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Market Replay to backtest strategy
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Market Replay to backtest strategy

  #1 (permalink)
Trading Apprentice
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Futures Experience: Intermediate
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Posts: 18 since Feb 2010
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Market Replay to backtest strategy

Is Market Replay sufficient for backtesting a strategy with tick data?

I programmed one but it needs tick data and I want to backtest it for some month. The Market Replay data from NT is nice so I wonder what your experience is with that?
Sadly the strategy optimizer does not work with tick data. I could really use that...

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  #3 (permalink)
Membership Revoked
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symphys View Post
Is Market Replay sufficient for backtesting a strategy with tick data?

I programmed one but it needs tick data and I want to backtest it for some month. The Market Replay data from NT is nice so I wonder what your experience is with that?
Sadly the strategy optimizer does not work with tick data. I could really use that...

Market replay is better than backtesting without it, but still not equivalent to LIVE CASH (not SIM) trading.

My understanding is NT7 with Kinetick does optimize with tick data, but I wouldn't bet the ranch on that.

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  #4 (permalink)
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Ditto, I found that replay trading most resembles real trading. Backtesting, not so much at all. I tried to build a couple of autostrats before when I was day trading currencies and the biggest problem I had were partial fills. Any partial fill would totally screw up the whole system because it didn't know to adjust the closing orders to the intial fill. I want to say that it had something to do with limit vs market orders, but I forget the details at this point. Maybe someone else can speak to this. Apart from that, I would suggest simming for a day and then run the replay for the same day and compare the results. Same thing after you go live, I would compare the actual trades to the replay trades for a while until you know it's working like you expect. Good luck.

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  #5 (permalink)
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symphys View Post
...Sadly the strategy optimizer does not work with tick data. I could really use that...

I've had trouble trying to use tick data in optimization primarily due to memory exhaustion. I've found that using 1 tick range bars is much less problematic, and I think should give reasonably similar results.

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  #6 (permalink)
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vegasfoster View Post
Ditto, I found that replay trading most resembles real trading. Backtesting, not so much at all. I tried to build a couple of autostrats before when I was day trading currencies and the biggest problem I had were partial fills. Any partial fill would totally screw up the whole system because it didn't know to adjust the closing orders to the intial fill. I want to say that it had something to do with limit vs market orders, but I forget the details at this point. Maybe someone else can speak to this. Apart from that, I would suggest simming for a day and then run the replay for the same day and compare the results. Same thing after you go live, I would compare the actual trades to the replay trades for a while until you know it's working like you expect. Good luck.

Market versus limit orders? I thought with limit orders you get partial fills and no slippage but with market orders you get full fills but you are open to wide slippage? Am I wrong?

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