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Market Replay to backtest strategy


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Market Replay to backtest strategy

  #1 (permalink)
symphys
Earth
 
Posts: 18 since Feb 2010
Thanks Given: 3
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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)
 Zoethecus 
United States of America
 
Experience: Advanced
Platform: NT
Posts: 1,145 since Aug 2009



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)
 vegasfoster 
las vegas
 
Experience: Intermediate
Platform: Sierra Chart
Broker: Velocity/IB
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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)
 fluxsmith 
Santa Maria
 
Experience: Advanced
Platform: NinjaTrader, ThinkOrSwim
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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)
 
nillz123's Avatar
 nillz123 
Ocala, FL
 
Experience: Intermediate
Platform: NT
Trading: Crude, Euro, ES
Posts: 44 since Aug 2010
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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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Last Updated on September 11, 2010


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