Swing Indicator

[marcoheimann]

Hello,

I would like to understand how the swing indicator is processed during backtesting. I read that it is biased because it is calculated with values from future bars. I always understood that, being event driven, backtests in NT are market like.

Does NT calculate at a point t with the swing value that is known at t+1? or the one known at t? This make a major difference since the first would lead to a future bias whereas the second would not.

Thanks,

Marco

[NinjaTrader_Lance]

Hello,

The swing indicator will likely not be effective when backtesting as its use is designed for display purposes. In other words it will plot the swing after the fact. For example if you used the default of 5 strength you wouldn't have the value plotted until 5 bars later than the swing point.

If you want more details on how the swing plots its values you can go to tools -> edit ninjascript -> indicator -> swing

Let me know if I can be of further assistance.

[marcoheimann]

Hi Lance,

Thank you for coming back to me that soon.

I understand the swing indicator and it seems normal to me that swing highs are plotted after the 5 following candles made lower highs. That's inherent to the definition of a swing.

My question was more related to how this is processed when backtesting. In your example, if today (04.01.13) a swing high is detected and plotted after the fact for last monday (03.25.13). Now if I open strategy analyzer and backtest a strategy that calls the swing high on each bar close, what will be the value returned last monday (03.25.13)? (-1 because there was no swing known so far on that date or the swing high that was confirmed later (04.01.13))?

I hope I express my question clearly enough.

Marco

[NinjaTrader_Lance]

It will return the previous swing value and won't be different in backtesting in this regard.

For example if I did the following within a strategy

Print(Time[0] +" "+Swing(5).SwingHigh[0]);

I could then see the time stamp printed tot he output window along with the current bars most recent labeled swing value. It would not be able to pull future data (even though it exists) to see if it is currently at a swing point.

Let me know if this doesn't fully clarify your question.