Varying data history lengths

[systemtrader10]

Hi,

NT appears to have the feature that it only tests for instruments added to a strategy when it has all the data for all the instruments in the a strategy.

That is, if I have the whole S&P500 in a strategy and I want to test the last decade of daily data. However, not all the constituents have 10 years of data. NT appears to only test the constituent with the least data. E.g. LYB history only goes back to 2010. Therefore, NT will only start testing when it has that data and not the other constituents which have more data.

What are the options here? I want NT to start testing on the data it has. Is there some sort of override in the backtest?

Thanks,

ST10

[NinjaTrader_Bertrand]

Hi ST10, your understanding is correct here for a MultiSeries script. A workaround can be using a single series strategy and then running a basket test in the Strategy Analyzer with it -

http://www.ninjatrader.com/support/helpGuides/nt7/basket_test.htm?zoom_highlightsub=basket

[systemtrader10]

Hi, thanks Bertrand.

If I understand the functionality correctly that would mean I can’t refer to the other instruments as NT fires a strategy instance for each instrument?

I need to do a compare against the relative performance of the stocks (e.g. if GE has performed better in the last month than HP, buy GE). I don’t think I can do that with the workaround?

Thanks,

ST10

[NinjaTrader_Bertrand]

Hi ST10, that's correct in understanding as well - you would not be able to communicate across the instance in this approach. Wouldn't the missing data be an issue in relative comparisons as well then for you in any case? So I think it would make more sense to trim the list to a time frame for which you would have all data required.

[systemtrader10]

No, the performance is Null and therefore gets discounted by my script.

Other solutions?

[NinjaTrader_Bertrand]

Unfortunately none I'm aware of.