Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

forex backtesting with spread

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    forex backtesting with spread

    My forex broker doesn't offer fixed spreads.

    I'd like to backtest forex strategies and have forex bid/ask tick data to import.

    Do I need to import the bid and ask data separately by creating two different instruments $EURUSD-bid, $EUDUSD-ask ?

    Also, am I right in that strategies based on the spread are then multi-instrument strategies?
    And that the strategy needs to be rewritten for use with real time data?

    thanks in advance!

    #2
    Unfortunately to import data you need to import a single price. Please see this link: http://www.ninjatrader-support.com/H...HistoricalData

    In real-time you can access bid and ask prices easily, but for backtesting sake there is no distinction between them. You can mitigate this if it is a requirement by forward testing via Market Replay.
    Josh P.NinjaTrader Customer Service

    Comment


      #3
      Is it possible to back test with certain spreads included? For example I would like to test a strategy using 1-3 spreads. No commission just the spread as a cost. How can I do that?

      Comment


        #4
        Mm. Would just setting the minimum commission as your spread amount suffice in emulating it?
        Josh P.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_Josh View Post
          Mm. Would just setting the minimum commission as your spread amount suffice in emulating it?
          You mean if I have 2 pip spread I should set the commission to $2? Would that be equal to a spread of 2 pips?

          While testing with the sim101 account I encountered a progblem. When using the sim account what base quantity should I use for 100.000 units? That would mean 1 lot? Is it possible to use 10.000 units for example?

          On forward testing i get filled just a few time. NT shows a constant 1 for bid and 1 for ask. Is that the problem why most of my trades in sim account does not get filled? How can I compensate that?

          Comment

          Latest Posts

          Collapse

          Topics Statistics Last Post
          Started by rezamerik, 08-23-2023, 10:33 AM
          15 responses
          1,739 views
          0 likes
          Last Post mfzillln  
          Started by Dutch4756, Today, 04:57 PM
          0 responses
          6 views
          0 likes
          Last Post Dutch4756  
          Started by DerkWehler, 12-04-2024, 09:00 AM
          7 responses
          75 views
          3 likes
          Last Post RobEB
          by RobEB
           
          Started by _Gabor_, 12-03-2024, 12:16 PM
          4 responses
          29 views
          0 likes
          Last Post _Gabor_
          by _Gabor_
           
          Started by trelling, 11-28-2024, 01:50 PM
          6 responses
          54 views
          0 likes
          Last Post trelling  
          Working...
          X