Live trading profit amount different from backtest

[matrixxx]

Hi Support,

I had set the lot size in account setting to 1000 and execute the strategy to open and close the order with profit $40. but when i back test the strategy with same quantity, the result is profit $500.

Why the result is not same?

[NinjaTrader_EricB]

Hello ,

Thank you for your post.

Glad to assist. Strategy setting changes like running on Bar Close or By Tick can help improving live vs. backtest results. See the below section of our help guide for more on this matter.

https://ninjatrader.com/support/help...ime_vs_bac.htm

One way how you can improve back test accuracy is to submit orders to a 1 tick data series. You can also enable High Order fill resolution for backtesting single-series strategies against a 1 tick data series.

https://ninjatrader.com/support/help...ical_fill_.htm

Let us know if we may assist further.

[matrixxx]

Hello ,

Thank you for your post.

Glad to assist. Strategy setting changes like running on Bar Close or By Tick can help improving live vs. backtest results. See the below section of our help guide for more on this matter.

https://ninjatrader.com/support/help...ime_vs_bac.htm

One way how you can improve back test accuracy is to submit orders to a 1 tick data series. You can also enable High Order fill resolution for backtesting single-series strategies against a 1 tick data series.

https://ninjatrader.com/support/help...ical_fill_.htm

Let us know if we may assist further.

I'm using on bar close on both backtest and live.

[NinjaTrader_EricB]

Thank you for your reply. There are a number of other factors that can contribute to differences listed via our link, but to clarify, differing results from live is expected.

[matrixxx]

ic, but $40 to $500 is too much different.

[NinjaTrader_EricB]

Thank you for your reply.

Do you see similar backtest results when running the same test on the SampleMaCrossOver strategy in NinjaTrader with the same settings as your strategy?

[iantg]

Just to add some additional information here, the results of back-testing or Market Replay compared to live SIM will always differ because backtesting and Market Replay assume 0 latency and live SIM assumes around 100 to 150 Milliseconds of latency. For many traders including myself, neither of these scenarios are in line with our real trading latency. So that is why we need this setting to be user defined. Please up-vote this so this feature request gets added.

For reference: https://ninjatrader.com/support/foru...177#post540177