[NinjaTrader] Market Replay to backtest strategy - Platforms and Indicators | futures io social day trading
futures io futures trading


Market Replay to backtest strategy
Updated: Views / Replies:2,936 / 5
Created: by symphys Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Market Replay to backtest strategy

  #1 (permalink)
Trading Apprentice
Earth
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 18 since Feb 2010
Thanks: 3 given, 6 received

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...

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received



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.

Reply With Quote
 
  #4 (permalink)
Elite Member
las vegas
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: Velocity/IB
Favorite Futures: 6E
 
Posts: 1,147 since Feb 2010
Thanks: 304 given, 836 received

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.

Reply With Quote
 
  #5 (permalink)
Elite Member
Santa Maria
 
Futures Experience: Advanced
Platform: NinjaTrader, ThinkOrSwim
Broker/Data: Mirus/Zen-Fire
Favorite Futures: ES
 
Posts: 295 since May 2010
Thanks: 101 given, 320 received


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.

Reply With Quote
 
  #6 (permalink)
Elite Member
Ocala, FL
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: Crude, Euro, ES
 
nillz123's Avatar
 
Posts: 44 since Aug 2010
Thanks: 25 given, 30 received


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?

Reply With Quote

Reply



futures io > > > [NinjaTrader]    Market Replay to backtest strategy

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
What is the benefit of L2 data when running a strategy on Market Replay? benharrell NinjaTrader 9 April 3rd, 2015 05:29 PM
Possible to backtest long periods in NT with market replay? Twiddle Traders Hideout 4 September 13th, 2012 06:28 PM
How to backtest the strategy on specific trading time in ninjatrader? owen NinjaTrader Programming 2 March 21st, 2010 02:39 PM
Market Replay iwannatoscript NinjaTrader 1 February 15th, 2010 08:25 PM
Market Replay keepdchange NinjaTrader 3 November 17th, 2009 05:16 PM


All times are GMT -4. The time now is 12:00 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.10 seconds with 19 queries on phoenix via your IP 54.90.92.204