Backtesting Multi Time Frames

[birdog]

Hi:

When using multi time frames in a strategy, does NT backtest them properly or does it only look at the primary bars in backtesting?

Please let me know and what, if anything, needs to happen in order to backtest multi time frame strategies.

Thanks...

[NinjaTrader_Lance]

As long as you expect that Calculate on Bar Close is always true, then yes backtesting over multiple series will typically backtest properly. Just as properly as doing a single series backtest except using multiple series would allow you to possibly get more accurate with intrabar data.

Example of this:

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

Things to note when backtesting:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?discrepancies_real_time_vs_bac.htm

The only reason I don't say "always" is because I'm sure there are cases that might cause issues when dealing with some custom bar types.

[birdog]

Ok...will NT stock Line Break as a primary bar and then as secondary bars a regular daily and 60 min on the bar array work ok?

Greg

[NinjaTrader_Lance]

Assuming the script was programmed properly they should.

One thing I do want to note about the line break is that there can often be differences in a line break chart from real-time and historical data. Just like tick charts as data loads in real time and your computer plots the tick data if you were to reload it the charts may not be identical.

The order of the series won't be as important except in instances when all three bars close at the same time. The way in which you handle each will matter.