How Does strategy analyzer handle multiple data series and or multi time frames

[BoneM4nwalkin]

Hello,

I have been working on a strategy builder that has an over bought over sold filter on a daily time frame and a momentum signal to enter on an hourly time frame. I have used the strategy builder to add these specific Data series (ES-1380 minute and ES- 60 minute) to my indicator conditions rather than using "default Series" grabbing the instrument from the chart or analyzer that it was applied to.

When I run strategy analyzer window there is only 1 option for what instrument and time frame to apply the strategy to. Which data series should I choose that will provide me the most accurate representation of my strategy logic?

If I am planning to use multiple time frames, is it better to leave one of the time frames as default and just choose the instrument in the analyzer or the chart its being applied to?

If I backtest this strategy on a basket of futures through the analyzer, is the strategy still taking signals from ES-60 minute and ES-1380 minute if it is being applied to /6E futures for example?

Is there a way to use strategy builder and variablize the instrument and time frame being selected to maximize the potential of the strategy analyzer?

[NinjaTrader_Jesse]

Hello BoneM4nwalkin,

The strategy analyzer works just like a chart or the strategy tab in the control center, you would select the primary series that you want the strategy to trade on. The secondary series that you can select in the builder can only be used for price conditions, your trades will not be sent to those series and your logic is not executed for those series.

When I run strategy analyzer window there is only 1 option for what instrument and time frame to apply the strategy to. Which data series should I choose that will provide me the most accurate representation of my strategy logic?

That would depend on your conditions and what your goals are, we cannot suggest what primary series to use.

If I am planning to use multiple time frames, is it better to leave one of the time frames as default and just choose the instrument in the analyzer or the chart its being applied to?

As mentioned the secondary series that you can add can be used for price conditions in your sets. The primary series you choose will be what trades are placed to and also the frequency that your conditions are checked. For example if you used a 1 minute primary series the conditions are checked every 1 minute when using Calculate OnBarClose.

If I backtest this strategy on a basket of futures through the analyzer, is the strategy still taking signals from ES-60 minute and ES-1380 minute if it is being applied to /6E futures for example?

If you selected specific instruments in the additional series in the builder then yes it will still be using the ES. You can select to use the primary instrument which would then use whatever instrument you select as the primary.

Is there a way to use strategy builder and variablize the instrument and time frame being selected to maximize the potential of the strategy analyzer?

When you apply a straetgy you need to pick the instrument and timeframe you want it to run on as the primary. Secondary seires can use the same primary instrument, there is a checkbox in the additional data section when you add secondary series to do that.

[BoneM4nwalkin]

Hey Jesse,

Thanks for your reply, I will have to spend some more time playing with it after reading your answers. In my first question I am not asking what time frame to use, rather I am more asking how should I structure my data series references in strategy builder in order to maximize the features available in the strategy analyzer.

I Would like to be able to take the multi time frame strategy and backtest on all futures instruments to test for robustness.

I don't have my builder in front of me, but if I am interpreting correctly, you can set the 2 time frames on the data series page and leave the specific future as default?

Thanks,

[NinjaTrader_Jesse]

Hello BoneM4nwalkin,

It does not matter which order you add the series in the strategy builder, none of those series are used for logic in strategy builder strategies. Only the primary series you pick in the analyzer i used to process the strategy. You can add extra series for price conditions only. For example if your primary is 1 minute and you add a 30 minute secondary, your logic is executed every 1 minute but you can also see 30 minute prices in your conditions.

you can set the 2 time frames on the data series page and leave the specific future as default?

There is no default future instrument, in the builder the default series is the primary series you manually select when applying the strategy. If you picked the ES 1 minute to test on the default series is the ES 1 minute that you picked.

[MtlTrader]

If I do not set a 'primary data series' in the additional date window, does the data series from the chart I apply the strategy become the Primary ?
Also why do renko, unirenko, ninzarenko, and other bar types that I may have not appear as available primary data series ?

I would like to apply a strategy to a renko chart, but use an indicator on a range time frame as a filter...... i.e. apply the strategy conditions to a 4 renko, but only if rsi on the range chart is above (long) or below (short) the 50 line.

I would have expected the primary time frame to be the same as the chart I apply the strategy, and to be able to add additional data (as the window is named) as secondary filtering. How can this be acheived in strategy builder ?

[NinjaTrader_Jesse]

Hello MtlTrader,

The option when adding secondary series that says use primary instrument just makes the secondary series that you add use the same instrument as the primary. You always have a primary series that is where you applied the strategy.

More complex bars types like renko would require using a manually coded strategies to be used a secondary series because they have specific methods to use when adding those types as secondary series. You can still select renko as your primary series in the chart and that will be used to allow the strategy to process on that series.

The primary timeframe is the series from the chart that you apply the strategy to. A secondary series is additional data that your strategy can reference which is separate from the chart you apply the strategy to.

[MtlTrader]

Thanks Jesse for the quick reply.
So just to be clear, if I apply the strategy to a 2 renko chart, and use an RSI condition in the strategy, my first condition would be RSI applied to "default", in this case the 2 renko, and then if i've defined in the addition data section a 5 minute as primary, my next condition would be an RSI condition on the primary - which in effect is my secondary, in this case the 5 minute.

As long as the chart is the primary, I don't need renko's to be available. The other time frames are what I use to confirm context.

[NinjaTrader_Jesse]

Hello MtlTrader,

If you apply the strategy to a 2 renko chart then your strategy and its conditions will be evaluated based on the 2 renko chart. Default input is the default chart series or primary series. If you defined an additional 5 minute series that is not a primary series but is a secondary series, you can choose to use the same instrument as the primary by checking the use primary instrument box. To use that data you would click inside the box where it says default input to select a secondary series instead.

[MtlTrader]

I guess the confusion arises because if I add a secondary series, it is called Primary in strategy buider.

[NinjaTrader_Jesse]

Hello MtlTrader,

The term primary there is because you selected use primary instrument. The instrument being used is the primary. Instrument is not the same as the timeframe you choose. Instrument is just the name of the symbol.