I add all the instruments during the initialize method. Is there a way to get around so that we can backtest from the entire period of the instrument with the longest history?
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Multiple Instrument Strategy backtesting
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Multiple Instrument Strategy backtesting
When testing a strategy with multiple instruments where not all the instruments have the same history, the strategy seems to start only from start of history of the instrument with the least history.
I add all the instruments during the initialize method. Is there a way to get around so that we can backtest from the entire period of the instrument with the longest history?Tags: None
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Hello,
This would depend on your scripts logic. Your script will begin processing as soon as the primary series has enough data loaded.
If you aren't using the other instruments for cross calculations you could do a batch backtest by backtesting the instrument list instead of an individual instrument.
If you do need to do cross instrument calculations you may run into out of bounds errors if not all series have enough bars loaded.LanceNinjaTrader Customer Service
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