Optimal SL & TP & BE & TS

[aytacasan]

Hello,

I'm testing same strategy with same parameters same instrument same timeframe with two different ways. One is backtest via strategy analyzer and the other is via market replay. Both test date range same too. But results are pretty different. I think reason is both test method have own nature. In market replay strategy fill type is neutral element, default and liberal are generate same results. The other hand fill type very important for backtest. For me default is very pessimistic and liberal is very optimistic. For that reason i'm thinking that market replay more realistic and i'm using this test method for my strategy. I wonder;

1. Am I right about the above thoughts?
2. My strategy doing scalping. So daily average trade 25-30. I'm testing this strategy with 120 days market replay data, so when test is done i don't have a chance to deside for optimal take profit, stop loss, breakeven and trail stop values, i can't analyze 3000-3500 trades as soon as possible. And i see Ninjatrader have detailed test reports. How can i use this reports to deside what is my strategy optimal TP, SL, BE, TS values?
3. I saw there is an option to save test results, we can save or open test results on strategy analyzer window. Why there is not this option on control center's account performance tab?

Thanks,
Aytaç Aşan

[NinjaTrader_PatrickH]

Hello Aytaç Aşan,

Thank you for your post.

1. The Fill Type sets the algorithm for processing and filling orders on the historical data portion of the chart, this will have no effect on the trades taken in real-time (even if running the strategy in Market Replay). Market Replay Data is not Historical Data. You can find information on the settings for your strategies including the Fill Type at the following link: http://www.ninjatrader.com/support/h...t_strateg2.htm
2. You can use the Optimization in the Strategy Analyzer to test different settings for your strategy and see results of each in the Strategy Analyzer. For information on running an Optimization please visit the following link: http://www.ninjatrader.com/support/h...a_strategy.htm
3. In the Account Performance Tab there is no option to save results (let's say if you wanted to save Market Replay results) because this tab is generally used for real-time trading and is stored in your database when you run another replay or disconnect the Account Performance of the Market Replay is cleared. However, if you right click in the results you can select Grid and then you have several options to save the data from the tab you right clicked in. For information on data grids in NinjaTrader please visit the following link: http://www.ninjatrader.com/support/h...data_grids.htm

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

[aytacasan]

Hello Patrick,

Thanks for your response. I don't want to use strategy analayzer for find optimal values for my strategy. Because normally market replay and backtest results prety different, i trust market replay result more than backtest. Maybe reason for this difference is my strategy uses 2 min chart and doing scalping. Actually i want to learn is there any idea/formula that help me find beakeven value from first market replay test results at least roughly. Then i optimize it myself via market replay test.

[NinjaTrader_PatrickH]

Hello Aytaç Aşan,

Thank you for your response.

I am not aware of such a method. If the difference here for backtesting to Market Replay is the fact you can run CalculateOnBarClose = false on Market Replay you can look into adding a smaller bar series to your strategy for backtesting to simulate intra-bar fills.
You can find a reference sample of this at the following link: http://www.ninjatrader.com/support/f...ead.php?t=6652

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

[aytacasan]

Hello Patrick,

Thanks for your help & understanding. I'll examine sample code.