Has anyone out there ever built an Execution Simulator (or some other type of plugin) that makes the results of backtests (and optimizations) done in NT8’s Strategy Analyzer the same as the results from backtests done via NT8’s Market Replay?

Some specifics of this would involve getting the Strategy Analyzer to:
1. Fill long market entry orders (and short market exit orders) at the Ask price.
2. Fill long market exit orders (and short market entry orders) at the Bid price.
3. Fill an entry order as soon as the entry signal is given (not on the first tick of the bar after the entry signal is given).
4. Everything else that makes Replay backtest results different then Strategy Analyzer backtest results.


I’m hoping to buy a prebuilt execution simulator (or plugin) that does this. Or possibly pay someone to build one from scratch if a prebuilt one does not exist.

Thanks!

AM4042 

Has anyone out there ever built an Execution Simulator (or some other type of plugin) that makes the results of backtests (and optimizations) done in NT8’s Strategy Analyzer the same as the results from backtests done via NT8’s Market Replay? Some specifics of this would involve getting the Strategy Analyzer to: 1. Fill long market entry orders (and short market exit orders) at the Ask price. 2. Fill long market exit orders (and short market entry orders) at the Bid price. 3. Fill an entry order as soon as the entry signal is given (not on the first tick of the bar after the entry signal is given). 4. Everything else that makes Replay backtest results different then Strategy Analyzer backtest results. I’m hoping to buy a prebuilt execution simulator (or plugin) that does this. Or possibly pay someone to build one from scratch if a prebuilt one does not exist. Thanks!

Hello AM4042,

I am bit new to NT7 Strategy Analyzer as well and I have researched the accuracy in back testing, as I intra-day trade and accuracy (or close to possible) is better for me.

Perhaps we can join forces on this on this enhancement/problem.

Have you tried the "Selecting order fill resolution of "High" " options for your back testing which allows you adding a secondary data series for which would give you intrabar granularity and thus mimic High Order Fill resolution and thus give you more realistic backtest results.

I have not tried this yet as I am still developing a strategy, but I plan to test this NT7.

Please let me know if that option help you

Thanks,

Hi Goodboy,

NT8 (and NT7) has declared an all out war against making it possible to have Strategy Analyzer give accurate results like Replay.

You can read about is here Incorrect Fill Price even when using tickreplay and having bid/ask. - Page 3 - NinjaTrader Support Forum

Its so sad how much time NT8 has invested in making additional ways (such as Tick replay) to give fake results in Strategy Analyzer, rather then just adding a way to get Strategy Analyzer to give the same results as Replay.


Sure lets Join forces. I'll post here if I find a way to fix this, please do the same.

Here is one tip for now, I've been using smartquant.com's OQ2014 platform way more then NT8 simply because OQ2014 makes accurate backtesting possible.

AM4042 

Hi Goodboy, NT8 (and NT7) has declared an all out war against making it possible to have Strategy Analyzer give accurate results like Replay. You can read about is here Incorrect Fill Price even when using tickreplay and having bid/ask. - Page 3 - NinjaTrader Support Forum Its so sad how much time NT8 has invested in making additional ways (such as Tick replay) to give fake results in Strategy Analyzer, rather then just adding a way to get Strategy Analyzer to give the same results as Replay. Sure lets Join forces. I'll post here if I find a way to fix this, please do the same. Here is one tip for now, I've been using smartquant.com's OQ2014 platform way more then NT8 simply because OQ2014 makes accurate backtesting possible.

Thanks AM4042,

I am still working on a strategy to build in NT7 and review with my own eyes if I see any discrepancy between Strategy Analyzer and Market replay.

I will reply if I see any major discrepancy. If its small discrepancy, I will just have to live with. Nothing will be perfect, I need consistency and 1 platform to learn.