Backtesting and Optimizing OFA based strategy

[NoamBarel]

Hi,

I have developed an automated strategy based on OFA Bars,
which is of course an Order Flow chart. (see attachment)
For some reason, the backtest engine doesnt seem to support Volume/ Bid-Ask/ L2 data.
I am getting a clean sheet with no reports when trying to backtest it.

What is the issue here? Is it fixable?


Thanks,

Noam Barel

[NinjaTrader_Bertrand]

Hi Noam, I would expect that outcome since you would not have access to historical Level 1 / Level 2 data to backtest. What you can try running your script in would be the MarketReplay environment.

https://www.ninjatrader.com/support/helpGuides/nt7/market_replay.htm

[NoamBarel]

Hi Bertrand,
Thanks for the quick replay.
Market replay does give me the option to backtest my strategy, but what I really want to do is optimize it.
Is this problem fixable? or will it be fixed in NT8?

[NinjaTrader_Bertrand]

You are correct, replay would provide an option to test a certain set of parameters historically, however not optimized. For our next major platform update historical bid / ask data will be stored with each trade as well as a TickReplay engine can generate Level 1 events from tick data.

[NoamBarel]

Alright, so is it safe to say I will be able to optimize my startegy with the new NT8?
I am asking because I didnt really understand from your answer if both L1 and L2 will be supported
With the backtest / optimize engine on the new NT.