Strategy Testing - Same strategy long&short both lose

[RDE_other]

Hello, I am attempting to automate my manual strategy.

I have, more or less, recreated it in NT8, it compiles, and the strategy testing tool will run it.

I run the exact same strategy with the only changes being whether it takes a long or short position at the end of its logic and both show massive losses.

Snapshots are (IIRC) ES MAR24, 1min, 1:1 Risk:Reward (4ticks), on close of bar, 1 tick slippage, standard resolution (not fine).

This behavior, massive losses in both directions and occurs even when changing the R:R, number of ticks, with 0 or 1 slippage, and with lower time frames (10s lowest which I attempted to get more granularity).

I am assuming this behavior has to do with being unable to run it in "fine" mode as it has multiple time series and/or encountering bars which encompass both the TP and SL?

Is there something I may be missing? Would this need to be tested live using a demo account?

Perhaps my thinking it too simplistic but if I had more losses than wins with a short and 1:1 R:R then reversing it to a long should result in more wins than losses. Assuming the same entries (which should be the case).

Thank you.

[NinjaTrader_BrandonH]

Hello RDE_other,

Thanks for your post.

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

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.

Tick Replay would be used to have the logic process tick by tick with historical data the same as it would real-time, 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/help...ipt_strate.htm

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

Developing for Tick Replay: https://ninjatrader.com/support/help...ick_replay.htm

Additional information may be found in this NinjaTrader Forum post:
https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance?t=102504