Price level order execution

[nrgful]

Hello guys,

I developed a strategy that is using an indicator that is also developed by myself.

Now trying to Backtest the strategy on StrategyAnalyzer is giving me some strange behaviour. I wanted precise execution and I enabled "TickReplay".
My TakeProfit should be executed on 134.75 - but it is not. Actually it is executed on the close of the next bar after the TakeProfit price level is exceeded.
I also added some logs to the Output to observe the exact calculation results and values of Open, Close and my Indicator values:



My Indicator is working on Calculate.OnBarClose but I think that this is no argument for the strange behaviour.

I also tried to change different calculation modes on my strategy - Calculate.OnBarClose and Calculate.OnEachTick but this was not making a difference.





Any ideas to help?

Thank you in advance

[nrgful]

Actually, running the strategy with Calculate.OnEachTick is leading to executing the Entry and StopLoss immediately one after another for all trades.

[NinjaTrader_Jesse]

Hello nrgful,

TickReplay is a concept that helps scripts process tick by tick historically and is not intended for more accurate fills so using that won't make a difference. If your strategy and indicator use OnBarClose processing then you don't need to use tick replay. You can change the order fill resolution to a more granular series to have more granular fills in a backtest.

[nrgful]

NinjaTrader_Jesse Thank you for your support.

I have several questions in mind. The first one is :
1. By saying "You can change the order fill resolution to a more granular series to have more granular fills in a backtest." you mean that I need to import DataSeries ? Is that right?

2. If I need to backtest a strategy for a longer period of time (for example, 6 months) on a futures instrument (for example FGBL). But all we know that the futures instruments have an expiration date by 3 months. Is it possible to backtest on futures instruments for more than 3 months? Because, if I choose FGBL MAR25 I can do reliable test back to 6th of December 2024 (because this is
the starting date on the FGBL MAR25 contract). And I cannot use the same contract for test on dates that are older than 6th of December 2024.

How can I backtest a strategy on futures instruments on longer periods of time (longer than the live period of time of the contract). The issue is that before the contract became active the volume and data on it will not be reliable. And after it expires, it will not be reliable again. There is a time gap of 3 months to use a contract for backtesting and before and after that - it is not reliable.

Best wishes.

[NinjaTrader_Jesse]

Hello nrgful,

When doing the backtest the order fill resolution is one of the options that you can configure in the backtest settings. That is not something you need to change in your strategies code.

To test for longer periods you don't need to do anything, the platform by default has merge backadjusted data. https://ninjatrader.com/support/help...rge_policy.htm

[nrgful]

Thank you NinjaTrader_Jesse

But from your reply above, I cannot understand how I can set the proper Merge settings for the purposes of StrategyAnalyzer Backtest.

I read this guide: https://ninjatrader.com/support/help...rge_policy.htm

But how exactly I can set the settings for the Backtesting of a strategy ?

Thank you in advance

[NinjaTrader_Jesse]

Hello nrgful,

The merge policy applies platform wide and is already set by default to merge contracts so nothing needs to be changed.

[nrgful]

NinjaTrader_Jesse But what is the exact merge policy mathematically? Isn't it changing the actual values of the price? Eventually, this may lead to wrong results!

[NinjaTrader_Jesse]

Hello nrgful,

I wouldn't be able to comment on how the internal logic may work as that is not available but you can see some diagrams on how that changes the data in the page I linked. The offset is described as the following:


Selecting this option, the 03-15 data will be merged with the 06-15 data on the date of rollover (March 12th, 2015) and an Offset value will be used to connect the previous 03-15 contract price point with the first 06-15 contract point.

If you believe in some way that is affecting your data or results you can also disable that feature and just trade individual contracts.