Backtest: 3 min candles- Multi timeframe - OnTickUpdate

[GauthamK]

How can I genuinely (and as accurately as possible) backtest a strategy that relies on ES-3mins candles. Has multi timeframe checks. Logic written on OnTickUpdate.

If i use the regular backtest it gives me flawed results, as NT only has High-Low-Open-Close values for each bar. I cant use ontickreplay, because it has Multiple timeframes.

Any help or suggestions?

[NinjaTrader_ChelseaB]

Hello GauthamK,

Are the hosted indicators using added series or just the host strategy?

Adding a 1 tick series for accuracy with order fills, and to trigger intra-bar actions is possible. However, indicators would not update their prices on each tick or price change unless TickReplay is enabled.

Below is a link to a forum post about intra-bar granularity.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

[GauthamK]

Thanks Chelsea.

Yes i have added a series for 2nd timeframe. That is why i cant use the tick replay. Any other suggestions?

[NinjaTrader_ChelseaB]

Hello GauthamK,

If the hosted indicator has multiple series it would not be possible for these series to work with TickReplay.
The indicator would need to be designed to run using a 1 tick series as the primary series.
Or you would need to accept the indicator will only be updating when the bar closes.
Or you can use Playback to test the script on a chart in real-time playback using MarketReplay data or historical 1 tick data, without taking advantage of the Strategy Analyzer.