About Fast Replay (500x)

[banteka]

Hello:
Does the 500x Fast Replay execute ALL the TICKS in a bar or, in order to be faster, it "jumps" over the ticks?. I hope this question be understandable.

Regards.

[NinjaTrader_Jason]

Hello banteka,

The Market Replay replays data tick by tick regardless of the replay speed.

[banteka]

So, in fact, If I compare a WalkForward result with its Market Replay period, they should approximately match, didn't they?

[NinjaTrader_Jason]

No, they will likely not match as the Strategy Analyzer does not replay tick by tick. It uses the OHLC values of price bars only. Please see the link below for more information.

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

[banteka]

No, they will likely not match as the Strategy Analyzer does not replay tick by tick. It uses the OHLC values of price bars only. Please see the link below for more information.
http://www.ninjatrader.com/support/h...ime_vs_bac.htm

Yes, I know it, but I have implemented MultiTime Frame in my strategy like this:

Add(Instrumento, PeriodType.Tick, 1, MarketDataType.Last);

And BarsInProgress...

This way, my WalkForward Optimization is working in a tick by tick basis, comparable then to the Market Replay. Or not?

[NinjaTrader_Bertrand]

banteka, the answer is it depends...as with the tick series added you would be having much better granularity for simulating executions for example, however it would not mean the primary bars studies would update intra-bar to simulate CalculateOnBarClose = false.

Also your historical fill processing would not be done via the simulation engine that is otherwise used in Market Replay or live simulation as well as you only have last data added in and not the full Level1 including bid / ask series.

So it would be a pretty good approximation and getting close but I would not expect an exact replica in results.

[banteka]

banteka, the answer is it depends...as with the tick series added you would be having much better granularity for simulating executions for example, however it would not mean the primary bars studies would update intra-bar to simulate CalculateOnBarClose = false.

Also your historical fill processing would not be done via the simulation engine that is otherwise used in Market Replay or live simulation as well as you only have last data added in and not the full Level1 including bid / ask series.

So it would be a pretty good approximation and getting close but I would not expect an exact replica in results.

I understand. I am not looking for an exact replication. But I need to know if my strategy is reliable. I understand all the proccesses involved in WFO and I can read and understand the information it generates, but my doubts and hesitations are in the data and algorithms that NT uses in order to produce the results.

The crucial question is this:

Can I get confidence in the results that the NT7 WFO produces if I implement MultiTimeFrame?. I mean, using these cautions (multitimeframe, a good data source), So, if WFO produces bad results, the strategy probably is bad and if it produces good results the strategy is probably good?

[NinjaTrader_Bertrand]

Correct, as long as you keep in mind you're still backtesting / optimizing here you would get a crucial step closer towards validating your approach. MTF will allow you to much better approximate fills and WFO helps understand if continuous optimization produces stable forward looking parameter sets. Of course this cannot replace live simulation / live testing.

[banteka]

Correct, as long as you keep in mind you're still backtesting / optimizing here you would get a crucial step closer towards validating your approach. MTF will allow you to much better approximate fills and WFO helps understand if continuous optimization produces stable forward looking parameter sets. Of course this cannot replace live simulation / live testing.

Understood. Again, thank you very much for your support. It is a pleasure to deal with you and your mates.

[NinjaTrader_Bertrand]

Thanks, you're welcome - we appreciate the kind words and wish you a nice weekend.