Huge discrepancy: Historical vs Real Time: 5 min / Renko / Heiken Ashi: Strategy

[rasdaka]

Hi,
Huge discrepancy between Historical and Real Time results for strategy using
- 5 min bar chart
- Renko chart
- Heiken Ashi

The results are a complete OPPOSITE, especially for Renko and Heiken Ashi charts, between Historical and Real Time.

Can anyone guide me to the appropriate settings / Order entry options that could potentially provide a 90%+ concurrence between Real Time results and Historical..?

For example,
- Do I have to download tick data and use Playback with Tick data
- Do I have to use Market versus Limit orders?
- etc..

Ideally, I'd like to do this on Strategy Builder, and not have to unlock the code; but if I have to, I will.

Thank you!

RK

[NinjaTrader_BrandonH]

Hello rasdaka,

Thanks for your post.

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

A strategy running real-time (live brokerage account, live market simulation, Playback connection etc...) will produce different results than the performance results generated during a backtest.

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.

Below is a link to the help guide on Calculate.
https://ninjatrader.com/support/help.../calculate.htm


Backtesting Renko bars and HeikenAshi bars

Standard Renko bars can be challenging for backtesting as the barstypes use functionality to remove the last bar in the data series and replace the bar with a new Open price.This is done with reversals and cannot be simulated historically, because the bars are already built. Testing may be done with the Playback Connection to fully simulate standard Renko bars with accurate reversals and order fills.

Similarly to custom Renko bars which use a "fake" open price, HeikenAshi bars alter the OHLC values of the data series to use the HeikenAshi moving average values. Since these are not real prices, it would be best to consider the same workaround as noted above, or to use a HeikenAshi indicator from the NinjaTrader Ecosystem User App Share.

HeikenAshi Indicator: https://ninjatraderecosystem.com/use...ashi-8/

Improve Accuracy of Backtest

To improve the accuracy of a backtest, you may use Tick Replay along with an added 1-tick series to have logic processed intra-bar and have orders filled intrabar. This would require unlocking the strategy from the Strategy Builder and manually programming your strategy's logic.

Tick Replay would be used to have the logic process OnEachTick or OnPriceChange with historical data, but this does not allow for intra-bar order fills. You would need to add a single tick data series and submit orders to that single tick data series for a strategy that uses Tick Replay.

High Order Fill Resolution allows for intra-bar order fills with historical processing, but is not compatible with Tick Replay.

Please reference the SampleIntrabarBacktest example and the following Help Guide links for more information.

SampleIntrabarBacktest 'Backtesting NinjaScript Strategies with an intrabar granularity' - https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

TickReplay — https://ninjatrader.com/support/help...ick_replay.htm

Developing for Tick Replay -
https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm?zoom_highlightsub= developing+for+tick+replay

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

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


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