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VIDEO: MultiCharts vs. NinjaTrader strategy backtesting and optimization


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VIDEO: MultiCharts vs. NinjaTrader strategy backtesting and optimization

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  #11 (permalink)
 
Big Mike's Avatar
 Big Mike 
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jdfagan View Post
Thanks for the comparisons Mike. I actually went from TradeStation 8.x to NinjaTrader 6.5 back in early 2009. I do love working with C# compared to EasyLanguage but I do see some of NinjaTrader's drawbacks - particularly in backtesting engine - which is where I spend most of my time analyzing as I use fully 100% automation. Its definitely hard to trust a system when the backtesting engine isn't as accurate as you'd like - for instance, choosing best case trade over a worst case in an ambiguous situation as you described.

I found this an important point that seemed to really make you move away from NinjaTrader and towards MultiCharts. Could you elaborate on what exactly are the "nasty side effects and repercussions that one must suffer through when using COBC=false in NT"? I do have this set to false in my strategies but I'm wondering what the ill consequences of doing this are?

Suppose one wrote a re-usable abstract strategy class that allowed user to define the lower more fine grained time frame used (purely for execution purposes) in relation to your higher timeframe that ran for generating the signals. If such a reusable class was written that helped alleviate the pain for writing strategies that were more accurate (backtesting wise) in NinjaTrader, would this be enough to have you use NinjaTrader again?

Thanks for the insightful post.

Cheers,

JD

Hi JD,

The list of problems using COBC false is very long and not easy to explain in a single post, it would be like summarizing years of headaches into a few lines of text . Most of the problems are due to DataSeries synchronization and order handling. If you are a C# programmer and you've not run into any problems, more power to you.

Yes you could develop a class if you want. With C# people always ask "can I do this?". Sure, you can do anything in C#. You can write your own trading platform in NinjaScript if you want. The "can" isn't the problem. I got tired of spending all my time creating complex code to work around issues the platform should handle directly.

At this time, NinjaTrader has lost my confidence. I also see NT7 as a failure and am not at all impressed by it. It's just my opinion. Many other people think NT7 is great. Like trading itself, there is no clear right or wrong answer. You use what works for you.

Mike

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  #12 (permalink)
 
cbritton's Avatar
 cbritton 
Atlanta, Georgia
 
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Big Mike View Post
...
The data was provided by IQFeed, for ES S&P 500, 5-minute bars over a period of 2 years (3/22/2008 to 3/22/2010).
...

Mike,

Was this data pulled from IQFeed during the backtest or did you have it stored on you pc for testing? I'm looking at doing some back tests, but I don't have much in the way for historical data for NT6.5 other than what's available on this site. I'm grateful for that, but I would like more data to test with so I'm looking for options: subscription to IQFeed, something else...

Thanks,
-C

“Strategy without tactics is the slowest route to victory. Tactics without strategy is the noise before defeat.” - Sun Tzu
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  #13 (permalink)
 
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 Big Mike 
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cbritton View Post
Mike,

Was this data pulled from IQFeed during the backtest or did you have it stored on you pc for testing? I'm looking at doing some back tests, but I don't have much in the way for historical data for NT6.5 other than what's available on this site. I'm grateful for that, but I would like more data to test with so I'm looking for options: subscription to IQFeed, something else...

Thanks,
-C

It was downloaded via each platforms interface to IQfeed.

Minute data is not too hard to find 1 or 2 years for free. Tick data is much harder, but there is 5 years of tick data for ES and 1 year of tick data for CL in the Elite section (sticky post on top). I have other instruments too but haven't posted them, ie 6E or GC.

Mike

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  #14 (permalink)
piersh
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Big Mike View Post
SMA and WMA look the same, the EMA method looks very slightly different.

i think NT's EMA is identical to MC's. a little algebra will get you this:

 
Code
                            
double var0 2.0 / (period);

if (
CurrentBar == 0)
    
Value.Set (Input [0]);
else
    
Value.Set (Value[1] + var0 * (Input[0] - Value[1])); 

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  #15 (permalink)
bkout
Austin, TX
 
