Strategy not entering trade

[yeohass]

Hi

I am backtesting a strategy that uses EnterLongStop to enter a trade, and ExitLongStop & ExitLongLimit to manage and exit the trade.

The strategy works on the whole, but I have one instance where the strategy thinks it has entered a trade (supported by confirmation of order.OrderState = Filled and Position.Quantity = 1 both at 22/03/2013 1:07:07 AM in the output window, however Trace Orders shows an internal PlaceOrder has been entered at 21/03/2013 11:59:36 PM.)

Also, this entry does not appear on the chart. Additionally, at the end of the day the strategy enters a short trade called "Exit on close" (there are no EnterShorts in my strategy) which I assume is to close out the long it thinks it entered into earlier in the day. This new trade is then closed at the open of the next session.

I'm not too sure what's happening and I wondered if you could help me work it out? I've attached a snippet of the output window below

Thanks

Time = 22/03/2013 1:07:07 AM
CB = 393
NEW STOP = 1.2917
21/03/2013 11:59:36 PM Entered internal PlaceOrder() method at 21/03/2013 11:59:36 PM: BarsInProgress=1 Action=Buy OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=1.2920 SignalName='Trade393' FromEntrySignal=''
trade = 1
CB = 393
Time = 22/03/2013 1:07:07 AM
order.Name = Trade393
order.OrderState = PendingSubmit
Position.Quantity = 0
trade = 1
Time = 22/03/2013 1:07:07 AM
order.Name = Trade393
order.OrderState = Accepted
Position.Quantity = 0
trade = 1
Time = 22/03/2013 1:07:07 AM
order.Name = Trade393
order.OrderState = Working
Position.Quantity = 0
trade = 1
Time = 22/03/2013 1:07:07 AM
order.Name = Trade393
order.OrderState = Filled
Position.Quantity = 1
trade = 1
Time = 22/03/2013 1:59:56 PM
order.Name = Exit on close
order.OrderState = PendingSubmit
Position.Quantity = 1
trade = 1
Time = 22/03/2013 1:59:56 PM
order.Name = Exit on close
order.OrderState = Accepted
Position.Quantity = 1
trade = 1
Time = 22/03/2013 1:59:56 PM
order.Name = Exit on close
order.OrderState = Working
Position.Quantity = 1
trade = 1
Time = 22/03/2013 1:59:56 PM
order.Name = Exit on close
order.OrderState = Filled
Position.Quantity = 0
trade = 1

[yeohass]

Chart

Here's a picture of the chart. The arrow on the left is where the trade should have entered.

[NinjaTrader_JC]

Hello yeohass,

When Backtesting or any Historical data processing on bar types like LineBreak, Renko, Range etc can return results that would not reflect what would happen in the real-time market. When running on Historical Data you just get a snap shot of the bar that printed not each tick that made up that bar.

The most accurate results for testing your strategy is by using the Market Replay feature inside of NinjaTrader. The link below goes over the Market Replay that you may view.

http://www.ninjatrader.com/support/helpGuides/nt7/market_replay.htm

If you still want to use backtesting you may want to backtest your strategy with intrabar granularity for better fills, and an example of this can be found at the following thread.

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

For information on the discrepancies between real-time versus backtest please visit the following link:

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

The following thread also talks about backtesting with Renko Bar types that you may view for an example.

http://www.ninjatrader.com/support/forum/showthread.php?t=49420

[yeohass]

Hi JC

Thanks for your response.

I understand the restrictions of backtesting and how it won't always represent real time trading, however my biggest question would be why the strategy seems to be trying to enter the trade at a time that has already passed -
manually added time stamp states 22/03/2013 1:07:07 AM, however trace order states 21/03/2013 11:59:36 PM.

Also, just to let you know, I am entering trades intrabar. My strategy has a 1 tick chart added, and it is on this data that trades are entered.

Thanks

[NinjaTrader_JC]

Hello yeohass,

The TraceOrder log is going to be when the Enter() method was called on the bar time, not the orders are filled.

How are you checking your orders manually?

[yeohass]

Hi,

I'm using order.OrderState.

My print functions start with a timestamp (Time[0]). Please take a look at the output snippet in my first post, in particular line 1 vs line 4. Please also note that CB refers to CurrentBar, and on line 2 this is 393, which is the bar on the range chart that completes at 22/03/2013 1:07:07 AM (the same as the timestamp on line 1). So line 4 (the trace order output) is way out of sync?

Thanks

[yeohass]

Date range

The other thing I have noticed, is that this behaviour only occurs when the date range of the test data exceeds the date in question (22/03/2013). If my date range doesn't exceed this date, then the trade occurs how it should.

Attached are two charts with the same strategy applied,
the first has a date range of 12/03/2013 - 22/03/2013 and the trade occurs as expected,
the second has a date range of 14/03/2013 - 24/03/2013 and has the strange behaviour occurring.

Thanks

[NinjaTrader_JC]

Hello yeohass,

I believe the Time differences you see are going to coming from Multi-Series that you are using. So for your output it looks like you are Printing out the Time of the Primary Series as I see the "Time = 22/03/2013 1:07:07 AM" before the TraceOrder log that is being reported. The order seems to be placed using one time line and it is being filled in the time line that you are checking the current bar on.

[yeohass]

Thanks JC. I had a think about what you said, and also about my discovery of the impact of different time ranges.

I added Times[0][0] and Times[1][0] as two different printouts, and discovered that Times[1][0] is getting "stuck" at 21/03/2013 11:59:36, while Times[0][0] continues. As my strategy is set to enter the trade on BarsArray[1], this would explain why the TraceOrder is showing the trade trying to enter in the past, and not entering.

I thought this might be to do with session templates originally, but I have checked the times, and midnight is not a parameter.

Any idea why this behaviour is occurring? I have reloaded historical data, but this has not helped.

Thanks

[NinjaTrader_JC]

Hello yeohass,

It is hard to say, but the easiest way to be able to visualize this and check the data would be to add the Time Frame to the Chart. To conserve memory NinjaTrader will use the Data Series on a chart rather than building it from scratch via script.