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Backtesting with ninjatrader doubt(s)
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Backtesting with ninjatrader doubt(s)

  #1 (permalink)
Trading for Fun
Hyderabad,India
 
Futures Experience: Advanced
Platform: ATAS
Favorite Futures: Futures
 
Posts: 69 since Oct 2013
Thanks: 33 given, 11 received

Backtesting with ninjatrader doubt(s)

Hello traders,

I'm an aspiring trader doing some combines with TST and hoping to get funded... Did some combines until now , but decided not to do anymore before completing my analysis.

I have been using ninjatrader free version for practicing trading. Having read books of Mr. Steve Nison for a while, I decided that it is time to back test them manually using static charts. I downloaded market replay data for almost an year and started analysing the % of winners I am getting for every candlestick signal he taught. Market replay data is printing candlesticks on the chart just like live market situation. This is what I observed

But recently, I found that ninjatrader has another feature called "historical data manager" . The information in the manual is vague and honestly... was hard for me to understand. Thats why I wanted to ask this question...
1. What do you mean by Historical data? Is it any different from market replay data ?
2. What is the function of Historical data manager in NT? How do I use this historical data ?

3. While doing my backtest, I try to be 100% unbiased. Moreover, I need a chart with candlesticks (of any time I choose) printed on screen along with volume. I enter a trader only AFTER a favourable candlestick signal is printed (i.e, after close). This is not a question, but this is just the information I wanted to give you about my backtesting. Because this is my requirement. I don't mind using historical data/market replay data as long as I can achieve this goal.

All this time I had been following strategies blindly (thinking of them as high probability) without being able to pinpoint the winning % .

I sincerely believe that this analysis can help me to improve/tweak strategies to achieve more winning % I currently have. Your answers/feedback is appreciated... thanks

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  #2 (permalink)
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  #3 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
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Posts: 1,859 since Jun 2009
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Historical data will be easier to work with instead of replay data, which is tick-by-tick bid and ask. You can backtest historical data faster than replay data, especially if you're using minute-based bars.

Also, having a good winning percentage is only part of the picture. You can make money only winning 30% of the time if you have large winners. You have to look at profit factor, avg winner/loser ratios, max drawdown, and others. You need to learn which metrics are important for your psychology to trade comfortably with.

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  #4 (permalink)
Trading for Fun
Hyderabad,India
 
Futures Experience: Advanced
Platform: ATAS
Favorite Futures: Futures
 
Posts: 69 since Oct 2013
Thanks: 33 given, 11 received

Thankyou very much. I found disktrading.is99 . com/disktrading for getting historical data. I asked them if they have volume for intraday (15min) sessions. Haven't received any reply from them.. I will get it if they have it and then use it for my backtesting.

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  #5 (permalink)
Trading for Fun
Hyderabad,India
 
Futures Experience: Advanced
Platform: ATAS
Favorite Futures: Futures
 
Posts: 69 since Oct 2013
Thanks: 33 given, 11 received

Alright.... on to next step.... Importing all historical data to NT now... disk trading provided data of 14 well-known futures contracts 6A, 6B, 6C, 6J, 6S, ES, YM, NQ, ZB, TF, NG, CL, GC and 6E. Other contracts are not known to me... you can find them on their website.

It took just over 24 hours to split the huge data files and make them ready to import... Have a lot of work to do!!!!

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