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Hi Mike, First post here. Thanks for doing the test on Ninja vs. MultiCharts. I have been using Ninja and am doing a trial with MC and probably will switch. Unless I missed it you didn't figure out why the results were different on your tests. It looked to me like you left the default value of 20 bars required in the setup for Ninja. This is one of the things that always seems annoying/dumb/(insert word of choice) about Ninja backtest/optimizations. It should be designed so that you tell it when you want it to be able to take the first trade (like at the start of your two year period) and the program just figures out how much data it needs to have the indicators get up and running but nooooooo! you have to figure out more than the number of bars that you might need for the indicators to be working, put in your guess as to what that date works out to be and then to be sure run the test a few times looking at the actual trades to see that you got the first trade in your time period BUT not the one before that. Now my experience is with the "old" Ninja so if this has been corrected please accept my apology but otherwise it might explain at least part of the difference in your results -- see when each platform took the first trade with the system parameters that had the longest number of bars back required. Then adjust the bars required on the opt setup and the start date in Ninja -- maybe you can get a better match??

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  #16 (permalink)
 zulutrader 
NY, NY
 
Posts: 9 since May 2010

excellent information Big Mike!

I personally prefer Ninjatrader but you argument is very logical and appealing

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  #17 (permalink)
 
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 spinnybobo 
Crete, IL/USA
 
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Mike

do you use 6.5 or 7 for the dom's in Ninja? I thought I heard of people having problems with dom's or ATM strategies in 7

thanks
Spencer

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  #18 (permalink)
 
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 Big Mike 
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spinnybobo View Post
Mike

do you use 6.5 or 7 for the dom's in Ninja? I thought I heard of people having problems with dom's or ATM strategies in 7

thanks
Spencer

I am back to NT 6.5 because the new NT7 beta's hang on startup for me. NT has tried to help solve it but they say I'm the only one reporting it, and after a few attempts I just gave up and went back to 6.5, since the DOM hasn't changed from 6.5 to 7 it was fine for me.

Mike

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  #19 (permalink)
 
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 Fat Tails 
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Thank you a lot for doing this. I am watching your test of multicharts with great interest.

I have spent an awful lot of time to use and to understand NinjaTrader, but the more I dig into it, the more problems I am running into. There are so many problems that are not solved yet (neither for NT 6.5 nor for NT 7.0) and so many details that they simply do not understand. Just some experiences from the last two days:

-> today 15:20 > NT 7.0 produced a 21 min bar on a 5 min chart (the real-time bar never closed), bar timer just showed 0:00 when connected, not reproducible
-> Eurex session close is at 10:00 PM CET, all datafeeds transmit the close at around 22:05, so you do not catch the close, because it is cut off
-> I had a data hole on my NQ chart, reloading the chart did not help. I needed to delete all NQ data in the data base and then open a chart again
-> NT 6.5/7.0 cannot read daily data from Interactive Brokers for TF, DX or IPE Brent, if you are located East of GMT. IF GMT +2 cannot read US index data either.
-> indicator on indicator problem because they check double values for zero after a recursive series with thousands of bars

I have lost a lot of time with the little daily fights. It is like flying an experimental plane which has instable aerodynamics, and you are at the brink of crashing down at any moment. I have purchased NinjaTrader some time ago and I do not mind the money spent for it. But what matters is the time spent to make it do what it is supposed to do by itself. I guess there is a lot of sunk cost involved, and admitting that it is not what I had hoped for, feels like closing out a losing trade.

Thanks again for your sharing of the NinjaTrader versus Multicharts experience.


Big Mike View Post
SMA and WMA look the same, the EMA method looks very slightly different.
Mike

EMA formula is basically the same, just a different way to assign a value to the first bar..

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  #20 (permalink)
 
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 Big Mike 
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Fat Tails,

Let's just say I feel very good with my decision to switch to MultiCharts. I don't regret it in the slightest, and I was a hardcore C# programmer right up to the day I learned EasyLanguage. Now personally I don't rely on a lot of indicators in my trading, but I did spend some time working on basic stuff getting it the way I wanted.

I found MultiCharts and EasyLanguage to be ideal for what I needed. 100% rock solid, fast, stable, and easy to accomplish objectives.

MultiCharts is not perfect. I've brought them a few bugs, but they released patches for me practically immediately.

I think for indicator junkies, they won't be as happy with MultiCharts because there are just too many NinjaTrader indicators around that are "whiz-bang" modified, whereas the EasyLanguage indicators are more of the basics. But while the NT boys are off playing with toys, I am trading.

The bottom line is simple: I think anyone that compares the two will find the choice abundantly clear. Whatever their decision is, it shouldn't be a tough one one way or the other.

Mike

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