High Frequency Strategy - Market Replay vs. Live Markets

[natadanquah]

Hi,

So I'm using a strategy that places hundreds of trades for about a 2-point profit at a time. It performs well in market replay/playback. For whatever reason, I assumed it was going to produce results accurate or very close to live market trading, but that doesn't seem to be the case. Feels like night and day.

The strategy analyzer won't provide the most accurate performance results, I know, but I thought market replay would. Has anyone experienced a discrepancy like this?

[NinjaTrader_ChelseaB]

Hello natadanquah,

For backtest to be similar to real-time, 1-tick intra-bar granularity is needed, and if the script is running with Calculate.OnPriceChange or .OnEachTick then TickReplay also needs to be enabled.

I recommend writing the values to a text file to compare and see what is different.

Below is a link to a support article that outlines the process.

https://support.ninjatrader.com/s/article/Developer-Guide-Comparing-Strategy-Results

As well as a link to an example.

https://support.ninjatrader.com/s/article/Real-time-Replay-Historical-Comparisons-Test

[natadanquah]

Thank you!