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Historical Data and Strategies Accuracy
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Historical Data and Strategies Accuracy

  #1 (permalink)
Ocala, FL
Trading Experience: Intermediate
Platform: NT
Favorite Futures: Crude, Euro, ES
nillz123's Avatar
Posts: 44 since Aug 2010
Thanks: 25 given, 31 received

Historical Data and Strategies Accuracy


I wanted to know you guys' experience with the Historical Data. When you add a strategy to a chart (one that is using parameters and not an ATM Strategy), is the historical data that is plotted on the charts normally accurate or close to what a live trade result would have produced? Do you think it is most accurate for testing, for example, trades that occured during the week vs. backtesting during that week?

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  #2 (permalink)
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  #3 (permalink)
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In NinjaTrader, any data show on a chart at the time the chart is created (ie: historical data) will not always be accurate compared with live data. It depends on your indicator and strategy. One specific example is any indicator or strategy that uses CalculateOnBarClose = false will not function or work correctly on a historical chart, because NT is not able to use COBC false on historical data.

Other examples include OnMarket() driven events, OnExecution() events, etc, they all will rely on live moving data and not work on a historical chart.


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  #4 (permalink)
Trading Experience: Master
Platform: Marketdelta and Ninja
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One thing i've been noticing is that when using bid/ask gom CD live on IQ feed, its sometimes different when i shutdown and restart ninja again( very small, but noticable)..
I always review my trades at the end of the week via the screen recording program i use, and when i compare charts after startup to the live screen recording, i notice differences, in terms of bid ask delta numbers( verified on gom ladder as well).
Still can't explain why it happens, and frankly i don't think i want to spend the time to figure it out anymore because i think i've spent enough time trying to work out the kinks on ninja. Just a heads up to fellow traders who use ninja exclusively....

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  #5 (permalink)
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JUst as said


Everything that Mike and Michael have said ... ymmv with instrument and bar type and the time of day, but the message/experiences are clear, backtesting in NT on historical data should only really be seen as a method of determining functionality of a script or setup, and getting a ballpark on parameters of the variables, not on profitability scenarios per se.

SIM trade on real time can get you very close to a solution to questions of useability. For me, trying a script on different instruments at the same day/time gives a feeling on the robustness versus curvefitting ... again ymmv.


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