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#1 (permalink)
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Milan (I)
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
Posts: 1,653 since Oct 2010
Thanks: 1,215 given,
2,082
received
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I am working with a 6 range chart. I would like to outline how the results of market replays and consequently backtesting can be quite missleading. This has nothing to do with stamping or unstamping of tick data or the quality of my data feed, it has more to do about how data is recorded and NT plots its charts.
This is the Live shot as you can see I have been stopped at 7083,5 at the low of the day but the bar is not plotted correctly
The low of the day has been recorded by my datafeed
This is my strategy analyzer output (replay=same), my 600 Euro loss has been transformed with a 150 Euro win.
Conclusions
Don't trust backtesting and market replay, this kind of bug might happen quite often, when you backtest a strategy make sure it is quite consistent to fill such kind of gap. If you are running live always compare results with your market replay.
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