View Post
What I think I am seeing is an inconsistancy between sim trading performance and Market Replay performance. Market Replay performance is what is yielded from using the same data that I recorded while I was sim trading.

Are you using an exotic bar type like Renko, LineBreak, etc?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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  #7 (permalink)
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Big Mike View Post
Are you using an exotic bar type like Renko, LineBreak, etc?

Mike

Mike,

Good question - I didn't think to mention that.

No. Nothing exotic. Five-minute bars.

I have a mechanism built in the strategy using muti time frames to run at a higher resolution (still using five minute bars, but sending the orders on 200 tick bars). Originally I did this for backtesting, but have since completely given up the vice. Perhaps Market Replay will behave better using this configuration?

I am continuously modifying stop loss orders. Perhaps this is not functioning correctly in Replay?

Thanks for all y'all suggestions so far...

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  #8 (permalink)
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After a year of inconsistencies with market replay and backtesting using MTF designed to solve this problem with NinjaTrader, I just finally gave up and moved to MultiCharts. Sorry I can't be of more help.

Is it possible? Sure. You could land the space shuttle with NinjaTrader. Anything is possible with C#. But I just decided to move to something else. Hopefully someone else can help you find the problem. You might need to post your code.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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The following user says Thank You to Big Mike for this post:
 
  #9 (permalink)
Elite Member
Arizona, USA
 
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serac's Avatar
 
Posts: 116 since Jan 2011
Thanks: 321 given, 137 received


Big Mike View Post
After a year of inconsistencies with market replay and backtesting using MTF designed to solve this problem with NinjaTrader, I just finally gave up and moved to MultiCharts. Sorry I can't be of more help.

Is it possible? Sure. You could land the space shuttle with NinjaTrader. Anything is possible with C#. But I just decided to move to something else. Hopefully someone else can help you find the problem. You might need to post your code.

Mike

Yeah, MultiCharts has crossed my mind more than once. Once I have myself convinced that some of my ideas might have an edge, I may do the MC plunge. The attractiveness of NT is the free development costs - I don't want to feel hurried, just want to do a good job.

How well does MC perform backtesting? Is it any more worthwhile than NT? I still find it hard to believe that NT backtesting is so unrealistic - the system is completely deterministic, and yet the results can be off an order of magnitude.

Oh. It is true you could land the space shuttle with C#. But, you also could do it with crappy language and teeny-tiny computer...

Thanks for your help, Mike.

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  #10 (permalink)
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serac View Post
Yeah, MultiCharts has crossed my mind more than once. Once I have myself convinced that some of my ideas might have an edge, I may do the MC plunge. The attractiveness of NT is the free development costs - I don't want to feel hurried, just want to do a good job.

How well does MC perform backtesting? Is it any more worthwhile than NT? I still find it hard to believe that NT backtesting is so unrealistic - the system is completely deterministic, and yet the results can be off an order of magnitude.

Oh. It is true you could land the space shuttle with C#. But, you also could do it with crappy language and teeny-tiny computer...

Thanks for your help, Mike.

Better threads covering MultiCharts:
https://futures.io/multicharts/3328-video-multicharts-vs-ninjatrader-strategy-backtesting-optimization.html

https://futures.io/multicharts/11278-video-tutorial-how-create-advanced-multicharts-easylanguage-strategy.html

https://futures.io/multicharts/2698-multicharts-multicharts-multicharts.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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