Now that I've been trading live with Ninja and using Market Analyzer for several months I've noticed that the live executions aren't even in the neighborhood of the Market Analyzer tests. Both the timing and the actual trades are very different. I mean the difference doesn't look like a little slippage - it looks like 2 different models were used.
I understand that Market Analyzer uses Close bar data, but that doesn't explain the difference I'm seeing. For example, in one strategy I use 4 minute bars and I'm seeing executions which are >= 12 minutes after the time which the Strategy Analyzer has the trade being executed. In one case the actual exit occurred 12 hours b/f the Strategy Analyzer exit. In other instances the trade occurred live but not in the Strategy Analyzer and vice versa.
Why are these results so dramatically different? Is there anyway to make the backtests appear more realistic? At least so that the difference in execution is only a minute or two apart. What are other NT users experiencing? I've read elsewhere that Strategy Analyzer is considered very unrealistic. I had taken that with a grain of salt but now I'm having doubts myself.
FWIW, I'm certain that the way the data is being loaded for real-time strategy automation isn't an issue as I check the output log against the indicator values on the chart to make sure the strategy is loaded properly b/f running live.
-Lou
I understand that Market Analyzer uses Close bar data, but that doesn't explain the difference I'm seeing. For example, in one strategy I use 4 minute bars and I'm seeing executions which are >= 12 minutes after the time which the Strategy Analyzer has the trade being executed. In one case the actual exit occurred 12 hours b/f the Strategy Analyzer exit. In other instances the trade occurred live but not in the Strategy Analyzer and vice versa.
Why are these results so dramatically different? Is there anyway to make the backtests appear more realistic? At least so that the difference in execution is only a minute or two apart. What are other NT users experiencing? I've read elsewhere that Strategy Analyzer is considered very unrealistic. I had taken that with a grain of salt but now I'm having doubts myself.
FWIW, I'm certain that the way the data is being loaded for real-time strategy automation isn't an issue as I check the output log against the indicator values on the chart to make sure the strategy is loaded properly b/f running live.
-Lou
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