Automated RSI Crossover

[bkool]

I am studying an RSI crossover strategy in which the exit of each trade is the entry of the next one, and therefor it trades the market all day long.
The main issue I have is that the back-testing results on historical data is very different than the simulated real time.
I am using range bars, BOC = true, and trade granularity of 1 Tick.
I have read all the posts concerning this issue, but no solution.
Any idea how to correct this?

Tnx - bkool.

[NinjaTrader_Bertrand]

bkool, so you're executing those trades to 1 tick bid / ask series in your backtesting to compare to realtime simulation results on the same chart?

[bkool]

True.
Backtesting gives same results and number of trades when slippage is 0, 3 or even 7, meaning it works down to a single tick. However, compared to real-time the results are very different. May be this has to do with the setups of the simulator??

[NinjaTrader_Bertrand]

I would the suggest looking into the executions you get backtesting vs realtime from the simulator to determine the differences.

[bkool]

Thanks Bertrand.
I looked at the execution timing, and these are pretty similar. The discrepancies found are related to orders getting filled partially, or in full. Partial fill may confuse the entry and exit execution since these are connected as mentioned below: the exit of each trade is the entry of the next one.
Could you suggest a more stable entry and exit orders, or just to separate between exits and entries; or may be follow OnExecution() for logic decisions?
bkool.

[NinjaTrader_Bertrand]

bkool, which NinjaScript order methods are you using here?

[bkool]

Hi Bertrand,

I use EnterLong(int barsInProgressIndex, int quantity, string signalName) and EnterShort(int barsInProgressIndex, int quantity, string signalName), with no exit orders. Works perfectly in Backtesting.

Bkool.

[NinjaTrader_Bertrand]

Thanks, I'm surprising you're seeing this many partials on market orders in your testing - does it happen on all instruments? What broker / connection do you run this on?

Would you mind forwarding me the script and settings used via Help >> Mail to Support so I could give it a run here on our end for you?