Ninja back test: real or fake - NinjaTrader | futures io social day trading
futures io futures trading


Ninja back test: real or fake
Updated: Views / Replies:2,822 / 20
Created: by mcteague Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Ninja back test: real or fake

  #11 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,138 given, 4,387 received
Forum Reputation: Legendary


mcteague View Post
Thanks for explaining this. that could certainly explain the difference in the number of entries. I also appreciate the explanation of how back testing results can be falsely affected by the way I lay out my stops and targets. That was very interesting.

It just seems to me that since we have these tools we should try to find out what our setups and indicators are really worth. That is pretty much all I am trying to do. When a trend indicator like MACD, PPO, or TSI cross their signal lines how reliable is that as a trading signal? What does it really mean? These kinds of indicators are the easiest examine this way. So that is where I am starting. I think even people not interested in automated trading should try and test their setups to see whether they have any real chance of making money.

Again thanks for the "number of entries" explanation. I just did not know.


Just to be perfectly clear, the backtest is correct. It does not give "false" results. The results may not reflect what you wanted to actually backtest, but that is not the backtest software's fault.

I mention this because having faith that backtest results are correct is crucial to gaining confidence in developing and testing systems. This confidence will come with time, as you discover the many quirks of trading software.

Good Luck!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 4 users say Thank You to kevinkdog for this post:
 
  #12 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,138 given, 4,387 received
Forum Reputation: Legendary

Entry testing

Also, if you want to test entries, to see if a setup is valid, simply try exiting after 1, 2, 3, etc. bars after entry. You'll see if the entry is good or bad, and you'll see if you are early or late in trades.

Once you get more adept at developing systems, you could also exit after X bars, where X is chosen at random. Run it enough times, and you'll get some statistics on how good your entry is.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
  #13 (permalink)
Elite Member
San Diego California
 
Futures Experience: None
Platform: NinjaTrader
Broker/Data: Data: Kinetick, Broker InteractiveBrokers & DeepDiscountTraders
Favorite Futures: CL
 
jupiejupe's Avatar
 
Posts: 125 since Apr 2011
Thanks: 79 given, 47 received

Ninja back test: real or fake


NT backtesting is a waste of time, unless your system is using large time frames, we are not even backtesting any more as nt only uses last price, and orders are placed the the next bar from the one in which the order was generated. we are looking to extending a backtesting engine or writing our own, we have not yet settle on a solution.

"Learning to Trade: The Cost Of Tuition"
- a roadmap of my lessons learned as taught by the market

Last edited by jupiejupe; June 7th, 2014 at 08:16 AM.
Reply With Quote
 
  #14 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,138 given, 4,387 received
Forum Reputation: Legendary


jupiejupe View Post
NT backtesting is a waste of time, unless your system is using large time frames, we but not even back test any more as nt 9only uses last price, and orders are placed the the next bar from the single. we are looking to extending a backtesting engine or writing our own, we have not yet settle on a solution.

Disagree. My guess is you are using the software incorrectly, or in a manner for which it was not designed. It is easy to fool a backtest engine, but when used properly, backtesting can be very accurate.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #15 (permalink)
Elite Member
San Diego California
 
Futures Experience: None
Platform: NinjaTrader
Broker/Data: Data: Kinetick, Broker InteractiveBrokers & DeepDiscountTraders
Favorite Futures: CL
 
jupiejupe's Avatar
 
Posts: 125 since Apr 2011
Thanks: 79 given, 47 received

what time frames are you backtesting?

"Learning to Trade: The Cost Of Tuition"
- a roadmap of my lessons learned as taught by the market
Reply With Quote
 
  #16 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,138 given, 4,387 received
Forum Reputation: Legendary


jupiejupe View Post
what time frames are you backtesting?

I've tested down to 1 minute data with Ninja, tick data with other platforms.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #17 (permalink)
Elite Member
San Diego California
 
Futures Experience: None
Platform: NinjaTrader
Broker/Data: Data: Kinetick, Broker InteractiveBrokers & DeepDiscountTraders
Favorite Futures: CL
 
jupiejupe's Avatar
 
Posts: 125 since Apr 2011
Thanks: 79 given, 47 received

we used to have a strategy that used 10 bars, the backtest and live trading would match up 98% of the time, that was with nt 6.5, which as far as i know was the same becktest engine as nt7.

we are now using subminute time frames the backtesting and live testing now no longer match, not even close.

Signals are sent on the next bar that is a large lag in the subminute world. nt7 only uses last price in backtesting ask and bid is not available. which is a issue, because then you could write your own fills depending on if either touch your order.

"Learning to Trade: The Cost Of Tuition"
- a roadmap of my lessons learned as taught by the market
Reply With Quote
 
  #18 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,138 given, 4,387 received
Forum Reputation: Legendary


jupiejupe View Post
we used to have a strategy that used 10 bars, the backtest and live trading would match up 98% of the time, that was with nt 6.5, which as far as i know was the same becktest engine as nt7.

we are now using subminute time frames the backtesting and live testing now no longer match, not even close.

Signals are sent on the next bar that is a large lag in the subminute world. nt7 only uses last price in backtesting ask and bid is not available. which is a issue, because then you could write your own fills depending on if either touch your order.

Gotcha. But that doesn't mean backtesting is a waste of time. There are limits to what any software tool can do, and you likely may have run up against one. Another platform might eliminate your issue, or maybe adjusting your strategy to again match backtest results is the solution.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #19 (permalink)
Elite Member
San Diego California
 
Futures Experience: None
Platform: NinjaTrader
Broker/Data: Data: Kinetick, Broker InteractiveBrokers & DeepDiscountTraders
Favorite Futures: CL
 
jupiejupe's Avatar
 
Posts: 125 since Apr 2011
Thanks: 79 given, 47 received

if we had access to behind the curtain in nt it would not be an issue, but we do not, we have looked at other platforms as well (but our trading tools and system are in c# so any move is limited to this lang or some funky work around) and they are all the same, tradelink looked promising but once we looked at the code it is mainly hardcoded so it has limited use. we are looking into qusma stuff, which we do not have to start of ground zero.

my cousin just released his own programming language you can think of it like easy language but with the full power of .net behind it.

essencesharp.codeplex.com

"Learning to Trade: The Cost Of Tuition"
- a roadmap of my lessons learned as taught by the market
Reply With Quote
 
  #20 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,221 received



jupiejupe View Post
we used to have
.
.
.
we are now using

Who are "we" ?

futures.io (formerly BMT) does not allow self-promotion, if "we" has a commercial website, affiliate links, or any product or service for sale in any way, your posts are not allowed and could lead to a permanent ban.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

Reply



futures io > > > > Ninja back test: real or fake

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Back test line break charts mrticks NinjaTrader Programming 19 October 21st, 2013 04:20 PM
So is there anyway to back test acuratley and reliably? jeronamo Elite Automated NinjaTrader Trading 2 May 6th, 2013 06:22 AM
How to back test in Ninja dandxg NinjaTrader Programming 3 August 26th, 2012 01:21 PM
How do you back test a pattern? Tiger45 The Elite Circle 4 March 13th, 2012 09:06 PM
back test sam028 Terms (Glossary) 0 June 28th, 2010 07:20 PM


All times are GMT -4. The time now is 03:34 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-13 in 0.12 seconds with 19 queries on phoenix via your IP 54.226.132.197