Backtesting vs reality

[bourasrafik]

Hi Ninja team,

When I do backtesting and apply the same strategy in real time chart I find a big difference (~28%) that I think inhent to backtesting engine
after deep analysis I think it's due to the fact in back testing when stop loss is hit, the value logged in the trade is the next bar input, in remk bars, it the next bar is green, the loss is half

My strategy
i sbased on renko bars

Here is an example of the issue



As you can see when the SL is hit and only if the next bar is green the stop loss level exit is wrong (lose one block) and different from real time (lose tow blocks)
Here is an example of a curve when adjusted by correcting manually this backtesting error




1- How can I trick the script or the platform to take in accounnt this eeror and have a more realistic results ?

2- Another topic , is it possible to change the text in the entry/exit lablels



Thanks for your support

[NinjaTrader_BrandonH]

Hello bourasrafik,

Thanks for your post.

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.

Please review the help guide document on the differences on real-time vs backtest (historical).

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

You could consider using Exit methods for your stops/targets such as ExitLongLimit() and ExitLongStopLimit() instead of using Set methods.

This would allow you to specify a signal name for the Exit methods which would display on the chart. For example, you could give the Exit method a signal name of "Long Stop" and "Long Stop" would display on the chart instead of "Stop loss".

[bourasrafik]

Thanks Brandon,
The issue with playback is I'm only able to download day by day, I want to do massive testing tests with 1 or 2 years tick data, is there a way to download massively data (without files as it's not permitted by my data provider) as I do with backtest ?
Thanks

[NinjaTrader_ChelseaB]

Hello bourasrafik,

MarketReplay data are large files and must be downloaded one day at a time.
You might consider using a 3rd party to obtain the MarketReplay data.

https://www.google.com/search?q=ninjatrader+market+replay+data+download

While less accurate, the Playback connection can also playback historical tick data.

https://ninjatrader.com/support/helpGuides/nt8/data_files.htm

[bourasrafik]

Thanks Chelsea

[sonia0101]

Hello bourasrafik,

MarketReplay data are large files and must be downloaded one day at a time.
You might consider using a 3rd party to obtain the MarketReplay data.

https://www.google.com/search?q=ninjatrader+market+replay+data+download

While less accurate, the Playback connection can also playback historical tick data.
https://ninjatrader.com/support/help...data_files.htm

Hi Chelsea, thanks for the info. All I can find so far are "paid" services to accomplish this task of downloading multiple days of data at one time vs the tedious one day at a time that currently exists inside the platform.
I'm curious why doesn't NT build this into the platform instead of referring clients to third party "paid" for services?

[NinjaTrader_BrandonH]

Hello sonia0101,

Thanks for your notes.

At this time, the Development team has not added the ability to download more than one day of Market Replay data at a time.

Any features added to NinjaTrader platform are at the discretion of the Development team.

[sonia0101]

Hello sonia0101,

Thanks for your notes.

At this time, the Development team has not added the ability to download more than one day of Market Replay data at a time.

Any features added to NinjaTrader platform are at the discretion of the Development team.

Hi Brandon hmm didn't even attempt to answer my question instead responded with what I already know, that is why I asked the question.
But thanks anyway.