BackTest bug using Multi-timeframe

[dsidlo]

I believe that I have found a major bug with regard to multi-timeframe back testing.
In the attached document are the details for 3 trades that would have only been successful if the sub time frame bars were processed in the reverse time order.

This bug has plagued me by indicating successful back test results which should not have been and vice-versa. Also, leading me down avenues of code which would not work in the real world.

If I am wrong about my findings, I'd like to get an explanation as to why the back-test process produces such anomalous results.

Check out the document here...

http://www.freedrive.com/file/691518,backtesting-bug-sub-time-frames-processe

[NinjaTrader_JoshP]

Please reattach. Thank you.

[dsidlo]

Please reattach. Thank you.

I've uploaded to google-docs added a link. It was too big for the forum's requirements.

[NinjaTrader_JoshP]

"Sorry, the page (or document) you have requested is not available."

Maybe you could zip it up and try attaching.

[dsidlo]

"Sorry, the page (or document) you have requested is not available."

Maybe you could zip it up and try attaching.

Too large as a zip file as well.
I posted it to freedrive.com. I hope you can download this one.

http://www.freedrive.com/file/691518,backtesting-bug-sub-time-frames-processe

[NinjaTrader_JoshP]

David,

What I suggest you try is to print the time from both time frames and then you can evaluate it exactly step by step.

Add this to your code:

Print(Time[0] + " BarsInProgress: " + BarsInProgress);

Remember, in backtesting if you are submitting to primary it does not consider secondary at all. It just processes from primary bars. If you want the additional granularity in backtesting, please see this reference sample: http://www.ninjatrader-support2.com/...ead.php?t=6652

[dsidlo]

David,

What I suggest you try is to print the time from both time frames and then you can evaluate it exactly step by step.

Add this to your code:

Print(Time[0] + " BarsInProgress: " + BarsInProgress);

Remember, in backtesting if you are submitting to primary it does not consider secondary at all. It just processes from primary bars. If you want the additional granularity in backtesting, please see this reference sample: http://www.ninjatrader-support2.com/...ead.php?t=6652

Thanks, I will review my code with that in mind...

[dsidlo]

Josh,

Thanks for the advice. Being very specific about what time frame to use on the Enter and Exit commands seems to have fixed the issue.

Thanks for the prompt response.