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Ninjatrader and backtesting
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Ninjatrader and backtesting

 
Elite Member
Netherlands
 
Futures Experience: Advanced
Platform: Ensign, Multicharts
Favorite Futures: SP500
 
Posts: 95 since Nov 2009
Thanks: 66 given, 56 received

Ninjatrader and backtesting

I'm in the process of starting with backtesting some ideas. As i'm evaluating
some programs for simple backtesting i now want to start with Ninjatrader.

I can remember by reading this forum that there are some issues with Ninja 7
with backtesting. I've read that results change and/or results are not always dependable.

Can somebody knowledgeble about Ninja say something if these issues are genuine
and do exist as perhaps i'm mistaken.

Now this is a honest question and i do not want to bash Ninja so if we can just discuss
if there are some things to watch out for or to handle in a special way.

 
 
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Elite Member
NC, USA
 
Futures Experience: None
Platform: None Yet
Favorite Futures: Guitar
 
MrYou's Avatar
 
Posts: 403 since Jun 2011
Thanks: 618 given, 194 received


Someone correct me if I'm wrong, but the gist of it is...

The issue has to do with "intra-bar granularity". You can see the effect when your strategy only operates on the primary time period/frame (BarsInProgress = 0), but when you simply add a new time period your results change even though your strategy does not interact with this additional time period.

The workaround suggested by NinjaTrader is to make your entries on a higher time period such as a tick or minute chart. For example: EnterLongLimit(1, Close[0]); Which enters on the secondary time period within the strategy.

So what I do is compare the backtesting results of one day to the Market Replay results of the same day. If I get somewhat closer results then I'm a little more confident in the backtesting results as a whole. Next I will sim/paper trade the strategy with live data, which is where I am with my trading journey.

Here are some NinjaTrader Support provided links:

NinjaTrader Version 7
Strategy: Backtesting NinjaScript Strategies with an intrabar granularity - NinjaTrader Support Forum

I'm hopeful this will be fixed in the "next-gen" version of NinjaTrader.

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Elite Member
London, UK
 
Futures Experience: Beginner
Platform: NinjaTrader, home-grown Java
Broker/Data: IB/IQFeed
Favorite Futures: EUR/USD
 
Adamus's Avatar
 
Posts: 1,085 since Dec 2010
Thanks: 471 given, 778 received

IMHO I find most people expect more than is reasonable from backtesting software. As in most things, it pays to keep things simple. I always make sure that I have very very few trades where the entry and the exit are on the same bar in the backtest results. If your software - NT7, TS, whatever - is hitting exits on the same bar as entries, I think you are asking too much of the software to cope with the situation in a way that reflects real life.

Personally I would programme my own backtesting software to be pessimistic and that if the bar hits both the target and the stop on the same bar, then it chooses the stop.

You can discover what your enemy fears most by observing the means he uses to frighten you.
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