Is there anyway to use minute fill data on a 5 minute or any longer time frame backtest strategy? In addition is it possible to change the fill algorithm from greedy(profits taken before losses) to conservative(losses taken before profits)?
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Set Profit vs Stop Loss Greed in Strategy Analyzer
I am running a strategy backtest on 5 min bars where I enter a limit order, and a profit and stop order along with that. It looks like some bars I could be getting stopped out or profiting, depending on how ninjatrader's fill algorithm works for the backtest.
Is there anyway to use minute fill data on a 5 minute or any longer time frame backtest strategy? In addition is it possible to change the fill algorithm from greedy(profits taken before losses) to conservative(losses taken before profits)?Tags: None
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habibalex, per default the fill algorithm is set to 'Default' which means we take a conservative assumption in regards to limit order fills. To simulate better getting filled intrabar you can add a finer series in and submit your orders to it - http://www.ninjatrader.com/support/f...ead.php?t=6652
Both fill algorithms offered are explained more here - http://www.ninjatrader.com/support/h...ll%2BalgorithmBertrandNinjaTrader Customer Service
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