Backtesting and Market Replay

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Updated November 26, 2013

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Backtesting and Market Replay

nourozi · 2013-11-26T04:05:40-05:00

Hi Guys, I am in the process of developing an automated strategy and am at the stage where I would like to test different variables across different markets over an extended period of time. Basically, I want to test a range of futures markets efficiently and accurately as possible. I have been told that I should follow this process: Backtest > Market Replay > Live Sim > Live. Sounds logical to me, however, I am not sure which data I should be using. I guess I would have to use a continuous contract? Does anyone know where I can get the most accurate back-testing and market replay data for Ninjatrader? Much appreciated.

November 26th, 2013, 04:05 AM	#1 (permalink)
nourozi New Zealand Posts: 92 since Jun 2013 Thanks Given: 52 Thanks Received: 30	Hi Guys, I am in the process of developing an automated strategy and am at the stage where I would like to test different variables across different markets over an extended period of time. Basically, I want to test a range of futures markets efficiently and accurately as possible. I have been told that I should follow this process: Backtest > Market Replay > Live Sim > Live. Sounds logical to me, however, I am not sure which data I should be using. I guess I would have to use a continuous contract? Does anyone know where I can get the most accurate back-testing and market replay data for Ninjatrader? Much appreciated.