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How to backtest a strategy using 15 years of ES data

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    How to backtest a strategy using 15 years of ES data

    Hi all, I have been working on a strategy (on NT8.1.2) and want to backtest it using the past 15 years of ES data, after some googling I still couldn't figure out what is the best way to get the needed ticks data.

    1. first of all, which connection should I use when running the backtesting? "Playback" or my live connection (I use Rithmic), or "Simulated Data Feed"?

    2. it looks like "Market Replay data" is more accurate than "Historical tick data" is in terms of backtesting, according to here? https://ninjatrader.com/support/help...gHowThePlaybac

    3. if answer is Yes for question 2, how to get the past 15 years of "Market Replay data" for ES? it looks like in NT8 I can only download the past 3 months of "Market Replay" data..

    Appreciate your help!
    Last edited by diabloooo0; 03-31-2024, 06:39 AM.

    #2
    Hello,

    To clarify, are you using the 'strategy analyzer' window to backtest or are you looking to run your strategy over a amount of time while playing back data with Market Replay? For reference, Market Replay only provides 90 days of data.
    Ryan S.NinjaTrader Customer Service

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      #3
      Originally posted by NinjaTrader_RyanS View Post
      Hello,

      To clarify, are you using the 'strategy analyzer' window to backtest or are you looking to run your strategy over a amount of time while playing back data with Market Replay? For reference, Market Replay only provides 90 days of data.
      Hi Ryan, thanks for reply! Short answer is I think eventually I will need to use both 'strategy analyzer' window and review the entries on chart window itself (for e.g. in Market Replay or other connections like Simulated). Right now I still developing the strategy, I want to make sure the code is doing what I want it to do, so I want to be able to review the entries/exists on the chart on any given date, for e.g. if the strategy has entries on 2023-12-03 on bar 6(5 mins chart), or 2018-04-03 on bar 15, or 2019-05-03 on bar 35, etc, I want to be able to jump to the date on the chart window and review the set up to make sure it indeed is the type of setup I want to enter for this particular strategy. Once I did such review for enough entries and become very confident about my code, I will then use 'strategy analyzer' to run it for the entire period, for e.g. from 2010-01-01 to 2024-01-01. This is my plan at least.

      Comment


        #4
        Hello,

        Below is a guide to accessing our playback feature:



        If you need to test over a longer time frame you would need to use the strategy analyzer to do so.
        Ryan S.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_RyanS View Post
          Hello,

          Below is a guide to accessing our playback feature:



          If you need to test over a longer time frame you would need to use the strategy analyzer to do so.
          Thanks for the info. Are there any recommended third party where I can buy historical tick data for futures?

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