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Difference between normal Chart and Charts from Backtest


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Difference between normal Chart and Charts from Backtest

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  #1 (permalink)
Myslenice Poland
 
 
Posts: 25 since Aug 2019
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Good evening:-)
I have tested an new approach by using Backtest and later Market Replay. Because I was wondering about the difference in results I have compared my Replay-Chart with the Chart which is shown in the Backtestresults. Here it is:

This picture is from the Backtestchart (LineBreak 150 Ticks)




This is the same move, but on the ReplayChart (LineBreak 150 Ticks)




As you can see, there is a big difference in amount of bars on identical settings by using the same datafeed. How is that possible...?
After the last update in NT8 I also have problems with optimization. The optimizer freezes if I want to use him with LineBreaks. I have tried every Datafeed I have, itís always the same. Any idea what that could be?



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When using tick charts exactly where you start makes more difference since you don't have a time reference to synchronize with. Maybe the live view and the replay are not synchronized and could be as far as 1/2 bar off. Also are you sure you are using the same tick setting for both? I have tried to stack two charts horizontally on the same platform (TOS) and could not get them to exactly match. Even when it was an INDEX and a derivative option. Your pictures are indicating trades at two different price levels so they have to be at somewhat different times.

2807.00 and 2808.50

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  #3 (permalink)
Myslenice Poland
 
 
Posts: 25 since Aug 2019
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Please donít look at the trade executions. The pictures are showing the same time window. The different execution levels are a result of difference between charts which causes different (and wrong) entry signals to my strategy script.

That there could be a problem with time synchronization is possible. But would that cause such a big reduction in bars...? Look at this:



A 150-Tick TLB on Market Replay with start at 04.03.2019. As you can see, the ďdays agoĒ are looking correctly for this type of chart, the range of every 150-tick-bar is around 0,5 - 1,0 points in ES. But look at the bars on the right side, where is the Market Replay Starting Point. From that moment I got 20 bars with an unnormal range for the whole day(!). 20 bars x 150 ticks = 3000 ticks in ES from 8.00 to 22.00, thatís unbelievable :-D


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  #4 (permalink)
Myslenice Poland
 
 
Posts: 25 since Aug 2019
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kr36303 View Post
When using tick charts exactly where you start makes more difference since you don't have a time reference to synchronize with. Maybe the live view and the replay are not synchronized and could be as far as 1/2 bar off. Also are you sure you are using the same tick setting for both? I have tried to stack two charts horizontally on the same platform (TOS) and could not get them to exactly match. Even when it was an INDEX and a derivative option. Your pictures are indicating trades at two different price levels so they have to be at somewhat different times.



2807.00 and 2808.50



.


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  #5 (permalink)
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UweH View Post

As you can see, there is a big difference in amount of bars on identical settings by using the same datafeed. How is that possible...?
After the last update in NT8 I also have problems with optimization. The optimizer freezes if I want to use him with LineBreaks. I have tried every Datafeed I have, itís always the same. Any idea what that could be?



Hi UweH, chances are you will find the answer here

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance

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Myslenice Poland
 
 
Posts: 25 since Aug 2019
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Thank you for the link, maybe there is an answer.


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