Live vs Backtestv

[Zhorny]

Hi there.
I'm running a live strategy and I've had roughly 6 fills today.
I've gone in and done a historical backtest for today already and it shows me I should have only been filled ONCE.

Why is there a difference?
Surely the backtest (albeit not trading live) would be the ultimate view as it can assimilate all data.

[NinjaTrader_JC]

Hello Zhorny,

Thanks for your post.

Do you have “CalculateOnBarClose = false” in your strategy?

Note that when running a backtest, CalculateOnBarClose(COBC) is going to be always set to true. Which means that the strategy will calculated at the close of each bar. If your strategy is set to COBC=false, then it will act very differently since it will be calculated on each tick. See the following link for more info on COBC.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?calculateonbarclose.htm

It is expected that “Backtests” will produce different results than “Live Trading”. You may read more about the “Discrepancies: Real-Time vs. Backtest” at the following link.

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

Please let me know if I can be of further assistance.

[Zhorny]

Thanks for your answer.
They were both on "Calculate on bar close = True".
It just seems weird that the live session picked up trades that the backtest didn't seeming as though they are the exact same strategies UNLESS for whatever reason I am using an indicator that doesn't update straight away - hence a problem for live but fine for backtest. Could this be a problem?

[NinjaTrader_JC]

Hello Zhorny,

Thanks for your post.

The logic will be the same when using an indicator in both “Backtesting” and “Live Trading” but getting filled will be different. There are two different fill types when running a “Backtest” Default and Liberal, with Default being a more conservative algorithm. You can select different “Fill Types” to try to get different results. See the link below for more information on “Historical Fill Processing”

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?backtest_a_strategy.htm

For more information about "Real-Time vs Backtest results" you may read our online help guide at the following link.

http://www.ninjatrader.com/support/h...ime_vs_bac.htm

Please let me know if I can be of further assistance.