Realistic Back-Test

[MGDavid]

Hi all,

I have a small issue. I was developing a simple strategy with stop loss. When i back test this strategy i see the next problem:

If the market open below my stop loss the NT does the next:

( You can see the screen shoot called "A issue" )

This is unrealistic trade.
I think that this trade shoul be close at the open of first bar at market.
Is that possible ?

Thanks for your help.

[NinjaTrader_Dierk]

Please post a screenshot of your strategy settings dialog.

[MGDavid]

Ok Dierk

This is a screen shot of the "set up" and another trade with mistake.

[NinjaTrader_Dierk]

The backtest scenario does not match the real market since your stop (if you had it placed in a real market) likely would have been triggered around your stop price.

This is just a limitation of what backtesting can do. Please read more here: http://www.ninjatrader-support.com/H...sBacktest.html

[MGDavid]

Hi Dierk

I understand what do you say me.

Where you say :

“- in a real market your stop could have been triggered at any price between your stop price and the opening of the next day”

You have reason but all markets do not negociate 24 hours.

For example FDAX close at 22:00 PM o clock and open at 8:00AM o clock.
There is not negociate between 22:00 PM and 8:00AM.
If this market open below your stop then... you should close your trade on the open of the first bar.
In this case the back-test of “Strategy Analyzer” is very unrealistic because i unknow the maximun loss of the strategy in a worst gap.

I think that this is a mistake on Swing Trading strategies.


I think that the strategy should can to choose between these two types of markets.
May be this would be a good solution.

Thanks for your reply, thanks for your help and sorry for my painful English

[NinjaTrader_Dierk]

- you could get around that issue by setting Exit On Close = true.
- you don't know how the market would have traded as you had your order live. May be it had opened at a different price.

[MGDavid]

Hi.

I understand you , thanks for your reply.

But i have a big problem. ¿ Can i do a realistic back-test trading stocks with stop orders ?.
If the stock open below my stop loss then ... the back test will be unrealistic, because i do not close this position between close of today and the open of tomorrow. I need close this position at open of the next bar.

In the next screen shot i do a back test with another software.

This is a symple method . Buy at stop at the highest of 20 bars and sell at stop at the lowest of 20 bars. The back test is correct and the systems close the position at the open of tomorrow.
I think that NT should do this.

¿ Can i do this with NT ?.

Sorry for my english and thanks for your time.
Regards

[NinjaTrader_Dierk]

The situation can not be handled realistically, since you don't know how the market would have traded if you had you stop order in place. Assuming that the order would have been filled at the open of the next day is - to the best of my knowledge - just not realistic.

I suggest revising your strategy so that the overall profitability is not dependent on situations like these.

[MGDavid]

I understand you Dierk !

Thanks for your fast reply !.

Regards

[NinjaTrader_Dierk]

You're welcome.