hello, I need some opinion on what the best way to develop a strategy is based on large data set. The frustration that I'm having on NT is that backtest vs market replay vs real time results are different. Besides that, how can I optimize my intraday strategy? In my opinion the most realistic results that I am seeing are from market replay.
My strategy enters on a limit order, COBC = true and exits at market. Backtesting this via strategy analyzer doesn't get many fills that market replay data does. However, the results on strategy analyzer and market replay are Close enough.
The strategy has multiple variables that can be optimized. What is the best way to optimize these variables? Is the only option NT's strategy optimizer? I don't believe there is a way to optimize via market replay? (pretty sure but i thought i'd throw that out there).
For some reason I think that optimizing variables on strategy analyzer and then testing them on market replay is not a good idea. What does everyone else think ?