Market Replay Speed and strategy testing

[maninjapan]

I am testing a strategy in Market replay on Data that I have recorded, I have run the same strategy, same parameters on the same data and am seeing some descrepencies between the results. I have been running the data at 6 x speed and wondering if speeding up the data can reduce the accuracy (skipped ticks, strategy calculations not keeping up with the data etc)? any info on this or links to older threads would be much appreciated

Thanks

[NinjaTrader_Matthew]

Speed should not affect the accuracy. We should expect the same events to trigger regardless of the speed.

Can you elaborate on the discrepancies you're seeing?

[sledge]

There are threads here about the start not being the same.. I think the title of that post is something like 'market replay depends on days to load'.

I also have some sort of odd bug where the strategy doesn't start until 10:30 on the first day, or something odd.

Can you explain more about the timeframe and date ranges used?

But 1x to 500x should be the same, assuming each restart is the same.

I am testing a strategy in Market replay on Data that I have recorded, I have run the same strategy, same parameters on the same data and am seeing some descrepencies between the results. I have been running the data at 6 x speed and wondering if speeding up the data can reduce the accuracy (skipped ticks, strategy calculations not keeping up with the data etc)? any info on this or links to older threads would be much appreciated

Thanks

[maninjapan]

There may have been an error on my part with the strategy setup and parameters but I have received different fills for the same period of data after running it 2 times. I will have to go back and double check to see the discrepancy is not due to my error but just wanted to check regarding the data speed first.

I have another question regarding the replay function, when I setup a strategy and run on replay data then scroll through data using the slider my strategies disappear. I tried sliding back to the time I set them up to no avail. Is this something we need to be careful of when using the replay function or should I be able to slide through my recorded data with a strategy open?

Thanks

[NinjaTrader_Matthew]

Changing the replay date/time would disable any strategy. You can only advance the data forward using the replay controller and cannot rewind without having to renable the strategy.

[maninjapan]

Changing the replay date/time would disable any strategy. You can only advance the data forward using the replay controller and cannot rewind without having to renable the strategy.

Mathew thank you for the reply. When you refer to enable/ disable the strategy are you referring to checking / unchecking the box or creating a new strategy from scratch? I am finding that moving the slider either way ( backward or forwards) results in the strategy disappearing completely and having to set up a new strategy from scratch. I am able to fast forward through the data and have the strategy remain, but not use the slider bar.

I also find that moving the slider forward affects the reports data as well. All trades made before the slider is moved forward are not included in the report.

Is this how it should be working?

Thanks

[maninjapan]

Mathew and sledge, Thank you both for the replies. I have figured out what is happening. The strategy runs on tick data and measures in seconds. I thought I was starting it at the same time each run, but after comparing the entries closely it all comes down to the timing of starting the strategy. even a small difference in the start times can affect the borderline entries.

Thank you again! Lesson learned!!

[maninjapan]

Mathew thank you for the reply. When you refer to enable/ disable the strategy are you referring to checking / unchecking the box or creating a new strategy from scratch? I am finding that moving the slider either way ( backward or forwards) results in the strategy disappearing completely and having to set up a new strategy from scratch. I am able to fast forward through the data and have the strategy remain, but not use the slider bar.

I also find that moving the slider forward affects the reports data as well. All trades made before the slider is moved forward are not included in the report.

Is this how it should be working?

Thanks

Still stuck on this point, could someone help out here?

[NinjaTrader_Matthew]

Still stuck on this point, could someone help out here?

Yes, this is expected behavior. Moving the slider manually will reset any running strategy and the performance reports.