Beta22 backtesting mess

[NinjaTrader_Bertrand]

Dave, thanks - could you please send in your data (include timezone please) to me to support at ninjatrader dot com?

Thanks

[dave1992]

Update, in case anyone has any insight. Ninja were able to reproduce this.

It's clearly related to multi timeframe, same instrument, where my primary is 45 mins (although 30 and 60 mins show the same problem) and my secondary is 1 tick. (I want to have it that way round so I can see the longer timeframe on the chart)

I'm entering on the 1 tick secondary bar.

[DaveE]

Trading instrument on non-primary, where primary is same instrument

Hello Dave1992,

I have found weird results whenever attempting to trade on non-primary series which has the same instrument as the primary series.
So I came to the conclusion that NT7 was not designed (and obviously not tested) to do this.
I think that Bertrand has confirmed this here http://www.ninjatrader.com/support/f...ad.php?t=34967

I have only been trying this sort of thing since beta 21 so cant comment on how it worked before.

There are good reasons for users wanting to use a long period for an instrument as the primary series, then Add a smaller timescale series to trade the same instument on. But since NT gets confused in this situation, I found the only solution (however inconvenient) is to recode making the smaller timescale primary, and only trading on that (adding larger timescale series (for the same instrument) for information only.

[dave1992]

Well it worked perfectly well before beta21. It also works perfectly well in 95% of trades, for some reason. I don't believe that's just luck - it must have been designed to work. The documents suggest as much.

Ninja only 'recommend' that you trade on the primary series in this situation, and I believe that is only because the primary may be the fastest -

recommend executing to the primary series in case the added series are multiples / other timeframes of the instrument being traded

We'll have to wait and see what they come up with on Monday. It needs development to to get stuck into it to say why it happens. I really don't want to be just told to execute on the primary. That's not good enough, Ninja says they support trading on the multi series, and as I said it worked for many months before beta21.

[NinjaTrader_Bertrand]

Guys, working with the Set() methods (without BIP parameter) the executions would be reported on the next available series, thus using this setup we would recommend executing on the primary only. The Exit() methods would offer more granularity, as you submit to a specific BIP in your script.

[DaveE]

Dave1992, I hope you dont mind me posting on this thread (I think we are both seeking clarification on similar issues).

Bertrand,
Thanks for the clarification.
Could you confirm whether my new understanding is correct or not?

So long as either: Set...() order methods are not used OR trading is only done on primary series, then neither of these two issues cause a problem:
1) The relative durations of the series (primary can be fast, and secondary slow, or vice versa).
2) When the cycles of the series coincide this does not produce strange effects on orders.

[dave1992]

That's simply not true. Like I said, 95% of the time it works. Look at the beta20 trades in post #11 here http://www.ninjatrader.com/support/f...4&postcount=11

That's how it should work. Can the dev team not simply test what's going wrong here and fix it? I haven't been able to use betas 21,22 and 23 because of this, and I'm not the only one with the problem.

Exits are no good to me, my strategy relies on stop loss.

thanks
Dave

[DaveE]

Hello Dave1992,

I would also like to be able to use SetStopLoss in the context of a non-primary series, but I would want to see 100% reliability. I have not seen any official NT code that illustrates setting a stop loss on a non-primary series. If there is a reliable way to do it perhaps Josh could produce one of his great examples?

[NinjaTrader_Bertrand]

Guys, with the Set() you do not submit to a specific series - if you want to submit a stoploss for a specific BIP, you can use the ExitLongStop / ExitShortStop methods that would offer this, please let us know if you see any issues with this approach.

Thanks

[dave1992]

I'm not trying to submit a stop loss to a series!! It's a red herring. Please just fix the issue we have!

thanks
Dave

[NinjaTrader_Bertrand]

Dave, thanks for clarifying - we'll setup more testing cases here to check into, thanks for your patience.