Vastly different results between running strategies live and backtest

[samish18]

I get very different results running strategies live compared to backtesting over the same period. I am not just talking about slippage. When run live, the strategy will take a different number of trades at different times.

[NinjaTrader_Gaby]

Hello samish18,

Thank you for your post.

Please review the help guide page on the differences on real-time vs backtest.

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm

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. Instead these are filled based on logical rules from processing historical data.

• When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data.
  • This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known
  • Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick' and the script will not have the intra-bar information to accurately fill an order at the exact price and time.

Intra-bar granularity adds a second data series such as a 1 tick series using AddDataSeries() so that the strategy or indicator has the individual ticks in the historical data in between the High and Low of the primary series.

• This allows for more accurate trades by supplying the correct price at the correct time for the order to fill with. The orders placed will need to use the BarsInProgress (BarsArray) index of that finer resolution series.
  • https://drive.google.com/file/d/12F6...C3TgPC3pA/view
  • Help guide link

In NinjaTrader 8, there have been two new enhancements so that programmers may not have to manually add this secondary series and code the script for high accuracy fills (Order Fill Resolution) or for intra-bar actions (TickReplay) depending on the needs of the script.
Note: bar types that are IsRemoveLastBarSupported cannot be used with TickReplay and generally cause inaccurate results when backtesting in historical data.
Note: High Order Fill Resolution allows for intra-bar order fills with historical processing, but is not compatible with Tick Replay.


Please see this forum post for a detailed explanation:

https://forum.ninjatrader.com/forum/...-backtest-live

Please let us know if we may be of further assistance.

[samish18]

I am using onbarClose and am expecting it to execute at the end of the bar - that is not my issue. My issue is that when I run a strategy live, I may execute 5 trades, but backtesting over the same period in may execute 2 trades with only 1 of those matching up with a live trade

[NinjaTrader_Gaby]

Hello samish18,

Are you using High Order Fill Resolution or added a 1-tick data series? The added 1-tick series for intra-bar granularity is still necessary no matter what Calculate setting is used for accurate fill times and prices.

High Order Fill Resolution would implement 1-tick intra-bar granularity as long as Tick Replay is not enabled.

[samish18]

Yes and Yes. I am having this issue with every strategy I run, regardless of which timeframe it is on or any other factors.

[NinjaTrader_Gaby]

Hello samish18,

Thank you for your response.

Before proceeding, I would like to ask if you are running this on Renko bars or Heiken Ashi bars?

[samish18]

Haha, I am not. I am familiar with the issues with those bars, I have been running on 5 minute, 30 minute and individually tick

[NinjaTrader_Gaby]

Thanks for clarifying, it is appreciated.

To understand why the script is having differences, I recommend using prints to print all of the data being processed by the strategy.

In the print, print the time of the bar, print the open, high, low, and close of the bar, then all values from all variables and all hard coded values in all conditions that must evaluate as true for this action to be triggered. It is very important to include a text label for each value and for each comparison operator in the print to understand what is being compared in the condition sets.

Enable TraceOrders to see if orders are being submitted, ignored, rejected, or cancelled.

It would be helpful if you could run the script in real-time and then also in backtest so we can compare the two outputs. Playback using Market Replay would also be very similar to real-time.

Prints will output to the New -> NinjaScript Output window.

Below I am providing a link to a forum post that demonstrates using prints to understand behavior. Please take a look at the videos that demonstrate adding prints to a script to get further information about the behavior of the script.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

If you need assistance creating a print or enabling TraceOrders, please let me know.

I look forward to receiving both of the output files.