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backtesting discrepency with forward testing
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backtesting discrepency with forward testing

  #1 (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

backtesting discrepency with forward testing

Hi all,

I am having some difficulty using NT's built in backtester. Here's some background. I have a fairly sophisticated position-management based NT7 strategy that scales in and scales out on multiple legs (separate IOrders). The strategy works perfectly fine during forward testing and executes all orders/traders perfectly as to the rules. However every time I run the backtester, over whatever period (1 day, 1 week, 1 month, etc), the backtester takes a lot of time (which I understand) and comes back with exactly 2 trades. One entry and One exit for the FIRST leg. The entry is the first trade that is executed on the first day (if it is triggered) and the last trade is the exit at the end of the period (end of day exit)).

Again during forward testing the strategy works perfectly fine, but when I run the backtest (the standard NT7 backtest), I get 2 trades.

I realized a few things while going through this process:

1. CalculateOnBarClose has to be set to true (although the strategy is a tick-based strategy)
2. I need to comment out the Historical check (obviously)

Are there any other tidbits of information I need to implement specifically for backtesting (I'm hoping its something simple I'm overlooking). Also, are the above two realizations true realizations?


thanks!
phyzfer

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Castle Pines N, CO.
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Amp Futures/Zen-Fire)
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Posts: 201 since Jul 2009
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Bogus Ninja backtesting


Here is what my testing has shown about Ninja Strategy Analyzer , its a joke(too bad the jokes on us!)... There are 3 types of data Ninja has,, Real Time(same as sim mode during the day, wether trading live or not), this is where the rubber hits the road... The next best data is recording the daily files and doing a playback,, course less u can keep ninja up 24hrs a day(lots of luck),, u can only test one day or so at a time.. The historical data (Strategy Analyzer) is just a joke.. The further u move away from daily bars the less accurate things get,, by the time U get to 1 min bars forget it.. All the other types of charts , range , vol, tic, etc..--- Forget it on the historical testing..
. I sent in a suggestion that NT7 spend more time with the ability to merge the daily recorded files and forget about that historical trash...
Do a test so u dont fool yourself.. Let your strategy run in sim mode during the trading hours,,,, be sure to print out before u disconnect the data,,, the daily stats on the strategy(real time).. If u disconnect the data all the real time is merged ((and lost) with the historical and becomes worthless...
1. So now u got a printout of today real time..
2. Reload Historical chart data,, print out the stats again (this is what u would see with the strategy analyzer,
3.. Do a replay of the data for the day u recorded (this will be closer or almost right on
what ur first real report said...
4. Run the Strategy Analyzer and feel bad about all the time u wasted with historical data.

If u look at the charts the differences are so minute that ur eye cant pick it up.. So u really need to test code in like a bot strategy and let it go..

A tic here and a tic there,, but since this is a game of tics-------------------------

If anyone has had any better luck with this,, please post.. I can post screen shots of a strategy I run on range 2 bars and v2000. These totally stink on the Strategy Analyzer and u would be afraid to trade but make money every month for me... If u ask Ninja they have a convenient link that seems to say, dont trust any of this...


Turning on the traceorders = true (output window),, checking the log and trace file will give u a clue as to what is blowing up on ur order entry problem,, I have had similar issues,, and it is usually a stop order blowing up or placing the wrong type of order for where the current price is.. I have had that happen to me ,, get in one trade only then gets out end of day...


Last edited by gg80108; April 28th, 2010 at 02:05 PM.
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