Market Replay Gap Testing: Simulating
It is early morning. Your algorithm just captured a move on ES futures while you were still asleep, but only because you validated it with Market Replay...
It is early morning. Your algorithm just captured a move on ES futures while you were still asleep, but only because you validated it with Market Replay gap testing first. Without simulating the overnight gap between the previous day's close and the current open, your strategy might have entered at a price that never existed in reality. The E-mini S&P 500 (ES) is notorious for its volatility during the opening auction. A strategy that looks profitable on 1-minute bars often crumbles when exposed to the reality of price gaps and slippage. This is where NinjaTrader 8 simulation becomes critical for separating theoretical edge from live viability. Key fact: In practice, strategies tested on minute bars without gap handling can show a profit shift of nearly 18% compared to tick-level replay with realistic fills. The core issue with standard backtesting is the assumption of continuous price movement. In reality, the ES futures market closes and reopens, creating a gap that can trigger or miss entries entirely.