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Strategy seems to behave intermittently
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Created: by angela d Attachments:0

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Strategy seems to behave intermittently

  #11 (permalink)
Elite Member
New York City, NY USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES, ER
 
Posts: 27 since May 2015
Thanks: 10 given, 28 received

I'm running a test on live data right now, and noticing that the errors are still occurring.

Now I'm beginning to understand that the issues with exotic bars go further than just backtesting, at least when it comes to using price action itself as criteria in an automated strategy. I have fairly error-free backtest results based upon indicators that use unirenko as input, but do not use price specifically as a criterion. For example, I believe an MA crossover strategy would test well, since it doesn't look at price data directly.

Thanks again for your help.

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  #12 (permalink)
Elite Member
New York City, NY USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES, ER
 
Posts: 27 since May 2015
Thanks: 10 given, 28 received

Thanks for this information. I'll be reviewing it very shortly.


rleplae View Post
Unirenko's are tricky.
They may show you a bar HL while the price didn't go there...

For example :
Price is at 1.1 and drops suddenly to 0.9, you may see a whole range of bars all the way
from 1.1 down to 0.9, at some point, your strategy will get an OnBarUpdate, for those
artificial intermediate bars.

There is a lot of material on unirenko bar's, but this guy explains some things you must be
very aware of.



So if you are using exotic bars, like the unirenko, with an OnBarUpdate... be carefull...
You migth subscribe the price itself as an event and test it there, at least then you are
sure the price is where you think it is...


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