Possible to backtest long periods in NT with market replay?
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 100,000 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 – 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 don’t 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.
Possible to backtest long periods in NT with market replay?
Hi all,
Is it possible to use market replay data for backtesting large periods, or do you have to play it live and have your strategy running on each market replay file?
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.
Let me preface by saying
1. I’ve read everything I could find on the differences between backtesting, market replay and live trading, so I’m aware of the major issues.
2. My strat uses ExecuteOnBarClose = true.
I've noticed that when I load a strat on a chart in in market replay, it applies that strat immediately to whatever history my chart loads and is available in MR. These results are reportable in Strategy Performance. I noticed also that the P&L from this “historical MR” was identical (day by day) to the same timeframe I had Backtested with the same strat (with a couple of exceptions).
But: when I ran the strat “live” in MR over a day from the same period, the results for that day were slightly off. I discovered that 6 out of 8 executions occurred 1 bar later (and 1 tick away) from the backtested and MR “pre-loaded” history.
So I’m trying to figure out a few things:
1. Are MR “live run” trades executed the same as the MR “pre-loaded” historical executions? I hope the answer is yes, but it looks like “no.”
2. Since my strat executes on bar close, will my Backtest results be as reliable as MR “live run” results?
3. If I forward test my ExecuteOnBarClose strat in live real time, then download the MR data for the day and run the strat in MR, should my results be the same? Seems like they should be close.
4. I was hoping that I could shortcut the MR process by simply downloading the replay data for the time period I need, then in MR “going to” the last day and getting Strategy Performance data for it. This would save much time over running 90 days in MR, even at 500x.
This post has been selected as an answer to the original posters question
The short answer is that historical is not expected to match replay and replay is not expected to match live simulation and live simulation is not expected to match live cash. There are many variables between each scenario that can impact the results not to mention the strategy itself and the types of orders used to enter and exit positions. I suspect you have already read the following but I post it just in case you have not.