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Strategy Analyzer Error
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Strategy Analyzer Error

  #1 (permalink)
Elite Member
Chicago
 
Futures Experience: Advanced
Platform: Other
 
Posts: 35 since Feb 2010
Thanks: 3 given, 1 received

Strategy Analyzer Error

Can you explain this chart?

http://www.postimage.org/image.php?v=gxAuhxi

I am using default fills. 1 Tick chart. How could this possibly happen?

It is filling me at 2 different prices, none of which are the current tick. The tick is 1079.50, and I am filled at 1080 and 1080.50....

How does this make sense?

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  #2 (permalink)
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  #3 (permalink)
Trading for Fun
College Point, NY (Queens)
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG
Favorite Futures: YM
 
Posts: 63 since Nov 2009
Thanks: 5 given, 20 received


Not sure. The only thing that comes to mind is that you appear to be running a backtest as if it were real time. Will CalculateOnBarClose = true let you run a backtest on 1 tick chart ?

Maybe NT can't figure out if it should fill at the start or close of the bar. Anyway, I'm confused. You're testing the limits of my knowledge.

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  #4 (permalink)
Elite Member
Chicago
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus/Zen-FIre
Favorite Futures: GC, ES
 
Posts: 73 since Mar 2010
Thanks: 40 given, 31 received

All,

Is this true? Can we NOT run NT backtests on 1-tick data?
I have a strategy that is tick dependent. I ran the backtest, but it took forever (I'm not sure if NT would have even finished the backtest).
I'm researching how I should backtest/optimize my strategy.

Also, is there any way to see an estimated time left on a backtest?


Any insight?


thanks!


Last edited by phyzfer; April 8th, 2010 at 09:59 PM.
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