timezone issue?

[rogueTrader]

I have a perfectly working strategy that will enter trades between 21:50 and 22:05 based on my timezone (GMT+8) relative to EST market hours (9:50am - 10:05am). This is achieved using the integer values 215000 and 220500 in my codes.

However, when I move this strategy to my server in Arizona, the backtest results are completely different. I've changed my customed session to reflect (UTC-5) for Arizona time and changed the time in my strategy to 65000 and 70500 to align to EST market hours. (with daylight saving)

Please advice what's wrong...

[NinjaTrader_Jason]

Hello rogueTrader,

Arizone in is US Mountain time zone, which differs 2 hours from US Eastern time zone. I suggest to use 75000 and 80500 in your strategy and check if results are similar.

[rogueTrader]

Hi Jason,

I've changed the time to Mountain Time and the time in my strategy to 75000 and 80500. But the results still differ. Please see the screenshots i've attached.

[NinjaTrader_Jason]

Could it be the backtests use different historical data? Do you use the same connectivity provider in both tests? I see that one backtest ends at 10/18/2010 and the other ends at 10/17/2010.

Different session templates are selected as well. I am not sure if they use the exact same times.

Please use the exact same data and backtest settings and data should resemble.

[rogueTrader]

Yes, both uses the data from Kinetick.

I'll probably test with a run of the mill strategy and see if the results differs again to try and isolate the problem to either the strategy or NT7.

Also, I'm running NT7 on a Win2008 while Win7 on the other. Any issues?

[NinjaTrader_Jason]

There are no issues with the operating systems you mention.

I suggest to use the same begin and end times for both tests and use the same session template. Subsequently check if results resemble.

[rogueTrader]

Jason, I managed to get the same backtest results after I changed the session time, the timing in the strategy and the server time to exactly the same settings as my other computer.

I thought NT7 should be working fine and it's probably my strategy. Therefore, i created a very simple strategy for backtesting across the 2 servers with different session and surprisingly, the results differs again.

I have reloaded the historical data and really have no idea what might be wrong. Please see the results of the comparison that I have attached.

[NinjaTrader_Jason]

The screenshot displays a different session template is selected. Can you please select the same session template and check if results resemble.

[rogueTrader]

I can't use the same session as the 2 servers are in different timezones...

[rogueTrader]

In case you want to know, this is the test code i'm using to test on both servers in UTC-7 and GMT+8 timezone
publicclass test : Strategy
{
#region Variables
// Wizard generated variables
// User defined variables (add any user defined variables below)
#endregion
///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
protectedoverridevoid Initialize()
{
CalculateOnBarClose = true;
}
///<summary>
/// Called on each bar update event (incoming tick)
///</summary>
protectedoverridevoid OnBarUpdate()
{
// Condition set 1
if (CrossAbove(EMA(2), EMA(5), 1))
{
EnterLong(DefaultQuantity, "");
}
}
#region Properties
#endregion
}
}

[NinjaTrader_Jason]

I suggest to set the time zone the same on both servers as you did before. Subsequently select the same session template and check if results resemble.

[rogueTrader]

Thanks Jason, I guess that is the only workaround now. But you guys might want to look into this and determine if this is some kind of bug.

[NinjaTrader_Jason]

Likely, you used different historical data on each server that caused the different results. If you perform a backtest on the exact same data and you use the exact same settings, the results will resemble.