Number of days to load versus testing

[siroki]

Hello,

I have a bit of an issue with the backtesting of my system. Let me try to explain.

Basically I would like to backtest a specific date / set of days. But in my script I use, for example, let's say a 200 day simple moving average. This would require ofcourse to load a minimum of 200 days. In my backtesting input parameters I then would have to set the start-date to today-200 days in order to get a correct 200SMA value.

Because if I backtest on, let's say only 5 days, then I dont get the correct 200SMA value.

But this would also mean that the results of the backtest are based on that 200 days of trading! I don't want this. Basically I would like to load the 200 days of data but would like to select a specific date-range to test on.

Is this possible?

So if I would like to test from March 1st to March 5th, then the load results should be at least 200 days (for the 200SMA) from March 1st back + the 5 days to March 5th.

Hope to hear from you.

Thanks.

[NinjaTrader_Bertrand]

Hi siroki, that would be possible by coding in a custon date filter in your conditions for example, so only trades could be taken in your test period chosen, which would be separate from the chart loading period. It's like a time filter for trading hours, but expanded for dates.

You can for example create yourself 2 integer inputs for the start / end date to use in the filter and then use ToDay for the comparison - http://www.ninjatrader.com/support/h...lightsub=ToDay

[siroki]

Ofcourse, why didn't I think of that! Sometimes thinking of a solutions with the means at hand is less obvious. Thanks!

What I did now is the following:

		private int iDateFrom;
		private int iDateTo;

        protected override void OnBarUpdate()
        {
			
			if(ToDay(Time[0]) < iDateFrom || ToDay(Time[0]) > iDateTo) {
				return;	
			}

        ..... rest of my superprofitable supersecret code..... :p

        }

        #region Properties
		public int DateFrom
		{
			get { return iDateFrom; }
			set { 	if(value > ToDay(DateTime.Now)) { 
						iDateFrom = ToDay(DateTime.Now);
					} else { 
						iDateFrom = value; 
					} 
				}
		}
		[Description("Enddate Active [yyyyMMdd]")]
		[GridCategory("Parameters")]
		public int DateTo
		{
			get { return iDateTo; }
			set { 	if(value > ToDay(DateTime.Now)) { 
						iDateTo = ToDay(DateTime.Now);
					} else { 
						iDateTo = value; 
					} 
				}
		}			
        #endregion

Thanks