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Backtest Differences Between Trading Platforms: A Case Study Between Tradestation and NinjaTrader

Developing strategies in multiple platforms is a great way to double check your trading strategy. When using platforms such as Tradestation and NinjaTrader there are additional settings that can cause the results to be different.

The most common reason you might discover different backtest results in your trading systems include:

1.) Incorrect translations in the coding differences. 2.) The market data is different. 3.) Platform settings and backfill algorithm differences.

Even when using different programming languages, it is important to make sure the rules match. It is not always easy to convert a trading strategy from one coding language or platform to another. Hiring a professional coder can be key in implementing this step.

The data could be inaccurate in one platform while being correct in another platform. When you compare the results and the trades that are different, sometimes you will see noticeable differences in the data for the trades that are different. Other times the differences can be small. The large data differences usually indicate “gappy” data in one platform and you can determine which platform has the incorrect data and request the platform or data provider take a look at the data that is incorrect.

The backfill algorithms can be different between platforms. There is a little known setting in Tradestation called “bouncing ticks”. It is the main differences in this case study when comparing a Crude Oil strategy between Tradestation and NinjaTrader.

In the video we discuss this “nuance”. The example includes Tradestation and NinjaTrader 7. NinjaTrader 8 is slightly different than NinjaTrader 7 in its backfill algorithms.

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