Hey NexusFi (formerly BMT) forum and friends,

I am trying to solve a issue with backtesting within Ninjatrader 7. What I am trying to do is backtest based on tick data, not the OHLC of a bar.

I found this site: Accurate NinjaTrader backtests - MetaTrader Expert Advisor

And it claims that I can backtest with Bid/Ask tick granularity.

First what I did was download Bid/Ask data for GC ##-## from 01/01/2013 to 03/31/2013.

From there I created a very very simple strategy following the instructions posted in the website mentioned above.

Here is my code

 

Code

#region Using declarations using System; using System.ComponentModel; using System.Diagnostics; using System.Drawing; using System.Drawing.Drawing2D; using System.Xml.Serialization; using NinjaTrader.Cbi; using NinjaTrader.Data; using NinjaTrader.Indicator; using NinjaTrader.Gui.Chart; using NinjaTrader.Strategy; #endregion // This namespace holds all strategies and is required. Do not change it. namespace NinjaTrader.Strategy { /// <summary> /// Reference sample demonstrating how to achieve intrabar backtesting. /// </summary> [Description("Reference sample demonstrating how to achieve intrabar backtesting.")] public class sIntraBar : Strategy { #region Variables private int fast = 10; private int slow = 25; #endregion /// <summary> /// This method is used to configure the strategy and is called once before any strategy method is called. /// </summary> protected override void Initialize() { /* Add a secondary bar series. Very Important: This secondary bar series needs to be smaller than the primary bar series. Note: The primary bar series is whatever you choose for the strategy at startup. In this example I will reference the primary as a 5min bars series. */ Add("GC ##-##", PeriodType.Tick, 1, MarketDataType.Bid); Add("GC ##-##", PeriodType.Tick, 1, MarketDataType.Ask); // Add two EMA indicators to be plotted on the primary bar series Add(EMA(Fast)); Add(EMA(Slow)); /* Adjust the color of the EMA plots. For more information on this please see this tip: http://www.ninjatrader-support.com/vb/showthread.php?t=3228 */ EMA(Fast).Plots[0].Pen.Color = Color.Blue; EMA(Slow).Plots[0].Pen.Color = Color.Green; CalculateOnBarClose = true; } /// <summary> /// Called on each bar update event (incoming tick) /// </summary> protected override void OnBarUpdate() { if (CurrentBars[0] < BarsRequired || CurrentBars[1] < BarsRequired) return; if (BarsInProgress == 0) { if (CrossAbove(EMA(Fast), EMA(Slow), 1)) { //BarsInProgress = 1 EnterLong(1, "Long: 1min"); //Print(ToTime(Time[0])); } else if (CrossBelow(EMA(Fast), EMA(Slow), 1)) { //BarsInProgress = 1 EnterShort(1, "Short: 1min"); //Print(ToTime(Time[0])); } } // When the OnBarUpdate() is called from the secondary bar series, do nothing. else { return; } } #region Properties /// <summary> /// </summary> [Description("Period for fast MA")] [Category("Parameters")] public int Fast { get { return fast; } set { fast = Math.Max(1, value); } } /// <summary> /// </summary> [Description("Period for slow MA")] [Category("Parameters")] public int Slow { get { return slow; } set { slow = Math.Max(1, value); } } #endregion } }

If you look at the attached image, it looks like the exit is executing not on the close of the bar, but the trade opening the trade are filling at the open.

Has anyone ran into a similar issue when trying to create a intrabar backtest?

Cheerrs,

SodyTexas

Hi SodyTexas,

Yea, in my opinion, that code's not going to work very well.

NinjaTrader 7 does not sequence its Bid, Ask, Last back test data in a single file.

The Bid, Ask, and Last historic data are stored in three separate files.

On a one second granularity, there is no way to correctly re-sequence these three files for back testing.

Using Tick like in your code won't work because The Bid, Ask, and Last tables do not have equal numbers of entries in the stored data table for accurate back testing.

The data gets retrieved out of sequence.

I did the same thing talked about in that article, tested it, then scrapped the project.

I'm glad they found it usable, I did not.

In my opinion, try using Market Replay or wait for NinjaTrader 8 . Any year now. Sigh...

RJay

RJay 

Hi SodyTexas, Yea, in my opinion, that code's not going to work very well. NinjaTrader 7 does not sequence its Bid, Ask, Last back test data in a single file. The Bid, Ask, and Last historic data are stored in three separate files. On a one second granularity, there is no way to correctly re-sequence these three files for back testing. Using Tick like in your code won't work because The Bid, Ask, and Last tables do not have equal numbers of entries in the stored data table for accurate back testing. The data gets retrieved out of sequence. I did the same thing talked about in that article, tested it, then scrapped the project. I'm glad they found it usable, I did not. In my opinion, try using Market Replay or wait for NinjaTrader 8 . Any year now. Sigh... RJay

Right, "sigh..." NT8 would solve this problem..

I have been using Replay for most everything, but now I am looking to optimize a system which can not without the back test functionality.

At the moment, I am trying to find a solution until NT8 comes out, since I can't count on NT time-frame on the release of NT8 Beta so, I thought I would explore my options. NT is going to lose customers if they don't get there act together, but then again I already bought there Muti-Broker option, so in there mind they go there money out of me.

Thanks for the reply,

Cheers,

Sody

Accurate bid/ask data (associated with proper last) is in Elite section of NexusFi (formerly BMT). If you want, you could make this work with some custom programming. But it would be better to write your own app to do it like others have done, or just wait for NT8 which should be around the corner in beta form.

Mike