How to create an instrument list based on filters.

[Maoz1155]

I want to backtest an equities strat in a specific sector of market cap less than 500m$.
To do that I need to create a custom instrument list to input in Strategy Analyzer?
If so, how do I create a custom instrument list based on the criteria I provided up above?

[NinjaTrader_Jesse]

Hello Maoz1155,

To do this you would need to use the market analyzer to first create a list of the instruments you wanted. Once you do that you can use that instrument list in the backtest by doing a basket test, that is simply clicking select all when browsing the instrument list in the analyzer.

https://ninjatrader.com/support/helpGuides/nt8/basket_test.htm

In the market analyzer you can add the market capitalization column and then sort by that column. Any instruments that are below your threshold you can delete from the analyzer and leave just the instruments you wanted to test. After doing that Right click -> Create instrument list and save it under a custom name. That list will then appear in the instrument selectors in the platform.

[Maoz1155]

Thanks Jesse.
How do I add all equity stocks to that market analyzer? If I remember right, there's a limit to how many columns it can contain, so I would probably wont be able to add them all to filter them in the first place.
Another question. Is there a limit to how long the instrument list can be?

[NinjaTrader_Jesse]

Hello Maoz1155,

You can use existing instrument lists to add multiple at a time, if the items you want are not in a list already you would need to manually add them to the analyzer or to a list before using the analyzer.

Your data provider may have a limit on the number of symbols you can subscribe to at once so you would likely need to slowly build the list rather than trying to add all at once.

There is not a limit to the list but as mentioned if you have more instruments in the list than you can subscribe to you won't be able to use that list all at once. The market analyzer subscribes to realtime data and the strategy analyzer will request historical data.