It's very time-consuming to try out different parameters in the market replay, is there a way to use that data combined with strategy analyzer?
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Strategy Optimizer off of Market Replay Data
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Strategy Optimizer off of Market Replay Data
I'm currently back-testing an automated trading strategy. I have used the strategy optimizer to perform tested using tick data and the results are very different from the ones that I get when I use the playback connection and run through the same time period on market replay data.
It's very time-consuming to try out different parameters in the market replay, is there a way to use that data combined with strategy analyzer?Tags: None
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Hello breatheasyman,
Thank you for your post.
There are some discrepancies expected between a Strategy Analyzer backtest and a real-time test, such as market replay or real-time live trading. There is a page in the help guide about the discrepancies here:
Due to historical fill processing in the platform, order fills on Strategy Analyzer tests are based on OHLC values of each bar which is the same as processing On Bar Close. You can use a high order fill resolution to add a more granular data series, with the most granular being 1-tick, though this could be more resource-intensive and result in longer backtest times. If you are using a multi-instrument or multi-timeframe strategy, High order fill resolution is not available though you may program your strategy to add a more granular data series and submit orders on that series. This is demonstrated in the following reference sample:
My colleague has posted more detailed information regarding real-time vs. backtest results here:
Please let us know if we may be of further assistance.Emily C.NinjaTrader Customer Service
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