Why would I be getting unrealistic fills on backtesting versus forwardtesting?

[Conall]

Hi,

The attached strategy(TurtleSystem1OnPriceChange.zip) uses the 20 period Donchian channel indicator (a built-in indicator) to go long or short. It's always in the market, and flips long or short.
I'm having an issue with unrealistic simulated fills and want to understand why this is happening in my backtest.


Settings:



Notice that the fills are regularly happening at the open of each candle (at the red arrows) whereas the expected fill would be around the red circle, where the donchian channel has been touched.




other examples below:


These fills are clearly unrealistic.


Below is the same strategy when forward tested on live data.The fills look correct here.



What could be causing this? I've tried calcing on each tick and on price change, there is no difference.

thanks in advance.

[NinjaTrader_BrandonH]

Hello Conall,

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

It is expected that 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/helpGuides/nt8/calculate.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 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/help...ipt_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

[Conall]

Thanks Brandon, makes sense, and I've got things working as intended now.