Backtest problems/error versus live/replay

[mart331]

Hello,
If my indicator is based on a 5 minute chart, and trade on a 30 seconds chart I see this:

Situation: NT7 RC1: I added a 5 minute chart (barsArray=1) and a 30 seconds chart (barsArray=2)
entry is triggered based on indicator (based on the 5 minute (barsArray=1))
entry is executed on the 30 second chart (barsArray=2)
EnterLong(2,1,"Lname");
EnterShort(2,1,"Sname");

Every entry LIVE and REPLAY is 5 minutes later than in backtest.
In live trading, it makes no difference what the main chartTimePeriode is, in backtest it makes a difference (it should not)!.
(I checked entry price and they are really different)

This explains the huge difference in results between backtest and live,
and makes backtesting useless until this is fixed.

In another thread I showed another problem related to this, I copy that message here too:
QUOTE
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.
END QUOTE

[NinjaTrader_Brett]

Hello,

Thanks for your note.

Please see this guide I believe this is what you are facing, this is how the backtest is specifically designed.

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

Let me know if I can be of further assistance.

[mart331]

Hello,

Thanks for your note.

Please see this guide I believe this is what you are facing, this is how the backtest is specifically designed.

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

Let me know if I can be of further assistance.

I know, but that doesnot explain,that i see ALL trades to execute 5 minutes later, so the indicator should always?? be 5 minutes wrong??
I use CalculateOnBarClose=true, so things are being done at the end of each bar.
So, at the end of the 5min bar the conditions are set. That should be about equal live/backtest.

So I only can make the conclusion that the algorithm(NT) is wrong,

Otherwise, please explain in detail what I oversee.
Thnx

[NinjaTrader_Brett]

Mart,

What occurs is this, based off what you mentioned.

entry is triggered based on indicator (based on the 5 minute (barsArray=1))
entry is executed on the 30 second chart (barsArray=2)


When your entry conditions can only be enabled or disabled every 5 minutes since your running a 5 minute bar as the secondary series. As soon as the secondary series bool turns to true(At the end of the bar always!) to execute a trade it would execute 30 seconds later on the 30 open of the next 30 second bar. Your secondary series will not be COBC=False, it will be COBC=True in backtesting always.

If you are saying the above is not working as I mention but instead and entry is 10 minutes delayed(Assuming an entry condition would become true at the beginning of the signal bar), I would need a reproducible scenario with either your strategy or the SampleMultiInstrument Strategy. Please send your strategy to support at ninjatrader dot com and reference this forum post and I will run the strategy on my side and see if this in fact occurs and if it does get it over to development if this is not expected.

Thank You.

[mart331]

I uploaded the script, with 2 images that show the entry times.
All are 5 min later (or more)

instrument FDAX 12-10


Maybe the problem is in the Kagi bars?

[NinjaTrader_Brett]

Hello,

I did a quick test on my side:

I replaced AddKagi with Add(Intrument.FullName, PeriodType.Minute, 5);

This brings the results back into expected results. Therefor its something going on with the Kagi during backtest. It is unclear at this time if this is expected or not expected.

I have contact development to verify.

[mart331]

Hello,

I did a quick test on my side:

I replaced AddKagi with Add(Intrument.FullName, PeriodType.Minute, 5);

This brings the results back into expected results. Therefor its something going on with the Kagi during backtest. It is unclear at this time if this is expected or not expected.

I have contact development to verify.

Thanks,
You make me very happy if you could tell me asap when the Kagi bars are working right at this moment, in backtest or in replay/live?

[NinjaTrader_Bertrand]

mart331, I'm seeing it here in realtime / replay only - we're looking into matters.

[mart331]

mart331, I'm seeing it here in realtime / replay only - we're looking into matters.

I think the problem also exist with Point en Figure........... maybe too with LineBreak?
Renko?

[NinjaTrader_Bertrand]

We'll review those barstypes, too for the issues you raised - thanks for your patience and support.

[mart331]

We'll review those barstypes, too for the issues you raised - thanks for your patience and support.

Hi Bertrand,
Can you tell me or this Kagi issue also exists in NT 6.5 (I have that not installed)?
Thanks.

[NinjaTrader_Bertrand]

Mart331, those charttypes are new to NT7 as such you would not find them in NT 6.5 unfortunately.

[mart331]

We'll review those barstypes, too for the issues you raised - thanks for your patience and support.

Hi Bertrand,
Has anything become more clear about the KagiBars?

[NinjaTrader_Bertrand]

Unfortunately we were not able to reproduce on our latest custom builds, please recheck your issue on the next NT7 update - thanks.