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Backtesting vs live results in Ninjatrader
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Backtesting vs live results in Ninjatrader

  #1 (permalink)
Trading Apprentice
Noordwijk
 
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Backtesting vs live results in Ninjatrader

I am currently testing some indicators and ninjascripts, I am well aware of how backtesting should be done (enough data, not curve fitting, etc.) but if I currently run an indicator on Demo Continuum and run a backtest with the same settings on the same period (day - hours) then there's a huge difference in results.

How could I get results in my backtests that are closer to the actuals? do I need to include a certain % on commission or how do you guys do it?

I am testing on futures markets like Crude Oil, FDAX and Gold futures.

Tips and tricks are welcome!

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  #2 (permalink)
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Omer עומר / Israel י
 
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gise View Post
I am currently testing some indicators and ninjascripts, I am well aware of how backtesting should be done (enough data, not curve fitting, etc.) but if I currently run an indicator on Demo Continuum and run a backtest with the same settings on the same period (day - hours) then there's a huge difference in results.

How could I get results in my backtests that are closer to the actuals? do I need to include a certain % on commission or how do you guys do it?

I am testing on futures markets like Crude Oil, FDAX and Gold futures.

Tips and tricks are welcome!

Have you identified the origin of the difference ?

Is it due to difference in the data ?
What bar types are you using ?
Most accurate back-testing is likely to be obtained by replaying tick data

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  #3 (permalink)
Trading Apprentice
london UK
 
Futures Experience: Beginner
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Favorite Futures: FDAX
 
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I have experienced data inconsistencies on the data itself (bars ) between live and historical/reloaded : If I come back to say yesterday , the data is different ( the bars are different so of course any of the indicator I am using show different results...)
It does not happen all the time , but quite often ( at least once a week per chart) , and it seems to happen more on tick charts than Range chart. For the same morning last Wednesday , I even noticed for the same instrument , that a 610 tick chart was different that the live data the following day , but the 8 range chart was the same the live data ( I take screen shots everyday of all the chart I use )

Having contacted Ninja Brokerage several times now , they say that is due to my internet connection and there is a link on their website/help to say that differences between live data and historical is to be expected ( my internet is consistently at 30+ meg, I have been monitoring to see if there is any link between speed of internet and occurrence of the differences ) . I am not happy with this answer as it make back testing impossible ( some days the chart are so different , that I would take completely different trade looking at yesterday's data than live ....)

Other people had experienced these inconsistencies with the data and advised to move to Tradestation as they no longer have the problem.

looking forward to hear if any more people have noticed it and what they have done about it.

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  #4 (permalink)
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Omer עומר / Israel י
 
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audreybrun View Post
It does not happen all the time , but quite often ( at least once a week per chart) , and it seems to happen more on tick charts than Range chart. For the same morning last Wednesday , I even noticed for the same instrument , that a 610 tick chart was different that the live data the following day , but the 8 range chart was the same the live data ( I take screen shots everyday of all the chart I use )

I think this is normal behaviour..

If you make a tick chart on your system and i make a tick chart on my system, the result may be slightly different
if you make two times the a tick chart on your system the result may also be different.

The reason for this is due to the fact, when the 'tick' charts starts

As tick chart will create a bar, every time X transactions have passed the tape.
as both charts (on different or on same computer) do not necessary start at the same point, the end result will be slightly different...

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