How to tell Backtest and Optimization to go to next trading day

[wzgy0920]

I want to increase the speed of Optimization for my strategy. I have already done IsInstantiatedOnEachOptimizationIteration=false and coded my strategy to properly reset the variables. My strategy only trades during specific time of the day (e.g. between 9:30am to 12pm). Below is excerpt pseudo code of my strategy.

protected override void OnBarUpdate()
{
if(currentTime <= tradeStartTime || currentTime >= tradeStopTime){
return;
}
else{
// Do all the logic for trading strategy
}

}​

Based on this pseudo code, during Backtest/Optimization, it is my understanding NT will go through every single bar available and if the bars fall within the given time range, then my trading strategy's logic will execute. How can I properly terminate my strategy if the time range is outside the desired trading time range and inform Backtest/Optimization to go to the next day. This way, we don't waste processor computation and memory on checking bars that are outside of the given time range?

[NinjaTrader_Gaby]

Hello wzgy0920,

Thank you for your post.

OnBarUpdate() will be called whenever a bar is updated. There is no way to tell OnBarUpdate() not to update at all on a certain condition. Your return statement however will ensure that it will skip any further calculation.

Please let us know if you have any further questions.

[wzgy0920]

Hello wzgy0920,

Thank you for your post.

OnBarUpdate() will be called whenever a bar is updated. There is no way to tell OnBarUpdate() not to update at all on a certain condition. Your return statement however will ensure that it will skip any further calculation.

Please let us know if you have any further questions.

Is it possible to request a feature to signal the Backtest/Optimization to terminate/skip the processing the strategy for the remaining bars of the trading session? As I mentioned I would like to Backtest/Optimize my strategy for specific time range of the trading session. During Bactest/Optimization NT is spending a lot of processing going through bars that doesn't actually result in strategy usage. This feature would help improve performance.

[NinjaTrader_Gaby]

Hello,

Thank you for the suggestion.

I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.

Thanks in advance for your patience.

[bmggchevalier]

I would also very much like this feature to be implemented.
I have a couple of specific time frames I want to create strategies for, that are between 10 minutes and half an hour.

You would of course need to have the minimum bars needed before the start to have all indicator values used in the strategy correctly reflected etc.
So I'm sure it's not trivial to implement.
It seems that a big improvement can be made for strategies like these if you could specify a start and stop time for the optimization per day (where the strategy can take trades).

[wzgy0920]

Is there a way to "terminate" a strategy from within the OnBarUpdate()? If so, what would happen in a case when IsInstantiatedOnEachOptimizationIteration=false/?

[wzgy0920]

I would also very much like this feature to be implemented.
I have a couple of specific time frames I want to create strategies for, that are between 10 minutes and half an hour.

You would of course need to have the minimum bars needed before the start to have all indicator values used in the strategy correctly reflected etc.
So I'm sure it's not trivial to implement.
It seems that a big improvement can be made for strategies like these if you could specify a start and stop time for the optimization per day (where the strategy can take trades).

I want to bring your attention to two other related topics (see listed below). If you also are on the same boat as me, please provide your vote to NT dev team so they can increase the priority to improving the performance of Strategy Analyzer.

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/1274411-usability-and-performance-improvements-to-strategy-analyzer

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/1269930-few-questions-and-feedback-about-strategy-analyzer?p=1269993#post1269993

[NinjaTrader_Gaby]

Hello bmggchevalier,

I will add your vote to this feature request.

[NinjaTrader_Gaby]

Hello wzgy0920,

IsInstantiatedOnEachOptimizationIteration only determines if the strategy should be re-instantiated (re-created) after each optimization run when using the Optimizer.

https://ninjatrader.com/support/help...niteration.htm

The optimal approach to "terminate" a strategy from OnBarUpdate() is to use a return statement. You can also call CloseStrategy().

https://ninjatrader.com/support/help...sestrategy.htm


Please let me know if you have any other questions.

[wzgy0920]

The optimal approach to "terminate" a strategy from OnBarUpdate() is to use a return statement. You can also call CloseStrategy().

When I call CloseStrategy(), it does not stop the strategy. I checked that after I called CloseStrategy(), the OnBarUpdate() is still being called.

[NinjaTrader_Gaby]

Hello,

My apologies, I neglected to mention that CloseStrategy only works in real time. From the Help Guide page:

Warning: This method can only be call before the State has reached State.Terminated and after the State reaches State.Realtime

https://ninjatrader.com/support/help...sestrategy.htm


Instead of CloseStrategy(), you can use SetState(State.Terminated) to abort the strategy as it is running. Doing this in a Strategy Analyzer backtest will abort the backtest entirely, and no partial backtest results will be shown.

SetState() - https://ninjatrader.com/support/help...8/setstate.htm

Please let me know if you have any other questions.

[NinjaTrader_Gaby]

Is it possible to request a feature to signal the Backtest/Optimization to terminate/skip the processing the strategy for the remaining bars of the trading session? As I mentioned I would like to Backtest/Optimize my strategy for specific time range of the trading session. During Bactest/Optimization NT is spending a lot of processing going through bars that doesn't actually result in strategy usage. This feature would help improve performance.

This request is being tracked under the number SFT-6312.


As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted on the Release Notes page of the Help Guide.


Release Notes —https://ninjatrader.com/support/help...ease_notes.htm