backtesting in NT

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Updated March 20, 2016

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backtesting in NT

January 3rd, 2012, 06:11 PM	#1 (permalink)
gparkis New York City, NY/USA Elite Member Experience: Intermediate Platform: NT Trading: 6E, ZN, CL Posts: 121 since Dec 2010 Thanks Given: 3 Thanks Received: 74	I have purchased historical tick data to run in NT for some risk strategy building. I know that in MT4 one can back test on on tick data to get 99% for intra bar accuracy; can the same be said of NT when utilizing back testing on tick data?

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January 3rd, 2012, 09:07 PM

#2 (permalink)

Big Mike

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Yes, the capability is there to backtest on tick data.

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January 5th, 2012, 02:46 PM	#3 (permalink)
gparkis New York City, NY/USA Elite Member Experience: Intermediate Platform: NT Trading: 6E, ZN, CL Posts: 121 since Dec 2010 Thanks Given: 3 Thanks Received: 74	will this need special script or is it just in how i load the tick data?

January 5th, 2012, 04:04 PM

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gparkis

I have purchased historical tick data to run in NT for some risk strategy building. I know that in MT4 one can back test on on tick data to get 99% for intra bar accuracy; can the same be said of NT when utilizing back testing on tick data?

I am not sure 100% what you are after but this reference sample might put you in the right direction Strategy: Backtesting NinjaScript Strategies with an intrabar granularity - NinjaTrader Support Forum.

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January 9th, 2012, 12:24 PM	#5 (permalink)
MrYou NC, USA Elite Member Experience: None Platform: None Yet Trading: Guitar Posts: 402 since Jun 2011 Thanks Given: 618 Thanks Received: 196	As of today (NT v7) strategies can not be backtested intra-bar. Backtesting historical data can only be performed on the close of the bar. Backtesting historical data defaults to a "fixed" CalculateOnBarClose = true. OnMarketData or OnMarketDepth can not be used on historical data. You can only use Market Replay to "backtest" against intra-bar, OnMarketData, or OnMarketDepth. Also there are "intra-bar granularity" issues when backtesting multi-timeframe strategies.

July 8th, 2012, 03:01 PM

#6 (permalink)

GridKing

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Would there be reasons why a strategy needs to be separated into two so that buy side and sell side have to be back tested separately?

What are some best practices so that there is no conflicts I guess ... Thanks

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July 11th, 2012, 06:49 PM

#7 (permalink)

Antisyzygy

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MrYou

As of today (NT v7) strategies can not be backtested intra-bar. Backtesting historical data can only be performed on the close of the bar. Backtesting historical data defaults to a "fixed" CalculateOnBarClose = true. OnMarketData or OnMarketDepth can not be used on historical data.

You can only use Market Replay to "backtest" against intra-bar, OnMarketData, or OnMarketDepth.

Also there are "intra-bar granularity" issues when backtesting multi-timeframe strategies.

The reference sample NinjaTrader provided above would work here. It's an example on adding a second series to the strategy that has tick resolution.

What issues have you run into?

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November 19th, 2012, 07:01 PM

#8 (permalink)

rkm2011

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Hi Antisyzygy,
I've been trying to get the following issue addressed in NT forum but no luck.
I have looked at their reference code and all the docs.

I appreciate if you could shed some light.

Unexpected behavior of OnOrderUpdate() calls with Intrabar data

Although I am using Intrabar data (1Min), the OnOrderUpdate() was always called on the main time frame (60Min)

Here are the specifics:
Instrument: ES ##-##
Main Time Frame = 60 Min
Secondary Time Frame = 1 Min
Bar in question was on 11/16/2012 at 11:30 AM
The Buy order was filled at 1350.75 at time 11:30AM
The Profit target was filled at 1354.75 at time 11:30AM
Looking at the 1Min Chart, I see that the 1354.75 level was not touched until 12:16PM

So, it looks like the OnOrderUpdate() is called only on the 60Min time frame. I expect
OnOrderUpdate() to be called around time 12:16PM based on the 1Min data.

I printed 'Time[0]' at the beginning of OnOrderUpdate(). Here are the fills of the Buy and the Profit Target:
OnOrderUpdate Time: 11/16/2012 11:30:00 AM
IOrder Order='NT-00081/Sim101' Name='Buy' State=Filled Instrument='ES ##-##' Action=Buy Limit price=0 Stop price=0 Quantity=1 Strategy='RKMTest' Type=Market Tif=Gtc Oco='' Filled=1 Fill price\
=1350.75 Token='27ebb46b1e1f48589cfab756b19f1d66' Gtd='12/1/2099 12:00:00 AM'

OnOrderUpdate Time: 11/16/2012 11:30:00 AM
IOrder Order='NT-00083/Sim101' Name='Profit target' State=Filled Instrument='ES ##-##' Action=Sell Limit price=1354.75 Stop price=0 Quantity=1 Strategy='RKMTest' Type=Limit Tif=Gtc Oco='NT-00\
050-4323' Filled=1 Fill price=1354.75 Token='8ce78dd643fc489093af083bda429056' Gtd='12/1/2099 12:00:00 AM'

The Code for the strategy is attached.

Attached Files

Elite Membership required to download: RKMTest.cs

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March 20th, 2016, 09:34 AM

#9 (permalink)

little leo

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rkm2011

Hi Antisyzygy,
I've been trying to get the following issue addressed in NT forum but no luck.
I have looked at their reference code and all the docs.

I appreciate if you could shed some light.

Unexpected behavior of OnOrderUpdate() calls with Intrabar data

Although I am using Intrabar data (1Min), the OnOrderUpdate() was always called on the main time frame (60Min)

Here are the specifics:
Instrument: ES ##-##
Main Time Frame = 60 Min
Secondary Time Frame = 1 Min
Bar in question was on 11/16/2012 at 11:30 AM
The Buy order was filled at 1350.75 at time 11:30AM
The Profit target was filled at 1354.75 at time 11:30AM
Looking at the 1Min Chart, I see that the 1354.75 level was not touched until 12:16PM

So, it looks like the OnOrderUpdate() is called only on the 60Min time frame. I expect
OnOrderUpdate() to be called around time 12:16PM based on the 1Min data.

I printed 'Time[0]' at the beginning of OnOrderUpdate(). Here are the fills of the Buy and the Profit Target:
OnOrderUpdate Time: 11/16/2012 11:30:00 AM
IOrder Order='NT-00081/Sim101' Name='Buy' State=Filled Instrument='ES ##-##' Action=Buy Limit price=0 Stop price=0 Quantity=1 Strategy='RKMTest' Type=Market Tif=Gtc Oco='' Filled=1 Fill price\
=1350.75 Token='27ebb46b1e1f48589cfab756b19f1d66' Gtd='12/1/2099 12:00:00 AM'

OnOrderUpdate Time: 11/16/2012 11:30:00 AM
IOrder Order='NT-00083/Sim101' Name='Profit target' State=Filled Instrument='ES ##-##' Action=Sell Limit price=1354.75 Stop price=0 Quantity=1 Strategy='RKMTest' Type=Limit Tif=Gtc Oco='NT-00\
050-4323' Filled=1 Fill price=1354.75 Token='8ce78dd643fc489093af083bda429056' Gtd='12/1/2099 12:00:00 AM'

The Code for the strategy is attached.

Did you end up finding a solution for this? I have exactly the same problem

Impossible fill happening on the same bar for EnterLongLimit - NinjaTrader Support Forum

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Last Updated on March 20, 2016

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