Entering positions intra-bar?

[Fierze]

In the strategy I am backtesting, a position is taken when the price exceeds a standard deviation line in the chart. However, the position is not taken until the start of the next (5-minute) bar. Sometimes in fast markets, this can mean a huge difference in entry price compared to the price of the standard deviation line.

How do I tell my strategy to take trades *exactly* when the line is crossed, instead of waiting until the start of the next candle bar?



I use Interactive Brokers for datafeed and brokerage.
I mostly use 5-minute candlestick charts and primarily trade the major US index minifutures, in case this makes any difference

Best regards and thank you for a great forum.

[NinjaTrader_Ben]

Hello,

This is not supported in the strategy analyzer generally speaking. You can do it via this link though:

http://www.ninjatrader-support2.com/vb/showthread.php?t=6652

Note: it is advanced though.

[Fierze]

Hello,

This is not supported in the strategy analyzer generally speaking. You can do it via this link though:

http://www.ninjatrader-support2.com/vb/showthread.php?t=6652

Note: it is advanced though.

Thank you for the answer.

I guess that an alternative, and probably easier, way of increasing the precision of entries and exits in my backtesting would be to use 1-minute charts instead of 5-minute charts. I do have the same amount of historical data for both resolutions and the 1-minute data gives 5 times more detail even if calculations are made at the end of each bar.

The VWAP + standard deviation lines I'm using and the amount of buy/sell signals generated should be pretty much unchanged regardless of resolution, if I am not mistaking, so the positions should be the same. Or am I missing something?

[NinjaTrader_Ben]

Hello,

It all depends on how its coded. It will be different. I would give it a try and alter your strategy to meet your specific needs...if it is not doing what you want.