Strategy Analyzer Optimization

[dargente]

I'm getting results when testing the SampleMA strategy, but not getting any results from my custom strat with parameters. I have a feeling that its because i have my params set in OnMarketData(MarketDataEventArgs e) rather than OnBarUpdate(), but would like to confirm this before making any changes.

thanks

[NinjaTrader_Bertrand]

dargente, likely correct as the OnMarketData() would only be called in realtime / Market Replay and not in a backtest.

[dargente]

ok hopefully, i'll move my code in that function and retest.

what's the equivilant of e.Time in OnBarUpdate ?

[NinjaTrader_Bertrand]

You can check off the bar time stamp with Time[x] -

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

[dargente]

Time[0] is stuck on my timeframe dataseries and will only update accordingly, no matter my 'calculate on bar close' is set to true or false i get same result. How do i get the real intra-bar time including seconds?

[NinjaTrader_Bertrand]

CalculateOnBarClose is true in backtesting per default, as there's only the historical series OHLCV info you can access...for a lower granularity timestamp please add another bars object and then use Times[index][barsago] to access those.

[dargente]

ok, i added a second timeframe.

Print(Times[1][0].ToString());

ok now i just retested the Strategy Optimizer and still getting no results. i have a feeling now maybe it is because i am using the bid and ask volumes; the instrument is forex EURUSD. but i am not sure, can you confirm? and if so how to proceed? i appreciate your help in migrating my code and getting it ready for optimization.

[NinjaTrader_Bertrand]

Great, how do you access the bid and ask volumes? Are you adding any additional bid / ask series to work with them historically here?

[dargente]

Bertrand, i have added the following:

Add(PeriodType.Tick, 1);

Add("$EURUSD", PeriodType.Tick, 1, MarketDataType.Bid);

Add("$EURUSD", PeriodType.Tick, 1, MarketDataType.Ask);

bidPrice = Closes[2][0];
bidVolume = Volumes[2][0];
askPrice = Closes[3][0];
askVolume = Volumes[3][0];

fyi, volume here is a double, whereas elsewhere it was changed to a long data type for NT7. just wanted to bring that up.

i have added BarsInProgress for retrieving prices and volumes. the strategy is now functioning properly. what else am i missing because i am still getting no results on the back-test?

[NinjaTrader_Bertrand]

dargente, are you sure your conditions are triggering as expected? Have you confirmed via Prints? Or do you perhaps call ATM's here, those could not be backtested unfortunately.

[dargente]

ok, i am able to see some trades in the back-testing now, but there is definitely a problem with the synching of bids and asks on every tick. My strategy is dependent on these and respective volumes, but I'm not getting a true time and sales:

if(BarsInProgress == 2 || BarsInProgress == 3)
            {    
                bidPrice = Closes[2][0];
                bidVolume = Volumes[2][0];
                askPrice = Closes[3][0];
                askVolume = Volumes[3][0];

                Print(Times[1][0].ToString()
                + " BID: " + bidVolume + "     " + bidPrice
                + "    " + askPrice + "     " + askVolume + "     :ASK ");
}

How do i store and retrieve from the data series so the bid / ask prices and volumes match the real data-feed?

[NinjaTrader_Bertrand]

dargente, you might be seeing slightly different results as the granularity here is limited to a second, unfortunately not lower - this is on our list for future consideration though already.

[dargente]

can you clarify which below is causing the 1 second granularity?

- OnBarUpdate() ?
- Add("$EURUSD", PeriodType.Tick, 1, MarketDataType.Bid/Ask)?
and/or
- BackTesting ?

Note that there are problems even before back-testing.

Also, using OnMarketData(MarketDataEventArgs e) i am able to get a true tape-reading but not able to backtest/optimize, hence this thread.

[NinjaTrader_Bertrand]

dargente, I was referring to the timestamp resolution of your tick series, this will be limited to 1 second unfortunately.