Backtesting & Spreads:

GAVETSO

Member

Join Date: Jun 2012

Posts: 36
#1

Backtesting & Spreads:

01-24-2013, 03:24 PM

Backtesting & Spreads:

If Ninja dos not support options trading (spread). How could i calculate my backtest results correctly? i have a couple of strategies in range 4, generating 70% per month (backtest) performing in the lowest time of the market. but it is useless in the real life. and is not because "slippage". it is the spread: Two ticks lost, for each one operation, into 30 operations per day its a lot of money.
I am Wrong? Some advices? sorry for my bad english.
Tags: spreads
NinjaTrader_Joydeep

NinjaTrader Customer Service

Join Date: Dec 2011

Posts: 3286
#2

01-24-2013, 03:31 PM

Hello GAVETSO,
Unfortunately NinjaTrader does not holds the bid ask data natively. You can add a bid/ask series using the Add() methods however you may witness data synchronization scenarios.

NinjaTrader Version 7

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?add3.htm

JoydeepNinjaTrader Customer Service
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