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NS Backtest at a tick level

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    NS Backtest at a tick level

    Hi all,
    I have a NS Strategy and associated indicators which run on a 1 Hour Time Frame (without multi time frame). The enter and exit conditions are triggered intrabar at a tick level (I do not wait for OHLC to enter/exit) and it works as expected. Now I would like to backtest in the past year but historical data has only OHLC information so I cannot enter/exit at a tick level and my backtest is wrong.

    I believed multi time frame (BarsArray, Add…) could solve the problem but at this time I am not successfull because indicators stays in 1 hour time frame…

    So my question is : In a backtest point of view, is there any workaround to update an indicator intrabar (for example a update a basic SMA for each tick on 1 hour Time Frame) ?
    Thanks for your help,
    Next job.

    #2
    NextJob, sorry for our late reply here - there's unfortunately not default way, you would indeed need to simulate your higher timeframe indicator conditions with lower granularity data to be able to backtest intrabar like orders historically.

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