First Attempt at Multi Timeframe

[Michael23]

Hello,

I've been trying to code a strategy that uses a multi timeframe for the first time and have run into a problem:

For some reason, simply adding any "Add()" to my Initialize function seems to completely change my backtesting results.

In my OnBarUpdate(), I have

if(BarsInProgress > 0)
     return;
else if (BarsInProgress == 0)
{
     //everything else
}

More specifically, when my Initialize function has nothing in it but "CalculateOnBarClose = true;", the backtesting returns 13 trades. However, when I add "Add(PeriodType.Day, 1);", it reduces to 3 trades. And, "Add(PeriodType.Day, 10);" reduces it to 0 trades.

However, if I'm understanding multi timeframes correctly, none of those Adds() should even do anything due to the "if(BarsInProgress > 0) return;" in my OnBarUpdate(), right?

Do you see something obvious I'm doing wrong, or do you need more information and for me to post the complete code?


By the way, is there a way to change the default Backtesting values in Strategy Analyzer, or to at least save my last used ones? Every time I start NinjaTrader and run backtesting in the Strategy Analyzer, I have to reset my session begins and ends times, account size, slippage, etc.

Thanks for any help you can provide,

Michael

[NinjaTrader_RyanM1]

Hi Michael,

What is most likely happening is that the Strategy will use the setting "Minimum Bars Required" for all bars in the series. This is 20 by default.

This means for your 10-day bars series, it requires 200 days before the strategy will start. You're inadvertenly reducing the history available to test by using the add method here.

Unfortunately there is no way to save backtest settings in between sessions. This is coming with NinjaTrader 7.

[Michael23]

Great - thanks, Ryan!

One more question: I haven't been able to get commissions to work.

I use Ameritrade, and in Tools->Options->Commission, under Stocks - TD AMERITRADE, I set Minimum Commission to 5, with "no commission levels defined" since it's a flat fee of $5 per trade. Similarly, in Instrument Manager, under the Misc tab I set the Ameritrade commissions for the specific stock that I'm using in my backtesting.

However, when I backtest, the Strategy Analyzer reports $0 total commission. I'm connected to Ameritrade and I've set include commission to true.

What am I doing wrong?

Thank you,

Michael

[NinjaTrader_RyanM1]

Hi Michael,

You will have to define a commission level. You should be able to define one level at $5 with Units at 0.

[Michael23]

Thanks, Ryan.

I tried that and it gives an error and says the program needs to be restarted.

I just emailed tech support with my log file.

Thanks,

Michael

[NinjaTrader_RyanM1]

Thanks, Michael. We'll continue from the email you sent to support.

[sjmuk]

Returning an MTF value

Hi,

Can someone tell me where I can find out more info about returning a value for an indicator in one time frame (larger) to use in a strategy for another time frame (smaller)?

thanks

[NinjaTrader_RyanM1]

Hello Sjmuk,

Please see these articles on this topic.

Multi time frame and instruments.

Exposing Indicator values that are not plots.