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How accurate are the results NT gives when you run a backtest compared to real time for the same day?Just started playing with it and I know some of you guys can answer this question for me. Thx In Advance
Can you help answer these questions from other members on NexusFi?
...IF you understand the limitations. In my experience, the backtest are directionnaly accurate but there are many reasons why your live results will be different.
As a first step, you can have a look at NinjaTrader help guide under: "Discrepancies: Real-Time vs Backtest" NinjaTrader Version 7
The two most obvious reasons are:
- Slippage (Typically between 1-3 ticks on average when I analyzed about 50 trades on various timeframes but could vary a lot depending on instruments traded)
- Commissions (if not taken into account in your backtests)
Having said that, there are many other elements that can influence your backtest results (I learned with trials and errors...).
These elements can either be related to bugs in NT or just logical flaws in the way backtests calculate results. For example:
- Market orders results in backtest are a bit amplified since the system takes the open price of the next bar while in real life the Ask of that bar might have been higher. This is why the limit order backtest results are more accurate than the market orders.
- Cumulative Profit %: NT assumes that we invest the same amount in every trade to calculate the Profit % which is not accurate and in a case of scaling-out obviously double count negative trades.
- System Exit on close sometimes do funny things for specials days where markets close at mid-day
- Etc
They can also be related with your data, even if you have a good data feed. (For example, if you backtest on an instrument that doesn't have high volume of trades).
ES would be the instrument, slippage shouldn't be issue, Rithmic feed,even with commissions I was surprised the results....Thx for your time your response is very much appreciated
My 2 cents, don't get to excited too quickly if you get a backest that generates zillion % return or you could be disappointed. It happens to many of us before and unfortunately, it's often related to a backtest issue (e.g.: can't backtest on Renko bars) or a bugs in NT (e.g.: Hard code a smaller timeframe in an indicator)...
From my experience you definitely want to do the follow:
Execute your trades on a 1 Minute time frame (with minute data) or 1 Range time frame (with tick data).
Verify your session template is accurate. I'm no longer going to rely on the default templates. IMO the Default 24/7 or Default 24/5 templates are broken for me. I had to copy and edit the 24/5 template so that it refects Mon-Fri from 12:00AM to 11:59PM.
Make sure you delete any data before re-importing that data.
Otherwise as others have mentioned you will get excited over profitable results that are not accurate. And no platform is 100% accurate, you're only looking for reasonably accurate results.
Limit orders are actually not accurate if you don't use BarsInProgress with a lower timeframe. It'll assume you hit your profit target before hitting your stop if within the same bar.
Just because you haven't had success with strategy analyzer doesn't mean it's garbage. I have very good results using strategy analyzer compared to live results. There are a number of reasons why you may have problems but the biggest one I've found is not knowing how a bar is built and if that bar has any virtual or fake prices as OHLC.
