Backtesting with best available time resolution

[boaza]

I've have a strategy which makes decision in 5-min resolution. My data is one-minute bar data, so I want to use these for simulation.
Following this sample, I've configured my default bars to 5min, and my secondary to 1min. Then, by adding some debug prints, I've noticed that:

• The entry orders are sent and filled in the timeframe of 1 min - as expected
• The Stoploss and Profit target are filled in the 5 minutes time frame, resulting in inaccuracy

In the log excerpt below, you can see that the limit order was placed at 18:05 (OK), Filled at 18:08 (OK), and Stop-Limited at 18:10 (wrong - should be 18:12).

You can find my code below:

protected override void Initialize()
        {
            Add(PeriodType.Minute, 1);
            CalculateOnBarClose = true;

            SetProfitTarget(CalculationMode.Ticks, 2);
            SetStopLoss(CalculationMode.Ticks, 2);
        }
protected override void OnBarUpdate()
        {
            if (BarsInProgress == 0)
            {                
                entryLimit = Close[0];
                EnterLongLimit(1, true, 1, entryLimit, "Enter long limit: 1min");
            }

            Print(String.Format("[{0}] {1} {2}: LP = {3}, O = {4}, H = {5}, C = {6}, L = {7}",
                    (BarsInProgress == 0) ? 5 : 1,
                    Time[0].ToString(@"dd/MM/yyyy HH:mm:ss"),
                    "OnBarUpdate",
                    entryLimit,
                    Open[0],
                    High[0],
                    Close[0],
                    Low[0]
                    ));
        }

And the log excerpt:

[5] 03/01/2011 18:05:00 OnBarUpdate: LP = 1.3344, O = 1.335, H = 1.3351, C = 1.3344, L = 1.3341
[1] 03/01/2011 18:05:00 Fill.Buy 1 Limit @ 1.3344: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3345, NL = 1.3344
[1] 03/01/2011 18:05:00 OnBarUpdate: LP = 1.3344, O = 1.3343, H = 1.3344, C = 1.3344, L = 1.3343
[1] 03/01/2011 18:05:00 Fill.Buy 1 Limit @ 1.3344: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3345, NL = 1.3344
[1] 03/01/2011 18:06:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3345, C = 1.3345, L = 1.3344
[1] 03/01/2011 18:06:00 Fill.Buy 1 Limit @ 1.3344: FP = 0, NO = 1.3344, NH = 1.3344, NC = 1.3344, NL = 1.3344
[1] 03/01/2011 18:07:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3344, C = 1.3344, L = 1.3344
[1] 03/01/2011 18:07:00 Fill.Buy 1 Limit @ 1.3344: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3345, NL = 1.3344
[1] 03/01/2011 18:08:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3345, C = 1.3345, L = 1.3344
[1] 03/01/2011 18:08:00 Fill.Buy 1 Limit @ 1.3344: FP = 1.3344, NO = 1.3344, NH = 1.3344, NC = 1.3344, NL = 1.3343
[5] 03/01/2011 18:05:00 OnExecution: Ex = Enter long limit: 1min
[5] 03/01/2011 18:05:00 OnPositionUpdate: Pr = 1.3344, Pos = Long
[5] 03/01/2011 18:05:00 Fill.Sell 1 Stop @ 1.3342: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3344, NL = 1.3343
[5] 03/01/2011 18:05:00 Fill.Sell 1 Limit @ 1.3346: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3344, NL = 1.3343
[1] 03/01/2011 18:09:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3344, C = 1.3344, L = 1.3343
[5] 03/01/2011 18:05:00 Fill.Sell 1 Stop @ 1.3342: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3344, NL = 1.3343
[5] 03/01/2011 18:05:00 Fill.Sell 1 Limit @ 1.3346: FP = 0, NO = 1.3344, NH = 1.3345, NC = 1.3344, NL = 1.3343
[5] 03/01/2011 18:10:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3345, C = 1.3344, L = 1.3343
[5] 03/01/2011 18:10:00 Fill.Sell 1 Stop @ 1.3342: FP = 1.3342, NO = 1.3343, NH = 1.3345, NC = 1.3345, NL = 1.3342
[5] 03/01/2011 18:10:00 OnExecution: Ex = Stop loss
[5] 03/01/2011 18:10:00 OnPositionUpdate: Pr = 0, Pos = Flat
[1] 03/01/2011 18:10:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3344, C = 1.3344, L = 1.3344
[1] 03/01/2011 18:11:00 OnBarUpdate: LP = 1.3344, O = 1.3343, H = 1.3344, C = 1.3344, L = 1.3343
[1] 03/01/2011 18:12:00 OnBarUpdate: LP = 1.3344, O = 1.3343, H = 1.3344, C = 1.3344, L = 1.3342
[1] 03/01/2011 18:13:00 OnBarUpdate: LP = 1.3344, O = 1.3344, H = 1.3344, C = 1.3344, L = 1.3344
[1] 03/01/2011 18:14:00 OnBarUpdate: LP = 1.3344, O = 1.3343, H = 1.3345, C = 1.3345, L = 1.3342

[NinjaTrader_Matthew]

Hello,

Thank you for your post.

From the description in your post, these results are expected. Since you are running this on a 5 minute time, you will only see your stops and targets updated on the 5 minute time frame. Backtesting is Calculate On Bar Close True in all cases.

Since your entry order is sent on the 1 minute time frame, you will see these the entry order filled in minute intervals (8:08), however since the primary data series for the backtest is a 5 minute series, and your stops and targets are set in Initialized, you will only see these update in a 5 minute interval.

I'm including a link to our reference sample on 'Separating logic to either calculate once on bar close or on every tick':

http://www.ninjatrader.com/support/forum/showthread.php?t=19387

Please let me know if you have any questions.