Historical Fill Processing

[zrobfrank]

How far back can I expect the strategy analyzer to accurately report optimizations and backtests if I'm using tick high order fill resolution? I have tested many strategies that seem have drastically different results for three months back than six, nine, or twelve months back. Please let me know. Thank you.

Rob

[NinjaTrader_Jesse]

Hello zrobfrank,

The analyzer processes data the same all the way through the series. If you are seeing differences in results between periods it is likely that is based on the conditions to trade and how they evaluated over that part of the dataset. If you are including more data in each test that can also change results because the strategy will have to process more data and will cause it to evaluate differently than if it was used on a smaller data set.

To use high order fill resolution you do need to have tick data for the full period of time you are testing, if you are exceeding the amount of tick data that you have that could also cause a difference in results.

[zrobfrank]

Jesse,

Thanks for your reply. I guess what I'm asking is how much tick data is available for testing? If I backtest the last 90 days at 1 tick, high resolution, is there accurate data available for that test? If I backtest a year with the same parameters, is tick data available that far back? Thanks.

[NinjaTrader_Jesse]

Hello zrobfrank,

That depends on the data provider, most providers offer less than 1 year of tick data. You can open a tick chart for the full time period you wanted to test to check if it downloads data for that full period.

[zrobfrank]

So just to confirm, if I opened an NQ , 1 tick chart, and asked for 365 days of data and it gives it to me, I can assume that when I backtest or optimize in the Strategy Analyzer with 1 tick order fill resolution the results are accurate? Thanks.

[NinjaTrader_Jesse]

Hello zrobfrank

Yes that is correct, for the backtest to use the data you would have to have it downloaded. The chart will let you see if the timeframe you are requesting can be downloaded. There is not a specific amount of days that would be known for each instrument, you just have to try and load the data to see if it is available.