Backtest issues

[kenb2004]

I've been backtesting strategies and have had a re-occurring problem. If I have a ProfitTarget set for 8 ticks from a buy entry, the backtest is showing a profit price on the same bar but the bar closes down. The entry price is hit on the way down and never goes back up to reach the ProfitTarget, but because both the entry price and the entry price + 8 ticks were present on that same bar (1 minute), the NinjaTrader Strategy Analyzer gives me a Bogus Profit. And it does this so frequently that it is basically rendering the backtest useless.

I have gone back and looked at a 5 sec chart to confirm that the order in which the prices occurred would NOT yield a profit even though the NinjaTrader Strategy Analyzer says it would, because the ProfitTarget price occurred BEFORE the buy entry on the same 1 minute bar. How can this issue be resolved. Would using the Unmanaged Approach solve this problem in backtesting or what do you suggest?
Thanks

[NinjaTrader_RyanM1]

Hello Ken,

Yes, you may notice discrepancies between backtest and real time operation. Only the four data points OHLC are known, and not the sequence.

To work around this you may consider running your strategy against market replay connection to simulate the real time operation.

You can also add a secondary series for intrabar granularity. We have a sample available that discusses that here:

http://www.ninjatrader-support.com/vb/showthread.php?t=6652

[kenb2004]

Why doesn't NinjaTrader use tick data for back testing intraday strategies? Is there any plan to in the future?

[NinjaTrader_RyanM1]

The capability currently exists with custom programming. Thank you for the suggestion to integrate this into the engine. I will forward to our development team.

[kenb2004]

Is there a sample of this custom programming?

[NinjaTrader_RyanM1]

Yes, provided in my first reply:

http://www.ninjatrader-support.com/vb/showthread.php?t=6652

[kenb2004]

I can see that "entries" are affected by this SampleIntraBarBackTest but what about exits? If I use a 5 Second secondary bar series how are ProfitTargets and StopLosses affected in BackTest vs RealTime? Will this solve the BackTest Issue as described below?

[NinjaTrader_RyanM1]

For submitting exits to secondary series, you have to move away from Set statements and use ExitLongStop() or ExitShortStop(). Both offer overloads that allow you to submit to a secondary series.

ExitShortStop(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double stopPrice, string signalName, string fromEntrySignal)

[kenb2004]

How about ProfitTargets? Will ExitLongLimit() work? Does ExitLongLimit() offer overloads that allow you to submit to a secondary series?

[NinjaTrader_RyanM1]

Right - for profit targets the same applies so you will have to use ExitLongLimit(), ExitShortLimit()

EnterLongLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName)

[kenb2004]

So the answer to my question in Post #1, "Would using the Unmanaged Approach solve this problem in backtesting?", the answer is: Yes, the only way to get an accurrate backtest is to use the UnManaged Approach with a secondary data series to backtest an intraday strategy. Is this correct?

[NinjaTrader_RyanM1]

No, the unmanaged approach does not provide you increased granularity in backtesting. Unmanaged approach is typically only used when NinjaTrader's internal order management rules prevent you from submitting orders as desired.

[kenb2004]

So "EnterLongLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName) " is Advanced Order Handling but NOT UnManaged? Is this correct? Help me get to the bottom line, please. You understand my backtest issue, just tell me how to solve the problem until your development team puts tick data into the backtest. What's the best work-around for now?

[NinjaTrader_RyanM1]

Hi Ken,

Yes, we've been discussing this in this thread.

• Add a secondary series that's smaller than your primary series.
• Submit exit orders to this series.
• This does not require unmanaged orders.