Backtest vs historical strategy performance

[fernlicht]

Hello all and Ninjatrader team,

I'm really wondering and do not understand why a backtest result in the strategy analyzer, over a long or short period, is substantially different than the historical strategy performance (also backtested since no real trades have been made) over the same period.
Please have a look at the attached results (Overview and trades). As you can see the entry end exit prices are different (trade 7/8 up to 20 Pips?!)

It is the same strategy, the same price data (IB), and the exact strategy setup.
The strategy works with limit orders to enter a trade and take profits/stop loss to exit.

Could you please explain:
- Why does it differ so much?
- After many tests, the historical strategy performance shows always worse results than the strategy analyser, why is that?
- What of both scenarios is right?
- What is closer to reality?
- Is this a bug?

I hope you don't mind that the strategy is in the red on that days

Thanks in advance for your effort

[NinjaTrader_PaulH]

Hello fernlicht,

Thanks for your post.

Here is a link to the help guide that discusses differences you can expect: https://ninjatrader.com/support/help...ime_vs_bac.htm

Please see this thread created by my colleague to address these type questions: https://ninjatrader.com/support/foru...mance?t=102504

[fernlicht]

Ok thanks will look into that