How to modify and retest an ATM strategy

[cassb]

Here's a trick I'd like to do. I manually entered several orders today using a particular ATM strategy. I would like to see what would have happened today if I had a different trailing stoploss on my strategy. Is there a way I can rerun today's market through the strategy analyzer, where it would find my order entry points, then apply a different stoploss/strategy for that order?

Thanks!
Bryan

[NinjaTrader_JoshP]

Hi cassb,

What you can try instead is to use the Market Replay facility we have available in NinjaTrader. Record the live data and then you can replay it whenever you want. Run as many changes you want.

Alternatively, you can also try setting up multiple Sim accounts. Each sim account will be linked to a variant of your trailing stop and then you can see how trades are different with your different stops.

Hope that helps.

[cassb]

In this same vein -- I have a question about Strategy Analyzer vs. Market Replay.

In Strategy Analyzer, does it backtest tick by tick, or bar by bar? Because when it places an order with a stoploss, and the stoploss price falls within the bar that the order was placed in, it always stops out the order for a loss even though in realtime it would not have.

If this cannot be changed, then how do you backtest a strategy as if it were executing in a tick by tick market? Market Replay again in the Strategy Analyzer?

[NinjaTrader_JoshP]

Strategy Analyzer is done bar by bar. This is the nature for backtesting. Please see this article about the differences between backtesting and real-time: http://www.ninjatrader-support.com/H...sBacktest.html

If you wish to backtest with a tick-by-tick logic you will need to use multi time frames with one of them being 1tick. This will take a lot of CPU time and a lot of memory to run on more than a few days of data. Alternatively, you can just forward test using Market Replay since it will mimic being real-time.

[cassb]

Alternatively, you can just forward test using Market Replay since it will mimic being real-time.

OK, so I recorded market data yesterday and today. I am attempting to play back today's market with my two strategies running. I have selected the strategies and started the market replay. However, it's not placing any of the stop orders that my strategy should be placing, unless I open the strategies window and click the "Apply" or "OK" button. Then it seems to go back and place the stop orders correctly up to that point in time. When I resume the market replay, it will fill those orders correctly, but will not place any new orders until I go back to the strategies window and click "Apply" or "OK" again.

Why will it not place these orders as the replay is happening in simulated "real-time?"

Thanks,
Bryan

[NinjaTrader_JoshP]

Any error messages in your Control Center Logs tab?

[cassb]

No. Just the "Starting NinjaScript strategy..." message.

[NinjaTrader_Ray]

Add some Print() statements in your strategy to confirm that specific areas of your code is being reached in real-time, also enable TraceOrders property to verify that order methods are being called.

[cassb]

OK, I added some Print() statements to debug it. It seems that when running in real-time, this function returns 0 for every OnBarUpdate() call. But when I open the Strategies window and click OK or Apply, the process goes back and 'reruns' all of the bars up to the current time and the function does return the correct values. So does this function not work in real-time then?

Swing(5).SwingHigh[0]

[NinjaTrader_Ray]

According to the Help Guide a zero value is returned under the following conditions.

* A return value of 0 (zero) will be returned if the CurrentBar is less than the "strength" value or a swing pivot has not yet been found.

[cassb]

No, this happens throughout the whole replay of the day. It never returns anything but 0 regardless of the number of bars or the Strength setting. I have the Swing indicator also on the chart and it is working fine and showing swing levels.

Could this be a bug? Want me to create a strategy with this indicator in it and send it to you?

[NinjaTrader_Ray]

- Can you confirm that you are running NT 6.5.1000.1? If not please upgrade and see if the problem still persists.

[cassb]

- Can you confirm that you are running NT 6.5.1000.1? If not please upgrade and see if the problem still persists.

Yes, I am running v6.5.1000.1.

[NinjaTrader_Ray]

I tested this on real-time feed and it works as expected. Can you test on real-time (not market replay and see if you get the same result), keep in mind, there must be some amount of historical data on your chart.

[cassb]

OK, I don't have time to do it until next week... but you can try your strategy on Market Replay and see if you get the same result as I did though. Just set it to 500x speed and you'll know pretty quick.

Bryan