Multi Instrument Time Series

[fercho]

Hi,

When backtesting a strategy with multi instruments on it, NT only reports trades from the less period database instrument.

I imagine ninjatrader pairs all instruments from the most recent data instrument ?

if so, is there any way that ninjatrader don`t do it, and takes each complete instrument database without cuts ?

thanks in advance.

Fer

[NinjaTrader_PatrickH]

Hello Fer,

Thank you for your post.

Are you referring to Futures instruments and NinjaTrader merging the previous contracts?

[fercho]

Hi Patrick, nope just for stock in daily database.

For example, two stocks AAPL and MSFT.

AAPL having daily data from 1980 and MSFT from 1990.

Add both instruments to initialize in a strategy, but I only get backtest result from 1990 altought AAPL daily database is from 1980.

My question is, NinjaTrader groups both database from the most recent one (MSFT) and from that date starts ?

Thanks.

Fer

[NinjaTrader_PatrickH]

Hello Fer,

That is correct, the calculations are performed on both sets and you likely have if(CurrentBars[0] <= BarsRequired || CurrentBars[1] <= BarsRequired) in your code, which means both bar series need to have enough bars before the calculations are made.

[fercho]

Hi yes I had deleted the "if(CurrentBars[0] <= BarsRequired || CurrentBars[1] <= BarsRequired)" and I still have the issue

Any way to fix it ?

[NinjaTrader_PatrickH]

Hello fercho,

Thank you for your response.

The CurrentBars is only an example, there is no method around this as it is expected behavior. If you are loading additional bar series the code will need both sets of data to begin the calculations.

[fercho]

Thanks Patrick I imagine that there´s no way to fix that, the only method is backtesting individual instruments apart and with an Excel add the trades and do the math, I guess....

Thanks again for fast support.