Multi-session multi-timeframe strategy backtest bug

[dalisdj]

Hi NinjaTrader support,

I found one bug at strategy backtesting. This happens at multi-session instruments, like Wheat (ZW), session CBOT Agricultural ETH. If your primary bars is Minute and secondary bars is Day, the strategy bars flow act this way:

• First goes bars from first Minute session UTC-06 [18:00, 7:15],
• then goes Day bar
• and after that goes bars from second Minute session UTC-06 [9:30, 13:15]

In another words, in second session I simply know, where the price is going to close, so I simply may decide if go long or short.

Let's consider, that my timezone in PC is set to UTC+01, so my sessions are [01:00, 14:15] and [16:30, 20:15]

I attach strategy, which demonstrate this problem. In my case the strategy is not 100% as should be expected because of some incoherence between minute data and day data, but hope that equity speaks for itself.

[NinjaTrader_Brett]

Hello,

Thank you for the report.

I am checking into this.

-Brett

[NinjaTrader_AdamP]

dalisdj,

Thanks for your note.

I am unable to replicate this with Kinetick. Who is your data provider?

I changed my timezone to UTC + 1, used the session template you did, loaded a 15 minute chart of ZW ##-##. I am getting orders with losses as well as profits. I see nothing abnormal when comparing to Daily chart.

It is suggested you try this with a data series set to minute 1440 and see if it remedies the issue.