Strategy Analyzer - Backtesting More than 1 year ago with 1-sec charts

[artvandelay123]

Hi,

Using NT 8.0.28.0 64-bit, Lifetime edition. Using Continuum for datafeed.

I created an ES strategy in Strategy Builder and I'm backtesting it in Strategy Analyzer. The strategy runs intraday and is high dependent on price action at the 1-second interval, so backtesting this strategy requires using 1-second intervals in Strategy Analyzer.

I have no issues backtesting my strategy going back 1 year (i.e., to August 2022) using the ES 09-23 instrument (using Merge back adjusted) and price using a 1-second interval in the Strategy Analyzer. However, once I backtest further back from August 2022, say from August 2021-August 2022, no output is recorded on the 1 second chart or in the results. There is no issue if I use a 1-minute chart.

I ran the Sample MA crossover strategy, and it looks like the same issue using a 1-second chart more than 1 year ago.

Question: can one backtest any strategy using a 1-second chart using data more than 1 year ago? I checked my historical data, and it looks like I still get minute data more than 4 years out, but tick data stops 1 year out. Is this related?

Thanks.

[NinjaTrader_Jesse]

Hello artvandelay123,

I would suggest opening a chart and requesting that length of data to see if its present. You generally can't go back very far on more granular series like tick or second data. If there is no data for that time period that would be the reason for the analyzer not showing results, you would have to have data to test over that time. If data is not available on the server you would have to seek out third party sources where you can acquire that data and import it. https://ninjatrader.com/support/help.../importing.htm

[artvandelay123]

Jesse,

I pulled May 2022 charts for the ES 06-22 and ES 09-23 on 1-sec intervals, and nothing came up. I switched to 5-min intervals, and those came up.

So my question, does Continuum support 1-sec charts more than 12 months ago? And if not, how am I supposed to backtest strategies on 1-sec charts?

The NT webpage on historical data I consider to be inaccurate now because no 1-sec and/or tick data appears to be available more than 12 months ago for Continuum. https://ninjatrader.com/support/help...ml?welcome.htm

Please advise.

Thanks.

[NinjaTrader_Jesse]

Hello artvandelay123,

If nothing came up that means there is no data available for that time and for that contract. You can't pull ES 09-23 for may of 2022 because that was not trading at that time. A contract which was trading during that time could potentially have data however that may also not be available as its over a year ago.

I wouldn't be able to provide any specifics on which providers offer X amount of data but you can contact the data provider directly for that type of a question. In general you will have a lot of daily data, less minute data, less second data and even less tick data due to the granularity of the data. The amount of data that needs saved becomes huge the more granular you get.