Expired contracts in secondary timeframe

[marcoheimann]

Hi,

Today I'm running into a strange issue. What happens is the following: I'm working on a multi time frame strategy that trades intraday around Monthly OHLC prices in ES. I have intraday data for expired contracts back to 2008 and backtest with merge backadjusted set t true.

What happens is that I don't see any trades before 11-2009 even though there should be. I checked that I have both daily and minute data the instrument manager.

When I tried to print() the OHLC in every update of the monthly timeframe I get correct prices untill 11-2009, but not before. Is there anything i oversee?

Marco

[NinjaTrader_PatrickH]

Hello Marco,

Thank you for your post.

What period types are added into your strategy? Just Minute and Day, or is Tick added as well?

What are your From and To dates set to on the Backtest properties?

Does this also occur when testing the same From and To dates with the SampleMaCrossOver?

I look forward to your response.

[marcoheimann]

Hello Patrick,

I add 1 minute and 1 month Periods. And I backtest from 1440 timeframe. There is no tick data since I have only one year of it.

I test the ES 03-13 from 01.01.2008 to 02.25.2013 (today). I also tried ZB, same issue.

It does not occur in sample MA strategy tested in 30 min and daily timeframe. It did not occur with some of my other intra day strategies either.

Marco

[NinjaTrader_PatrickH]

Hello marcoheimann,

Thank you for your response.

I recommend debugging this strategy to determine exactly why the trades do not occur before 2009.

For information and tips on debugging your strategy please visit the following link: http://www.ninjatrader.com/support/f...ead.php?t=3418

Please let me know if you have any questions.

[marcoheimann]

Patrick,

I feel kind of stupid now. Just saw that I had the min bars required set to default (20) during backtesting.

Sorry for bothering you,

Marco

[NinjaTrader_PatrickH]

Hello Marco,

I am glad you were able to resolve this matter.

Please let me know if I may be of further assistance.