Back test timeframe errors

[Camdo]

Back testing results in inconsistent trade dates.
Sometimes the trades results go past the timeframe, and at other times falls short.
See screen shots:





I have also noticed that Backtesting after the market close (4:00 pm) can give significantly different results compared to the same backtest done after the market close the next day.

[NinjaTrader_Bertrand]

Camdo, in which timezone are you located and testing this?

This could happen as the session you're using is not 'broken' up and thus NT would wait until this is completed.

Which exact differences did you notice?

Were you connected at this point in time or were you just testing with data from the NT database?

[Camdo]

I am in Eastern Standard Time.
I was connected when the screen shots were taken.
Session manager is set to default 24/5, set 9:30 - 4:00 Mon thru Fri Eastern Time.
BGU instrument is set to default 24/5.


The differences in day spread backtest comparasons were in the instrument performance Period.days.cumulative profit. The difference appears to be that the closing price observed the prior day is different when observed after the close the next day. This has happened on many occasions, but I have only recorded two instances:
On 2/23/10 4:19 pm the closing price BGU was 49.9
On 2/24/10 6:08 pm the closing price BGU was 49.61

On 2/25/10 5:00 pm the closing price BGU was 50.81
On 2/26/10 ??:?? pm the closing price BGU was 50.84

Those prices were observed on the basktest trades tab, and confirmed by observing the chart candlestick.

I will continue to observe this problem. I am still confused as to exactly when the prices are changing.

[NinjaTrader_Bertrand]

Not sure I follow on your actual sessions used, did you change the 24 / 5 session template then? You could also use the US Equities RTH one for those hours you need (cash hrs).

Which provider are you using?

Some send the settlement update after the close, so a variance can be expected for those cases.

[Camdo]

I was connected when all the data was observed and backtested.

Session manager settings were not changed.

Data provider is MBTrading with Navigator 11.3.0.4

These were not live trades. It is just historical backtesting.

Some send the settlement update after the close, so a variance can be expected for those cases.

Do you mean that the data provider would update market data after the close?
Or do you mean actual trade settlement data may be updated after the close?

This problem has only been observed recently with NT 7.0.0.10

[Camdo]

Compare this screen shot (#3) to the one in my first post, #1 image.
#1 was taken 3/1/10 at 10:34 am EST.
#2 was taken 3/1/10 at 4:16 pm EST.

Both images of same backtest strategy with same timeframe dates, and same instrument.

Notice that:
3/1/10 data is now gone
2/26/10 data is now missing.

This strategy has been used for months without any problems. All this started with NT 7.0.0.10




Close Nt and restart, but do not connect. All data displays correctly.

[NinjaTrader_Bertrand]

Camdo, was unfortunately not able to reproduce this here as of now, but will recheck then after the close EST to compare. Thanks