Comparing NinjaTrader 8 and Tradestation Platforms on the same E-mini Nasdaq Trading System

In this video we want to compare the results of the same trading system on two different platforms. These are hypothetical results and the purpose is to compare the results between the two platforms based on the V-Reversal 24 COMB NQ. We compare the Total Net Profit, Average Trade Profit, Number of Trades, and Drawdown for the V-Reversal 24 COMB NQ. We look at two-time windows. The first timeframe goes back to January 2018 while the second time window starts on April 2021.

We don't use slippage and commission since we are removing any differences in the way the platforms calculate backtests. Tradestation uses a straight dollar amount while NinjaTrader uses a point value and seems to discern that slippage should not be calculated at times when the fill is at the low of a bar for sell signals or high of the bar for buy signals.

One reason for the difference in backtests can be the data differences.

Additionally, the two platforms can have different backtesting algorithms. Here is another video that is 7 years old based on the differences in platforms backtesting. It shows how NinjaTrader assumes that there is a 100% retracement within the bar. We show how to add this setting in Tradestation. It becomes an over-penalizing way to test and errs on the side of very conservative. There are times when there is a massive range expansion that is beyond the average range of the bar, with a very large range, typically on breaking news.

If your stop loss is smaller than the range of the bar, it will show that the strategy is stopped out within NinjaTrader, even if it is a long signal and the price action inside of that bar started at the low and then moved to the high with very little retracement. In Tradestation, the bouncing ticks can be set to 100% to simulate this over-penalizing behavior. You can also use "look inside bar back testing". If we are trading one-minute bars, the look inside interval would have to be tick bars. It is difficult to load many charts that reference tick data. Also tick data is limited to six months.