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How to back test in Ninja
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How to back test in Ninja

  #1 (permalink)
Elite Member
Denver, Colorado
 
Futures Experience: Intermediate
Platform: Ninja Trader
Favorite Futures: ES, CL, anything that makes $$
 
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How to back test in Ninja

How do you back test in Ninja. I watched the video and ran a simple back test on the sample MA crossover Ninja gives. Is it really as simple as that?

I ask because I plan on running a back test on a fully automated strategy to verify the forward test results I have estimated. Let me explain without hopefully getting off point. I have been watching Bill from EOT PRO's automated strategy for almost 2 months. I am pretty convinced it works, but since I haven't had access to the indicators I have had to estimate the profit and losses. I want to validate what my eye has seen. I plan on signing up next week with them and getting access to their indicators.

Will it be as simple as selecting the indicators from the drop down list and hitting the run back test option in Ninja? I can't be this simple can it. Please inform me about possible gotchas that I am missing. I plan to include for slippage and commissions to ensure as realistic as possible.

Every video or link I see is on how to develop a strat. I have own I just need to thoroughly test it using Ninja because that is all I will have access to and will be automated trading off of.

Thank you much for you help in advance.

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  #3 (permalink)
Elite Member
Denver, Colorado
 
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artemiso View Post
I'm not sure if I understand what you're saying correctly.

You cannot carry out a backtest on an indicator - you have to write a strategy with appropriate conditional statements for entry and exit that call the indicator(s). Thank you for clarifying it is a fully automated strategy comprised of indicators. Now that we have that cleared up is it simply loading the strat and hitting backtest or is there some coding or other things needed involved?

Some considerations:
- From a decision theory point of view, it doesn't make sense to sell a successful automated strategy. If I had written a successful automated strategy, I would keep it to myself and find clients/borrow capital for the strategy. If I wrote a program that can make 1% unleveraged, annualized return on an S&P 500 contract without going bust during the duration of trading, that would be >US$650 return on each contract traded (before slippage and transaction costs). Selling it for any less than that is either charity or suspicious. I agree with you in that most sellers of auto strats are scammers, but I have known this group for several years and have watched the strat live now for almost 2 months
- Even if it is charity, market forces would result in enough demand for and purchase of the said strategy until its profits reach equilibrium as the effect of the sheer number of people using the same strategy renders the strategy unprofitable. This could be a possibility especially since one of the markets is CL used in the auto strat
- Does the seller of the strategy state the risk measures clearly? What is the maximum drawdown? Also, multiply the maximum drawdown by a safety factor (e.g. 2). Every automated strategy eventually becomes unprofitable. There are several ways of knowing, once of which is that is sustains losses that aren't expected from the backtest results. There's a better way of doing this called inference testing, but using a simple multiplication is a quick way to start. A drawdown much larger than historical maximum drawdown is such an example. Is it suitable for your risk appetite (can you watch such losses and still place faith in the algorithm that it will recover the losses over due time)?

You have give me a lot of good points to think about and I really appreciate it.

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  #4 (permalink)
Elite Member
Denver, Colorado
 
Futures Experience: Intermediate
Platform: Ninja Trader
Favorite Futures: ES, CL, anything that makes $$
 
Posts: 178 since Nov 2009
Thanks: 157 given, 72 received

Thank you very much artemiso for all of those helpful tips. I should be back testing the strategy soon, in the next week, so I will report back. Enjoy the rest of your weekend.

Dan

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