Backtest Order Assumptions

[vt2009]

When I run a backtest on my futures strategy, it is always short @ the bottom of bars and long from the top on by backtesting. Is this a default assuming I am getting the worst possible fill of the bar? How can I adjust it to assume I am entering at the median or simulate a limit order getting filled?

[NinjaTrader_Brett]

Hello,

Thank you for your forum post.

NinjaTrader will always submit the order once the condition is true for your order on the next bar. To allow your orders to be filled intrabar you will need to use a multi series strategy and add a smaller time frame chart and execute your orders on the smaller time frame chart such as a tick chart or 1 minute chart, this is called intrabar granularity. This will take more resources to run your strategy however.

Please see this reference guide to do this:

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