One minute time frame strategy has very different results on 60 second time frame?!

[fernlicht]

Hello all,

I‘m just wondering, we have developed a new strategy on one minute candles. The backtest shows promising results.
In our further investigation we are also testing its robustness through the backtest of slightly lower or higher time frames.
For example on a native 5 min strategy we are testing 4,3,6,7,8 min candles and we expect still comparable results.

Now, when we tested our 1min time frame on 60seconds the 60sec strategy performed better, more profits (1/4), less drawdown(1/2), and more trades(1/5).

Why is that, we would expect basically the same results? Btw only market orders were used.

Thanks for clarification!

[NinjaTrader_ChelseaB]

Hello fernlicht,

To understand the behavior, debug the script by printing (or writing to file) the values used in the conditions and enable TraceOrders.

Below is a link to a forum post that demonstrates using Print() and TraceOrders to understand behavior.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

Also, below is a link to a forum post that demonstrates writing these values to file if there is a large amount data and comparing the results.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

Last, below is a link to a forum post on using 1-tick intra-bar granularity to improve historical order fill accuracy.

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

I am happy to assist with analyzing the output.