Backtesting and live (paper) trades are different

[NinjaTrader_RyanM1]

mart331,

The best example we have for this is this reference sample:
Backtesting NinjaScript Strategies with an intrabar granularity


There will always be differences between a backtest and running a strategy live.

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

[mart331]

Unfortunately, I work this way. But I can prove it to you something is wrong.

As you can see in the image,

I add 2 bartypes;
I enter long/short on barsarray == 1 (based on values of barsarray ==2)
So, the tradelogic does NOT have anything to do with the main chart.

In optimize, I ONLY optimize on dataserie, in this case from 1 to 5 minutes,
and you see the differences.... (period = 6 weeks)
from 700 to 10.000 profit

In my view all must be the same.
None of these results equal by far the replay results.

[RedEye]

Hello mart331,

When performing a backtest the indicator values are only known at the close of a bar. While running a strategy in real-time, indicator values are calculated intra bar (Calculate on bar close = False).

Could this be the cause of the discrepancy?

If I'm using tick data and the price is based on the Bid, is there anyway I can have the indicator values calculated interbar?

[mart331]

by the way, the results show profit in $, that should be euro's.

[NinjaTrader_Jason]

@ RedEye, unfortunately there are no intra bar calculations when performing backtests in the Strategy Analyzer. Only the OHLC values are used.

@ mart331, unfortunately the Strategy Analyzer can only display currency values in US dollar. For example, the FDAX is set to Euro in the Instrument Manager. However when performing a backtest, the profit or loss in Euro will be reflected in US dollar. Please note that this is an absolute conversion - 1 Euro = 1 US dollar.

[mart331]

@ RedEye, unfortunately there are no intra bar calculations when performing backtests in the Strategy Analyzer. Only the OHLC values are used.

@ mart331, unfortunately the Strategy Analyzer can only display currency values in US dollar. For example, the FDAX is set to Euro in the Instrument Manager. However when performing a backtest, the profit or loss in Euro will be reflected in US dollar. Please note that this is an absolute conversion - 1 Euro = 1 US dollar.

Please also reply to my earlier post. Thanks

[dave1992]

@ mart331, unfortunately the Strategy Analyzer can only display currency values in US dollar. For example, the FDAX is set to Euro in the Instrument Manager. However when performing a backtest, the profit or loss in Euro will be reflected in US dollar. Please note that this is an absolute conversion - 1 Euro = 1 US dollar.

There's not even a conversion is there? Backtest doesn't know anything about currencies and just displays numbers. In fact, most of Ninja doesn't do currencies properly does it? If I have a live trade in FGBL and a live trade in YM a 20 euro profit will be displayed as 20 dollars and would be added to the dollar trade to give a completely incorrect total in dollars.

In fact, proper multi currency support rather than a slightly implemented approach has been a suggestion for well over two years. See this thread

http://www.ninjatrader.com/support/forum/showthread.php?t=12198

[NinjaTrader_Jason]

@ mart331, could you perhaps start a new thread as per these inquiries. Unfortunately I am not a programmer and very knowledgable with NinjaScript - I cannot comment on this. It would more clear for the thread itself as well, since multiple users post in here.

@ dave1992, yes unfortunately there is no conversion. I will forward your feedback to my superiors.