Backtest on price change

[lbolton64]

Does 'on price change' work when backtesting? I ask because my strategy sometimes wont execute a stop loss or target if the entry is on the same initial bar.

[NinjaTrader_Emily]

Hello lbolton64,

Thank you for your note.

Backtests process order fill prices based on OHLC data for a bar and not on every price change. This is explained on the following help guide page about discrepancies between real time results and backtests:

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm

That said, as a workaround you could consider using a high order fill resolution to add a secondary, more granular data series (the most granular option is 1-tick) to get the OHLC of the added series to calculate order fill prices. If you have a multi-time frame or multi-instrument script, then you will need to program the strategy to submit orders to a 1-tick data series rather than using high order fill resolution:

https://ninjatrader.com/support/helpGuides/nt8/understanding_historical_fill_.htm

https://ninjatrader.com/support/helpGuides/nt8/backtesting_ninjascript_strate.htm

The following thread goes even more in-depth to explain the different backtesting options and how those might compare to real-time results:

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

Please let us know if we may be of further assistance.