Problem with Strategies over indexes

[cls71]

Hello,

I am testing some strategies over forex and futures and they work good.
However they don't work over indexes ( DJIA, SP500, NDX, ...), only plotting.
(I have tested standard strategies like SampleMACrossOver)

pls, any idea ?

Thanks very much.

[NinjaTrader_JoshP]

If you run a modified version of SampleMACrossOver with TraceOrders = true you will see the reason.

You should get this message: 4/18/2008 12:58:00 PM Ignored PlaceOrder() method: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='' Reason='You can not place order for index instruments'

[cls71]

Thanks Josh

[Anagoge]

I found a workaround for this issue. Create a new instrument for your index. I created one named "SPX" and set the instrument to be a Stock type and setup the Yahoo symbol for the index (^GSPC) on the "virtual stock". Then, when downloading the data for the instrument, it gets the index data from Yahoo, but NT treats it as a stock, so it allows "trading the index" for backtesting purposes. I needed this because I had to compare trading the "pure index" to several derivatives that track it.