Back Testing questions

[blarouche]

Hi all,


I have a few questions about backtesting with Ninja.

First I would like to know how to backtest an intraday strategy. I have a strategy applied to the 1 minute chart but my entries and stops must be managed in ticks terms because I am taking very short term profits ( 3 ticks on the ES ) and stops are very tight. An entry and a stop could happen on the same bar so the underneath tick movement inside a 1 minute bar is essential to know if we want to replicate realistically this strategy as it would have happen in real time.

What do I need to set up in Ninja to replicate this simulation ?

Thks

Bernard

[NinjaTrader_Bertrand]

Bernard, for this please check out how to add a the tick timeframe granularity to your 1 min chart - http://www.ninjatrader-support2.com/...ead.php?t=6652

[blarouche]

System crash

Bertrand,

I tried that but got a system crash !

I added in the initialization method :

Add(PeriodType.Tick,1);

On Stops management code I made sure I used the Tick data :

if(BarsInProgress == 1)





Bernard

[NinjaTrader_Bertrand]

I guess you added too much tick data so you ran out of memory, please try using a smaller 'daysBack' setting when loading up the strategy on the chart.

[blarouche]

I'll try that




Thanks

[blarouche]

System crash

By the way I am just woudering if what I do is right.

It's been now a few times that my system crashed and when I reopen Ninja I can't get it right because it tries to reopen the workspace I was working on before the crash happened. The only way I could have access to Ninja again is to delete the XML default workspace file.

Am I doing the right thing or is there a better way to do it ?


Bernard

[NinjaTrader_JoshP]

Bernard,

A 1-tick series is extremely resource intensive. If you are loading many days of 1 tick for a heavily traded instrument you could easily run out of memory causing the issues you experience. NT7 will improve memory management and have other improvements to allow you to pull up more data, but the fact that 1-tick is still resource intensive remains.

[blarouche]

Josh

I know it depends on your computer but on an average computer how many periods of ticks data would you consider acceptable.

When I had my crash I was looking at three months of ticks data





Thks


Bernard

[NinjaTrader_Bertrand]

Bernard, I would start with 2-3 weeks using for example 50 tick data (should be granular enough to 'look inside' the min bars for executing trades to).

[blarouche]

Bertrand


What do you mean by 50 Tick data




Bernard

[blarouche]

Bertrand

Do you mean


Add(PeriodType.Tick,50);


which would mean that I would have each 50 ticks inside the bar ?

I am a bit confuse


Bernard

[NinjaTrader_Bertrand]

Yes Bernard, this is exactly what I meant, a 50 tick chart. If you limit your backtesting to 2-3 weeks of tickdata you should be good.

[blarouche]

OK Thanks Bertrand

I will do that tonight though because I do not want to have a crash while I am trading.




I'll come back with the results tonight or tomorrow


Thks again

Bernard