Strategy Analyzer

[leonidaschrist]

When running strategy analyzer with "Standard Fill Resolution", the results are significantly different than running in sim and in real time. What is needed to be implemented to make the strategy as close to what is shown in "Standard Fill Resolution?" Or is it not possible?

[NinjaTrader_Emily]

Hello leonidaschrist,

Thank you for reaching out.

The order fills from a backtest are filled based on OHLC data for each bar. Essentially, there is no intrabar granularity and this would be similar to running a strategy in real-time that is set to calculate "On Bar Close" rather than On Price Change or On Each Tick. If you want sim and real-time to be more like the backtest results, The Calculate setting in the strategy properties should be set to On Bar Close.

Alternatively, if you would like the backtest to have more granular order fills, you could use the High Order Fill Resolution which would allow you to select a secondary, more granular series such as 1-tick to process the historical fills on. This still may not reflect the same results as real-time. For more information about the discrepancies between real-time and back test, as well as more information about the order fill resolutions, please see the links below:

• https://ninjatrader.com/support/help...ime_vs_bac.htm
• https://ninjatrader.com/support/help...ical_fill_.htm

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

[leonidaschrist]

So I already have it set as "On Bar Close" in the strategy properties, but when I went to compare my real time trades to the backtest with a selective time frame, they were no where near close. Is that just due to slippage and fill times?

[NinjaTrader_Emily]

Hello leonidaschrist,

Thank you for your reply.

What bar type is used in your strategy? Do you see similar results when running the same test on the SampleMACrossOver strategy in NinjaTrader with the same settings as your strategy?

I look forward to your reply.

[leonidaschrist]

Bar type being used is Heikin-Ashi and am unsure on the sample strategy because I have not run it.

[NinjaTrader_Emily]

Bar type being used is Heikin-Ashi and am unsure on the sample strategy because I have not run it.

Hello leonidaschrist,

Thank you for the clarification.

I suspect the cause for the different results is that you are using Heiken Ashi bars. There is a section on one of the pages I previously shared about backtesting with Renko and Heiken Ashi bars:

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

These bar types use a "fake" open price, then once a bar closes the previous bar is removed and replaced with a new open price. This action may not be simulated in historical data, and testing strategies that use these bar types is better when the bars can be built in a real-time fashion. One option would be to use the Playback Connection; you could download data from previous days and then play it back. This would allow your strategy to run on the data as if it were in real-time and the bars would be built just like they are built when using a live data connection.

Alternatively, a Heiken Ashi indicator could be used instead. This may require modification of the strategy. If a Heiken Ashi indicator interests you, let us know and we'd be glad to provide additional information.

Please let me know if I may be of further assistance.

[leonidaschrist]

Ok, thank you! Yes, I would like to take a look at the Heiken Ashi indicator.

[NinjaTrader_Emily]

Hello leonidaschrist,

Thank you for your reply.

This indicator is publicly available on our NinjaTrader Ecosystem website:

• https://ninjatraderecosystem.com/use...heiken-ashi-8/

Here is a basic guideline of how to import NinjaScript add-ons in NinjaTrader 8:

Note — To import NinjaScripts you will need the original .zip file.

To Import:

1. Download the NinjaScripts to your desktop, keep them in the compressed .zip file.
2. From the Control Center window select the menu Tools > Import > NinjaScript Add-on...
3. Select the downloaded .zip file
4. NinjaTrader will then confirm if the import has been successful.

Critical - Specifically for some NinjaScripts, it will prompt that you are running newer versions of @SMA, @EMA, etc. and ask if you want to replace, press 'No'

Once installed, you may add the indicator to a chart by:

• Right-click your chart > Indicators... > Select the Indicator from the 'Available' list on the left > Add > OK

Here is a short video demonstration of the import process:

• Install a 3rd Party Indicator or App

Please let me know if I can be of further assistance.

The NinjaTrader Ecosystem website is for educational and informational purposes only and should not be considered a solicitation to buy or sell a futures contract or make any other type of investment decision. The add-ons listed on this website are not to be considered a recommendation and it is the reader's responsibility to evaluate any product, service, or company. NinjaTrader Ecosystem LLC is not responsible for the accuracy or content of any product, service or company linked to on this website.