What are the problems with backtesting?

[jeffbg123]

I know that. I have always used default fills, NEVER liberal. Please explain this image and how it is possible. Also how can I send a limit order to get me the best price possible?

[NinjaTrader_JoshP]

jeffbg123,

That is what I am trying to say. You need to stop using Default and use Liberal.

When you use Default you will always get filled at the limit price and never better. It doesn't matter if it is outside the bar because that is what limit orders are. It is possible to fill outside of the bar. Getting filled outside the bar simply means if it were a real trading situation you would have been the one to bump up the bar. Since it is simulation of course your trades won't impact the bar and as such it looks like it is outside.

If you want to fill in the bar when using limit orders you need to use Liberal. Liberal fills you at high/low of the bar when otherwise it would have been outside of the bar. That is the best price possible.

[jeffbg123]

Can you explain this chart?

http://www.postimage.org/image.php?v=gxAuhxi

I am using default fills. 1 Tick chart. How could this possibly happen?

It is filling me at 2 different prices, none of which are the current tick. The tick is 1079.50, and I am filled at 1080 and 1080.50....

How does this make sense?

[NinjaTrader_JoshP]

Please provide exact code, order type, and all timestamp information as to the trade.

[jeffbg123]

I would prefer not to post it in public as it is my trading strategy. Can I private message it somehow?

but here are some trades:

buys 1077 at 2/1/2010 8:47:37 and sells 1077.50 at 2/1/2010 8:47:37
buys 1080 at 2/1/2010 8:52:23 and sells 1080.50 at 2/1/2010 8:52:23

Both are in ES.

Almost all of the trade's entry and exit occur on the same tick, which seems impossible.

[NinjaTrader_JoshP]

Please send an email into support [at] ninjatrader [dot] com with Attn: Josh in the subject and a link to this thread. Thank you.

[jeffbg123]

Sent. Thank you

[NinjaTrader_JoshP]

Can you please mouse over all of those bars in the future of where the execution is plotting and get the timestamp for all of those bars?

Usually many 1 tick bars have the same timestamp. Executions have a timestamp, but it wouldn't know which bar to plot it on when all tick bars have the same timestamp. When that happens it just plots it on the first bar with that particular timestamp and it may result in that phenomenon of looking like it filled outside of the bar.

[jeffbg123]

What exactly do you mean? When I mouse over a 1 tick bar in the chart, i get nothing. I do not know how to get the exact time and match a trade up with its bar.

[NinjaTrader_JoshP]

Please bring up a Data Box window by pressing Ctrl+D to view timestamp information.

[jeffbg123]

Ok, so you are saying that I actually was filled within the same second but not on the same tick?

I find that incredibly unlikely.

Look at this image

http://www.postimage.org/image.php?v=aV9cOOS

The sell fill timestamp is exactly the same as the buy in the ctrl+d box

We can clearly see the x axis goes from 14:53 to 14:54 to 14:55. The buy and sell takes place at 14:54 and neither of the two prices that we are filled at are traded during that time frame.

Right?

[NinjaTrader_JoshP]

Completely possible. This is simple a combination of the two factors I have outlined. When multiple ticks have the exact same timestamp the execution is plotted on the first tick with that exact timestamp. Then you factor in you using Default fill type with limit orders, it means you will fill exactly at your limit price regardless of what the price is. As mentioned before, this is completely plausible and is exactly what is happening here. You are filling 2 ticks below the close price on one of the later bars with the same timestamp you are looking at.

[jeffbg123]

So if I send a limit order, I will get filled? Even if the best bid is 1000 and I send a limit order to buy 500?

Doesn't this defeat the purpose of using limit orders in backtesting?

I see orders that are canceled, this would not make sense if all limit orders are filled regardless of price. And my average time in market is -1.2 minutes, yes negative.

[NinjaTrader_JoshP]

As stated earlier, if you want the fills to be on the bar please use the Liberal fill type. Do not use the Default fill type.

[jeffbg123]

I understand that, but I dont want to be filled when the price touches, I want to be filled when it penetrates, thus I need default fills. Are you saying that a default fill on a limit order in a backtest is useless?