Best Practices for NT7 Backtesting?

[billr]

Is there a thorough walk-through of backtesting best practices for NT7? Coming from Tradestation, there are some basic backtesting problems that I am aware can happen if the backtesting logic doesn't account for them.

For example: Trades calculated in the same OHLC bar can be a problem if the data is not 'time stamped' which allows a trade to be created that cannot occur in actual trading. This common problem usually provides a wildly positive bias in longer bar time frames. (trade entry price level actually occured AFTER trade exit price in live trading.)

There may also be data issues, fill logic and seemingly unrelated platform settings that can have also have a devastating effect on backtest results that a user can spend months working with before discovering the problem.

These types of fundamental problems can take months to weed out on your own if not very knowledgeable with the specific backtesting system internal logic.

Is there such a resource for NT7 backtesting?

Thanks.

[NinjaTrader_RyanM1]

Hello billr,

Yes, I understand it can seem a little daunting coming to a new system. Below are some references you use to get up to speed on NinjaTrader 7.

• Backtesting a strategy
• Discrepancies Real Time versus a Backtest.
• Event Driven Model

We are glad to assist with any questions you may have. You're right that the backtesting engine only sees OHLC values and not necessarily the sequence they occurred. You can see this reference sample to achieve intrabar granularity during backtesting.

[billr]

Thanks Ryan. Your referenced materials reminded me to ask about a specific point. I am under the assumption the certain functions respond to tick-by-tick data in live trading even if the "...OnClose" is set to True. These would include StopLoss, ProfitTargets, and Trailing stops. Is this assumption correct?
Thanks.

[NinjaTrader_RyanM1]

There are Set statements that are automatically applied upon entry execution. You can Set these from the Initialize method which means they are just waiting for the entry event before submitting. Yes, these are stop losses, profit targets, and trailing stops.

You can update these Set statements in OnBarUpdate and they will use the last value that they were set to. If you have them conditionally set in OnBarUpdate, then they will follow the rules regarding CalculateOnBarClose. Logic is still processed at the end of the bar.

Reference sample below helps on conditionally setting these:
Modifying the price of stop loss and profit target orders