Backtesting on NT 7

[Avn_0903]

When I tried to backtest my strategy on NT 7, there is not the option to choose the time in effect of the day for the strategy to be contained in any more like in NT 6.5. As a result, my strategy exit after the main session ends, which is 4:00 PM. How do I set the time for my backtesting session?

[NinjaTrader_Austin]

Avn, the session template controls the times the strategy is run on.

[Avn_0903]

Which template should I choose if I'm just trading stocks n ETFs?

[NinjaTrader_Austin]

You can browse through what the session templates actually mean in Tools -> Session Manager. If you are just trading stocks and ETFs during regular US trading hours, the US Equities RTH (at the bottom of the list) is probably the one you want.

[Avn_0903]

Another question, whenever I tried to backtest against the ask or the bid price, NT does not generate any signal. However with the last price it does, and the last price usually results in misprints. What do I do to be able to backtest against the bid or the ask price?

[NinjaTrader_Austin]

Avn 0903, I just tried this test:
1) Open NinjaTrader and connect to Zen-Fire
2) New -> Strategy analyzer -> select ES 06-10 and SampleMACrossover
3) Price based on -> change to ask
4) Run backtest

Each setting (bid, ask, last) produced a different set of results.

Then I tried with tick and volume based charts and those worked as well.

Can you try with the SampleMACrossover and verify these results?
Is there anything else you could be doing differently?

[Avn_0903]

I still did not get any results for the ask or the bid. The only thing I have different is that I use IQFeed instead of Zenfire. Do you think this is the cause?

[NinjaTrader_JoshP]

Avn_0903,

This would be the issue then since the IQFeed data provider does not currently support historical bid/ask.

[Avn_0903]

Thanks Josh and Austin for you guys' answers.


I have just backtested ES 06-10 using Zen-Fire against ask/bid data successfully. However when I backtested any stocks or ETFs (RIMM, AMZN, SPY, QQQQ) I still did not get any results. I'm having a demo account with zen-fire right now. Is the demo the problem?

[NinjaTrader_JoshP]

Avn_0903,

Zen-Fire is for futures only so this would be expected that you get nothing for stocks.

[Avn_0903]

So can you guys recommend any data feed for stocks and ETFs? IQFeed is out of the question now since it does not provide historical ask/bid data.

[NinjaTrader_JoshP]

Avn_0903,

For stocks and such,

eSignal provides historical bid/ask tick data.
Interactive Brokers provides some historical bid/ask minute, daily data.

[keene]

You can get 30 days of historical tick data from IQFeed or 5 days during the regular market session. Their data includes transaction price and last bid and ask price. Esignal offers only 10 days of tick data history.

For inexpensive one minute historical data for stocks and ETFs, you can go to either Kibot or Pi-Trading.