Replay Problems

[Casefausheque]

I am having problems with the Market Replay. I get hugely different results in backtesting, replay and running a strategy live with IB.

Using your SampleMACrossOver as an example, I get the following results:
Time: 2/7/12 - 4/7/12
Parameter 34/68
EURUSD
1 Minute
Backtest: 13380 € Profit
Replay: 23.019€ Realized Loss (420€ unrealized Loss)

I know that there are differences between backtesting and replay. But turning a 13.380 profit into a 23.019 loss seems more than a bit odd.

Can you reproduce these results on your side? It seems that my Market Replay is behaving much stranger now, than it used to do. I already tried to reset the DB and reload all the historical data. It does not make a difference.
Do you have any explanation?
By the way: If I run a strategy live with IB, it is much closer to the backtesting than to the replay results. What is wrong?

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[CatsnamDok]

Hello moon_121,
To assist you further may I know are you running the strategy in Market Replay with Calculate on bar close set to true or false.

I look forward to assisting you further.

[CatfeftPari]

On bar close" is set to "true". It gets even worse if I try it with false.

[CecileNorEssessy]

Unfortunately backtest, replay and live results can vary.
http://www.ninjatrader.com/support/h...ime_vs_bac.htm (http://www.ninjatrader.com/support/helpGuides/nt7/index.html?discrepancies_real_time_vs_bac.htm)

Backtest is calculated at the end of the bar and thus if you are running the strategy with Calculation on bar close set to false then the results can be even farther.

Also please note, there can be data discrepancies between IB and Market Replay since IB uses snapshot data to construct the bars.

[cernaddet]

I knew I would get this generic reply. It is the same answer NT gives everybody who has problems with backtesting, replay or setting up a strategy with Renko.
Perhaps you could explain a slight difference between backtesting and replay with this answer. But the complete opposite? With SMA-cross? With 1 Minute charts? It can't get any dumber than that. We are not talking Ticks or Renkos here.
At least, the backtest should be approximately the same like the replay.
And by the way: I am using Kinetick as market data provider. And as I said: Everything is set to "on bar close: true".
Here is my challenge: Why don't you show me an example, where your backtesting resembles a market replay. Can it be done? Or is one of them complete rubbish?

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