Backtesting data

[sandeshrai]

I am looking to back test my automated strategy with the past 10 years data. I have purchased the data and have the option of downloading 'Pit data', 'Electronic Data' and 'both'. My assumption is that it is more accurate to back test using only the 'Electronic Data' since that is what live automated trading will happen on. Is my assumption correct? Any additional information that will help me take an informed decision will be much appreciated.

[NinjaTrader_Lance]

Hello,

You're going to have to verify this with the data provider to be sure. My assumption is that the 'Pit data' is based on the "Regular trading hours" (typically 9:30am-4:00pm EST) and the 'Electronic Data' is based on the Electronic trading hours as well (trading time varies per instrument)

For details on importing historical data: http://www.ninjatrader.com/support/h...?importing.htm

Let me know if I can be of further assistance.

[sandeshrai]

I created a file in the format ES 12-98.Last.txt and tried to upload the data. But I get the message "Unable to import file 'C:\Users\Sandhesh\Desktop\Tick data\ES 12-98.Last.txt'. Instrument is not supported by repository." Tried adding ES 12-98 to the Instrument Manager, but there is no provision to do that.

[NinjaTrader_Lance]

Hello,

Does this text file contain all your data or just the data from the 12-98 Contract?

[sandeshrai]

Backtesting Data

It contains all the data for 1998.

[sandeshrai]

Backtesting Data

I have actually found out the reason for the error and have fixed. It was to do with the data format. I have now downloaded it in the right format.

I have another question. What should the file name be called if I have to upload data for the last 10 years in one step?

[NinjaTrader_Matthew]

If you want to load it into a continuous contract, you would want to name it:

ES ##-##.Last.txt

Then you can load it in a chart by opening the ES ##-## symbol.

[sandeshrai]

Backtesting data

I need the data for backtesting rather than pulling it on a chart. should I still go with ES ##-##.Last.txt ?

[sandeshrai]

I created a file name ES 03-00.Last.txt. The data is in the format:

19991209 060206;1422.25;0

The file contains data for the period 12/9/1999 - 3/17/2000

I get an error "Unable to import file 'C:\Users\Sandhesh\Desktop\Tick data\ES 03-00.Last.txt'. Instrument is not supported by repository"

In the instrument Manager, I have added the following symbols

ES 03-13
ES ##-##

The instrument manager does not permit me to add ES 03-00 since that option is not available in the 'Expiry' drop down list.

Please advice

[NinjaTrader_Lance]

Hello,

You will have to temporarily change your system clock to a date in the year 2000. (can be done via your clock settings in the bottom right of the taskbar)

Upon doing so, start up NinjaTrader (restart if it is already open) and then add the expiry 03-00 as it will now show in the instrument manager list. Once it has been added to your default list you can re-sync your clock and restart NinjaTrader.

Additionally you shouldn't need the .last extension and will be able to choose the format when importing via the historical data manager.