Historical Data and Marketreplay: Strategy not taking all trades - NinjaTrader Programming | futures io social trading
futures io futures trading


Historical Data and Marketreplay: Strategy not taking all trades
Updated: Views / Replies:291 / 4
Created: by kidvic Attachments:0

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 
Thread Tools Search this Thread
 

Historical Data and Marketreplay: Strategy not taking all trades

  #1 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: NinjaTrader, ThinkOrSwim
Favorite Futures: Options, Futures
 
Posts: 92 since Mar 2015
Thanks: 13 given, 2 received

Historical Data and Marketreplay: Strategy not taking all trades

So I've been testing a strategy on market replay. I downloaded 20 days from the ninjatrader server, and as well downloaded the historical data for those same 20 days, (same instrument, same contract, same date/times). Then when I backtetsted that same strategy on the historical version, I got DIFFERENT results!
I checked the graphs, to make sure they lined up, and they did.
Then I went to look at the trades they took, and noticed that on the historical data some of the trades weren't being taken.
Mind you, this is the same strategy, with the same time-frame, same expiration, same dates, same chart.
What is going on? Can anyone enlighten me?
Has anyone come across something similar?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,319 since Jun 2009
Thanks: 3,529 given, 3,931 received


It's impossible to answer without the strategy logic.
You may add some debugging instructions in your strategy to get some clues. Simple Print() should be enough (high was X, indicator Z at bar Y say this, etc).

Success requires no deodorant! (Sun Tzu)
Reply With Quote
 
  #4 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: NinjaTrader, ThinkOrSwim
Favorite Futures: Options, Futures
 
Posts: 92 since Mar 2015
Thanks: 13 given, 2 received


sam028 View Post
It's impossible to answer without the strategy logic.
You may add some debugging instructions in your strategy to get some clues. Simple Print() should be enough (high was X, indicator Z at bar Y say this, etc).

It's the identical strategy. Why would it be different? Does it get interpreted differently?

Reply With Quote
 
  #5 (permalink)
Elite Member
Tel Aviv Israel
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: CQG
Favorite Futures: Futures
 
Posts: 21 since Feb 2015
Thanks: 30 given, 12 received


kidvic View Post
So I've been testing a strategy on market replay. I downloaded 20 days from the ninjatrader server, and as well downloaded the historical data for those same 20 days, (same instrument, same contract, same date/times). Then when I backtetsted that same strategy on the historical version, I got DIFFERENT results!
I checked the graphs, to make sure they lined up, and they did.
Then I went to look at the trades they took, and noticed that on the historical data some of the trades weren't being taken.
Mind you, this is the same strategy, with the same time-frame, same expiration, same dates, same chart.
What is going on? Can anyone enlighten me?
Has anyone come across something similar?

If you haven't read the following you should:
https://ninjatrader.com/support/helpGuides/nt7/?discrepancies_real_time_vs_bac.htm

When running a backtest you only use the end of the bar for OnBarUpdate calculations. In replay/real time if you use "CalculateOnBarClose = false" then each of the OnBarUpdate calculations takes place in each tick.

The fills are different as well as stated in the link above.

Other reasons are all given in the link.

Hope this answers your question...

Reply With Quote
The following user says Thank You to ToMerK for this post:

Reply



futures io > > > > > Historical Data and Marketreplay: Strategy not taking all trades

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

FIO Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

May
 

Portfolio Diversification w/Brendon Delate @ Diversify Portfolio

Elite only

An overview of volumetric analytical tools w/Sergey Sokolov @ PTMC

Elite only

John Hoagland (TBA)

Elite only

FuturesTrader71 Extended Ask Me Anything (AMA)

Elite only

Pete @ Jigsaw Trading (TBA)

Elite only

John @ No BS Day Trading (TBA)

Elite only

An Afternoon with FIO member Softsoap (being rescheduled)

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
marketreplay.net data provider - reviews please? maxr Vendors and Product Reviews 4 June 2nd, 2016 10:40 PM
What is your profit taking strategy? lovetotrade The Elite Circle 26 January 7th, 2015 10:34 AM
Strategy not taking trades in live bur trades in Back test forexcasted NinjaTrader Programming 8 November 17th, 2014 01:17 PM
Simulated Trades with Historical Data in Market Replay Mode a2trader NinjaTrader 6 June 2nd, 2014 10:35 AM
Skip historical data in strategy matthaius EasyLanguage Programming 4 August 4th, 2013 04:04 PM


All times are GMT -4. The time now is 03:21 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-05-25 in 0.10 seconds with 19 queries on phoenix via your IP 54.198.118.102