Maximum look back and multi time frame

[Lionel92]

Hello

I am running backtests on a multi times frame strategy and facing memory issues when i extend the backtest period.

Backtest is running on 1 Minute bars and I have also added indicators on 5 minutes and 30 minutes bars.

If I activate the 256 bars max look back period option what would be the consequences on the 30 minutes times frame indicators (256 bars or 256/30 = 8 bars ?)

Thanks in advance

Lionel

[NinjaTrader_Bertrand]

Hi Lionel, irrespective of the time frame your data series objects would hold only 256 bars in memory thus giving a considerable savings compared to inifnite especially on longer backtests where series used would be longer. Unless you specifically needs those long lookbacks, I would definitely try working with 256.

[Lionel92]

Hello bertrand

Just to be sure, lets imagine that in a 1 minute backtest, I am using a SMA(100) based on 30 minutes bars
will it be properly calculated if the 256 max look bar flag is set to yes ?

Lionel

[NinjaTrader_Bertrand]

Do you store the SMA in a custom series that is tied to your 1 minute series? Then I would suggest going with infinite on that.