Backtesting and bid-ask spread - NinjaTrader | futures io social day trading
futures io futures trading


Backtesting and bid-ask spread
Updated: Views / Replies:1,410 / 2
Created: by Tricks 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
 

Backtesting and bid-ask spread

  #1 (permalink)
Trading Apprentice
Neaples Italy
 
Futures Experience: Intermediate
Platform: NinjaTrader, MetaTrader
Favorite Futures: Forex
 
Posts: 2 since Mar 2015
Thanks: 0 given, 0 received

Backtesting and bid-ask spread

Hi.
I use NT7 with imported 1 min forex data, that Ninjatrader handles by considering only bid prices.

I saw there is no way to include bid-ask spreads into backtesting, so my workaround is that of setting a commission, then backtesting with "Include commissions" set to true, and simulating trades with a fixed lot size, proportional to commission.

Example:
- I want to backtest on EURUSD, assiming a bid-ask spread o 1 pip.
- On Instument Manager I set Minimum Commission = 0.5 (because it's per side).
- I backtest assuming single trades with 10000 units, so that I pay 1 pip = 1$ per trade and the spread is equalized the commission.

This is all good and working if I want to test the pure signal, or if I'm using a fixed lot type position sizing.

But, let's assume that the lot size traded depends on an ATR stop so that the lot size is variable every time.
In this case I would pay a 1$ spread for every trade, regardless from lot size, and the equity line would be wrong.
This means that I can backtest this kind of strategy only without commission.

Any way to work around the problem?
Would I have this problem were I using Kinetick?
What's another backtasting platform that would not have this inconvenience?
(I'm testing Seer Trading, but it has bugs loading historical data)

Thank you.

Reply With Quote
 
  #2 (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, 83,220 received

You can do it with GomRecorder and also I think Gom Tookit for Strategies

https://futures.io/elite-circle/6802-gomrecorder-2-a.html

https://futures.io/elite-circle/24449-gom-profiling-toolkit-strategies-market-volume-profile.html

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
 
  #3 (permalink)
Trading Apprentice
Neaples Italy
 
Futures Experience: Intermediate
Platform: NinjaTrader, MetaTrader
Favorite Futures: Forex
 
Posts: 2 since Mar 2015
Thanks: 0 given, 0 received


I just saw it can be done using the 'Slippage' options from the Backtester.

I use Slippage instead of Commission so, for a 1 pip spread I set a 0,5 slippage.

Slippage can also be set through NinjaScript and the 'Slippage' keyword.

Reply With Quote

Reply



futures io > > > > Backtesting and bid-ask spread

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
Bid/Ask Spread Plot cbritton TradeStation 7 April 7th, 2014 01:17 PM
Spread-Backtesting asddsa NinjaTrader Programming 4 January 6th, 2014 05:22 AM
Scalping the bid/ask spread? humseper Commodities Futures Trading 3 August 26th, 2013 01:17 AM
Bid / Ask spread in backtests Adfra Elite Automated NinjaTrader Trading 4 August 1st, 2013 10:19 AM
BID ASK SPREAD FILTER quantismo Elite Automated NinjaTrader Trading 3 April 6th, 2013 11:31 AM


All times are GMT -4. The time now is 02:15 PM.

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 2017-12-12 in 0.08 seconds with 19 queries on phoenix via your IP 54.163.209.109