Strategy testing NT7 vs NT8

[2Look4me]

Hi, was wondering what are the expectations when a strategy is tested with the NT7 “Market Replay”; then the same strategy tested with the NT8 Market Replay?
Are the results supposed to be pretty consistent?
Will the replay speed somehow affect the results?

I have that the number of trades executed for the same strategy and same instrument in NT7 and NT8 are pretty consistent month after month, but the gains and loses vary significantly.
The NT7 and NT8 data are downloaded separately from a third party vendor and not from NT.

Thanks...

[NinjaTrader_Kate]

Hello 2Look4me,

Thank you for your post.

Similar results between NinjaTrader 7 and NinjaTrader 8 should be expected, but exact results require the exact same data and the same order fill processing as well as the exact same strategy logic.

As NinjaTrader 7 and NinjaTrader 8 use different historical data servers and tick data on NinjaTrader 8's historical data servers has sub second granularity, it would not be possible to get the data to line up perfectly, so some differences in fills would be expected. However, you're using a third party vendor, so I can't say for sure how their data may differ between NinjaTrader 7 and 8.

You can import historical data through the Migration Process that you are prompted with when you install a clean version of NinjaTrader 8. (Installing the platform without the Documents\NinjaTrader 8\ folder.) You can get this prompt to come up by removing the <MigratedNT7> string in your Config.xml file.

You can follow the steps below to do this:

1. Close NinjaTrader
2. Edit the Documents\NinjaTrader 8\Config.xml
3. Remove the string "<MigratedNT7>not migrated</MigratedNT7>" This string may be different depending on your initial Migration setting
4. Save Config.xml
5. Restart NinjaTrader 8

There is a lot more information on this in the Migration Guide that you can find here: https://ninjatrader.com/NinjaTrader-8-MigrationGuide

My suspicion here is the discrepancy is primarily due to sub-second granularity in NinjaTrader 8 data vs not having that granularity in 7. If you migrate the data from 7 to 8, I'd expect them to match more closely, though not exactly due to some changes in order fill processing in 8.

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

[2Look4me]

Hi Kate and thanks for the thorough explanation. But it seems to be quite a bit of slippage with most of the entries with NT8 in comparison with NT7.

I was having these issues with my strategy, therefore I proceeded to test with NT7 & NT8 strategy sample: "SampleMACrossOver". I'm attaching a couple of charts hoping that they will explain the issues better. Any settings in particular that might be causing this?

[NinjaTrader_Kate]

Hello 2Look4me,

Thank you for your reply.

Did you try my suggestion of migrating your data from NInjaTrader 7 to NinjaTrader 8 and testing? This looks to me as an expected difference given granularity differences between NinjaTrader 7 and 8 data.

During a backtest assumptions are made on the fill price of an order is based on the OHLC of a bar and the price of the order itself. You can also have differences depending on which fill algorithm you choose.

Here's how the historical fill algorithm works in NinjaTrader 8:

https://ninjatrader.com/support/helpGuides/nt8/understanding_historical_fill_.htm

In NinjaTrader 7 it's a little different, you can find information about historical fill processing on this page:

https://ninjatrader.com/support/helpGuides/nt7/backtest_a_strategy.htm

I'd expect to occasionally see fills that differ between NinjaTrader 7 and 8 as the fill processing is slightly different.

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