Strategy Analyzer vs Real World

[getaramb]

Hello,
I am analyzing a strategy, and while it works well for me and gives me a very good positive profit—for example, for CL with NinZaRenko 4,1 bars—when I apply this strategy in a backtest, the result is the complete opposite, showing a negative outcome.

How should I configure the Strategy Analyzer to return results that are closer to the real world? And what are the tools to improve the strategy in real-world conditions?

Thank you very much in advance.

[NinjaTrader_Gaby]

Hello getaramb,

Thank you for your post.

With standard Renko bars, a backtest is very challenging because the bars have a function that removes the last bar and replaces it with a new Open price. This is difficult to simulate historically vs. how it occurs in real time.

You may get more realistic backtest results by using High Order Fill Resolution or by coding your strategy to submit orders on a single tick data series by adding intrabar granularity.

Order Fill Resolution - https://ninjatrader.com/support/helpGuides/nt8/index.html?understanding_historical_fill_.htm#Unde rstandingOrderFillResolution

Example script - Adding intrabar granularity - https://ninjatrader.com/support/help...ipt_strate.htm

That said, you are using custom Renko bars so we aren't familiar with their functionality. I would reach out to the developer to ask if they have suggestions on their accuracy when backtesting in the Analyzer.


Another option would be to backtest your strategy using the Playback Connection so that the bars may be built more realistically as if they were in real time.

Playback - https://ninjatrader.com/support/help...connection.htm


There is a section on the "Discrepancies: Real-Time vs Backtest" page in our help guide about backtesting Renko bars here:
https://ninjatrader.com/support/help...ime_vs_bac.htm

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