Backtesting on tick data

[freewind]

Hi All,

I have Kinetick tick data and I want to run my strategy that is set to CalculateOnBarClose=false.
Does the Strategy Analyzer call the OnBarUpdate() every tick in my data?

Thanks in advance

[NinjaTrader_RyanM1]

Hello freewind,

In a backtest, strategies call OnBarUpdate() only on bar close. CalculateOnBarClose = false is only used in real time operation.

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

For intrabar granularity in a backtest you must add a secondary series that is smaller than the first, but all logic is still only processed on bar close.

[Baruch]

Yes it can, if you use "add tick"

[freewind]

Baruch,
What do you mean?

BTW a hack that I thought about and seems to work is to use Tick bars of 1.

[Baruch]

Why do you call it a hack? I use it all the time.
What I mean is that if you want to trade form X min bars, but you have tight stops or target then add in initialize: Add(PeriodType.Tick, 1);
Then you'll have secondary bars on which you can track your trades.

[neb1998]

Baruch,

When I am working with MTF strategies i generally set one time frame to 1 min, and i run all code within that BIP index. I will then reference the other time frames i work with from within the 1 min data, this seems to allow entry much more accurately than trying to say run a 15 min indicator within a 15 min BIP index. Does this make sense?

I am basically trying to implement what Multicharts would have considered LIB=1 with Intrabar execution on.

It appears to be working but with 10 years of 1 min data the results are obviously slow. I used to work with 5 min LIB on systems to start with and as they looked promising i would lower the LIB to 1 min but the tests would naturally take 5 times longer.

It seems with NT that the setting of one min or 5 min does not affect total optimizer performance, which is strange since its 5 times the amount of data.......