Backtest vs Market Replay Results

[Ironplates]

I have a strategy that backtested for the time period of 2/1/12 to 2/29/12 and reported approximately $12,300 in net profit using the 6E 3-12 instrument.

when I enable the same strategy using market replay for the same time period and same variables, the result is approx $3437.

What are some reasons I may consider for the $9000 delta?

[NinjaTrader_Jason]

Hello Ironplates,

Please see the link below that explains why there can be difference in results when backtesting in the Strategy Analyzer and running the strategy on the Market Replay.

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

When you backtest, order fills are determined by the OHLC values of a bar. The backtest will only look at the OHLC values and not intrabar. When you run the strategy on the Market Replay with 'Calculate on bar close' set to False, the strategy will submit orders intrabar - the strategy conditions are calculated on each incoming tick.

I suggest to analyze the trades between the two tests to check where the discrepancies are caused.