Market Replay - reliable for backtesting? - NinjaTrader Support Forum

MatthewLesko

Senior Member

Join Date: Feb 2021

Posts: 212
#1

Market Replay - reliable for backtesting?

02-18-2022, 05:00 PM

I'm trying out automated strategy on Market Replay. So I'll have it download a day, then I'll go to that day and play it. I'll either use ticks or minute charts.
Is this a reliable way to help test a strategy?
Obviously forward/live testing is the best way, but is there any reason to believe Market Replay is just a complete waste of time?

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NinjaTrader_ChelseaB

NinjaTrader Customer Service

Join Date: Dec 2012

Posts: 25076
#2

02-20-2022, 04:20 PM

Hello MatthewLesko,

Playback with market replay data would be more accurate than a backtest or than using historical tick data.

Below is a link to a forum post that details the differences.

Comparing real-time, historical, and replay performance - NinjaTrader Support Forum

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

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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