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Same Strategy - different results


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Same Strategy - different results

  #1 (permalink)
 elitetradernyc 
new york, ny
 
Experience: Intermediate
Platform: ninjatrader
Trading: stocks, options
Posts: 80 since Nov 2012
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Has anyone ever encountered an error like this?

I have two strategies, that yield 2 different results in backtest, however the two strategies are the same text - I checked them in a program that checks text files. The results are similar but it appears that one strategy is missing some trades and if I rerun it the # of trades for each is somewhat different.

How do I fix?

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  #3 (permalink)
 
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 Fat Tails 
Berlin, Europe
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elitetradernyc View Post
Has anyone ever encountered an error like this?

I have two strategies, that yield 2 different results in backtest, however the two strategies are the same text - I checked them in a program that checks text files. The results are similar but it appears that one strategy is missing some trades and if I rerun it the # of trades for each is somewhat different.

How do I fix?

@elitetradernyc: Computers are pretty dull. If you feed them with something, they will just process it the way you ask them to do. If there are differences they are either data related, or they are produced by a different code. There are a few other things that may have an impact, such as NinjaTrader and chart settings.

Now tell me, why you wish to use two identical strategies.

If you wish some help, you will have to post your strategies.

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  #4 (permalink)
 
ratfink's Avatar
 ratfink 
Birmingham UK
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elitetradernyc View Post
Has anyone ever encountered an error like this?

I have two strategies, that yield 2 different results in backtest, however the two strategies are the same text - I checked them in a program that checks text files. The results are similar but it appears that one strategy is missing some trades and if I rerun it the # of trades for each is somewhat different.

How do I fix?

Unless they are genuinely still buggy and in need of fixing and only you can find that out, then I wouldn't worry too much as the same stategy when live will also give different results on different vandors' datafeeds anyway, simply due to data and timing differences supplied.

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  #5 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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Exit NinjaTrader

Delete the Documents\NinjaTrader 7\db\cache directory.

Reload and repeat test.

Check error log tab. If using the 32-bit version of NT7, out of memory errors will produce random and incorrect results. Use the 64-bit version instead for backtests, assuming you have more than 4GB of memory (hopefully)

Mike

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  #6 (permalink)
 elitetradernyc 
new york, ny
 
Experience: Intermediate
Platform: ninjatrader
Trading: stocks, options
Posts: 80 since Nov 2012
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Hey, this is weird, the problems seems to have cleared up thanks to your advice. I noticed something before I deleted the cache - NT was giving me phantom trades, for example telling me I made 7 trades in EA but when you click on the detail level it only showed 1 - strange for sure!

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  #7 (permalink)
 
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 Big Mike 
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Remember to use the Thanks button.

Mike

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  #8 (permalink)
 grimReaper 
Los Angeles, CA
 
Posts: 50 since Nov 2011


Fat Tails View Post
@elitetradernyc: Computers are pretty dull. If you feed them with something, they will just process it the way you ask them to do. If there are differences they are either data related, or they are produced by a different code. There are a few other things that may have an impact, such as NinjaTrader and chart settings.

The reason isn't so much that computers are dull, as is the fact that it's treating the strategy as a black box. If you were to backtest or optimize by hand as a human, you'd do the same thing - you'd see where the strategy took and exited trades and record PNL, instead of concerning yourself with the implementation/code/logic.

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