Reliability of backtesting in NT8

[Radano]

Please explain which backtesting order fill resolution is more reliable, Standard or High because discrepancies in outcomes are huge.

[NinjaTrader_BrandonH]

Hello Radano,

Thank you for your post.

Order fill resolution of "Standard (Fastest)" is the default setting and will use the existing bar type and interval that you are running the backtest on to fill your orders. This means that the historical fill algorithm will use the same Open, High, Low, Close, Time values that are available to the strategy for running the order fill simulation.

Selecting order fill resolution of "High" will allow you to set a secondary bar series to be used as the price data to fill your orders, this allows you to bring in more granular data than you are currently running the strategy on. For example, you may have a strategy that you run on "Daily" bars but then want to bring in "Minute" bars for the historical fill algorithm to be based on.

Please review the help guide document regarding understanding order fill resolution.
https://ninjatrader.com/support/help...FillResolution

Also, review the help guide document on the differences on real-time vs backtest (historical).
http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Additional information may be found in this NinjaTrader Forum post —
https://ninjatrader.com/support/foru...mance?t=102504

Let us know if we may assist further.

[Radano]

Well, my concern is how reliable the Standard option is. A strategy ran with standard makes $100,000 with High is a loosing strategy, same time inteval and type of bars. The outcome of the Standard backtest should be disregarded?

[NinjaTrader_BrandonH]

Hello Radano,

Thank you for your note.

Backtesting with Standard fill resolution will reliably use the data following the historical fill algorithm to determine the trades placed by the strategy.

Historical Order Backfill Logic - https://ninjatrader.com/support/help...fill_logic.htm

If you would like your results to resemble real-time data, you would need to add intrabar granularity and use High order fill resolution.

See this forum thread for more information about real-time vs backtests, adding intrabar granularity, and Standard vs High order fill resolution.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live#post773377

Let us know if we may assist further.