Different Results between Sim101 Mode x MarketReplay mode

[sasil]

Why are the results so different when running the same strategy betweenn Sim101 mode and MarketReplay mode ?

Today I recorded the data of the ES - 04-15 and let my strategy to work. My strategy works between 9:30 and 16:00. After that I put my strategy to work on the MarketReplay mode.

See the results in each case.

Sim101 mode:


Performance All Trades
Total Net Profit $-1545,64
Gross Profit $1130,46
Gross Loss $-2676,10
Commission $195,64
Profit Factor 0,42
Cumulative Profit $-1545,64
Max. Drawdown $-1712,70
Start Date 30/03/2015
End Date 30/03/2015
Total # of Trades 134




Market reply mode:

Performance All Trades
Total Net Profit $-120,56
Gross Profit $2057,82
Gross Loss $-2178,38
Commission $308,06
Profit Factor 0,94
Cumulative Profit $-120,56
Max. Drawdown $-993,62
Start Date 30/03/2015
End Date 30/03/2015
Total # of Trades 211


Shouldn´t the results be the same ??

[NinjaTrader_CalH]

Hello Sasil,

Thank you for your post.

What time interval are you running the Sim101 and Market Replay at?

Are both strategy instances using exactly the same settings?

[sasil]

The time frame is Range 2. My strategy is very simple

protected override void Initialize()
{
EntriesPerDirection = 1;
TimeInForce = Cbi.TimeInForce.Day;
Add( PeriodType.Range,3);
SetProfitTarget("", CalculationMode.Ticks, PRFTG);
SetStopLoss("", CalculationMode.Ticks, STP0, false);
CalculateOnBarClose = false;
}
protected override void OnBarUpdate()
{
if(Historical){ PMSG1(5000);return;}
if(HorarioTrade(HR1, HR2, HR3, CondEntry())==1) {Trig3 = 0;return; }; // valida horario de entrada e saída dos Trade
if(Position.MarketPosition == MarketPosition.Flat)
{
if(Scalp_EC_1() >0) //setup buy
{EnterLongLimit(QT,GetCurrentBid());return;}

if(Scalp_EV_1() > 0)
{EnterShortLimit(QT,GetCurrentAsk(),lb_evd);return ; }
return;
}
}

[NinjaTrader_CalH]

Sasil,

Thank you for your script.

You would need to add Prints() in your code to determine if you are getting the same values being printed out at the same and correct times for both tests.
http://www.ninjatrader.com/support/h...html?print.htm

[sasil]

I have in excel all trades from Sim101 mode and Market Replay mode.

The entries not happen in the same moments.

There are more entries in The MarketReplay mode than in the Sim101 mode.

The results should be the same in both modes, is not it?

[NinjaTrader_CalH]

Sasil,

I would not expect so in this case.

Market Replays granularity for playback goes as low as 1 second. However, you live mode could be using on each tick calculation which can cause different calculations between the two.