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Huge Difference Between Backtesting Tick Replay and High Order Fill Resolution
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Huge Difference Between Backtesting Tick Replay and High Order Fill Resolution
I'm attempting to backtest a strategy using Volumetric Range 15 while taking profit at 18 ticks and having a stop loss at 12 ticks. The order fill resolution is set to high, tick with a value of 1. I also attempted the same strategy with multiple data series using Volumetric Range 15 and entering/exiting on a tick series. The data I downloaded included the tick, bid/ask and last. I assumed I was going to get something similar and I'm not understanding why there is such a huge difference between the stats I received from testing, especially the high resolution one. Which backtesting strategy should I look to use assuming my current take profit and stop?
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Hello tonystarks,
TickReplay is only used for allowing Calculate to update for OnEachTick or OnPriceChange in historical and is not used for order fill accuracy. High Order Fill Resolution is used for order fill accuracy but does not allow Calculate to update intra-bar.
It is very much expected the results from using these would be different.
TickReplay and Order Fill Resolution cannot be used at the same time. Instead, it is necessary to implement 1-tick intra-bar granularity for order fill accuracy while TickReplay is enabled.
Below is a forum post that discusses.
To understand what is causing differences, write the data and order information to file.
Citizens of the NinjaTrader Community, A common question we hear from clients is 'why are results from backtest different from real-time or from market replay?'. Live orders are filled on an exchange with a trading partner on an agreed upon price based on market dynamics. Backtest orders are not using these market dynamics.Chelsea B.NinjaTrader Customer Service
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