Adding a wide range of contracts for backtesting

March 26th, 2015, 12:07 AM

Hi, I am currently backtesting calendar spread using NinjaTrader 7, and I am adding a list of CL contracts in Initialize(), like this:

Code

Add("CL 03-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 04-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 05-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 06-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 07-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 08-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 09-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 10-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 11-10", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 12-10", BarsPeriod.Id, BarsPeriod.Value);
			
			
			Add("CL 01-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 02-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 03-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 04-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 05-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 06-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 07-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 08-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 09-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 10-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 11-11", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 12-11", BarsPeriod.Id, BarsPeriod.Value);
			
			
			Add("CL 01-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 02-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 03-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 04-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 05-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 06-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 07-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 08-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 09-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 10-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 11-12", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 12-12", BarsPeriod.Id, BarsPeriod.Value);
			
			
			Add("CL 01-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 02-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 03-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 04-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 05-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 06-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 07-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 08-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 09-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 10-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 11-13", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 12-13", BarsPeriod.Id, BarsPeriod.Value);
			
			
			
			Add("CL 01-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 02-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 03-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 04-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 05-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 06-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 07-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 08-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 09-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 10-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 11-14", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 12-14", BarsPeriod.Id, BarsPeriod.Value);
			
			
			Add("CL 01-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 02-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 03-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 04-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 05-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 06-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 07-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 08-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 09-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 10-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 11-15", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 12-15", BarsPeriod.Id, BarsPeriod.Value);
			
			
			Add("CL 01-16", BarsPeriod.Id, BarsPeriod.Value);
			Add("CL 02-16", BarsPeriod.Id, BarsPeriod.Value);

And in my OnBarUpdate(), for demonstration purpose, I will just have:

Code

Print("Hello World");

The backtest period is from 1/1/2010 till 19/3/2015, using daily bar, and BarRequired = 0;

Th expected behavior is a list of "Hello World" in console output, but, I am not getting even 1. Seems like OnBarUpdate is not running at all.

However, remove CL 01-16 and CL 02-16 then "Hello World" will be printed. Why is this happening?

March 28th, 2015, 08:35 PM

Check the "Log" tab in the Control Center to see if there are any error messages, you may have some error messages that occurred in the Initialize() method.

vhanded

Th expected behavior is a list of "Hello World" in console output, but, I am not getting even 1. Seems like OnBarUpdate is not running at all.

However, remove CL 01-16 and CL 02-16 then "Hello World" will be printed. Why is this happening?

March 28th, 2015, 09:23 PM

Can you actually chart 01-16 and 02-16? May be a data problem

Sent from my phone

March 28th, 2015, 10:20 PM

Big Mike

Can you actually chart 01-16 and 02-16? May be a data problem

Sent from my phone

Hi Big Mike, yes, I can add just CL 01-16 and CL 02-16, and "Hello World" is printing. No problem.

March 28th, 2015, 10:20 PM

shodson

Check the "Log" tab in the Control Center to see if there are any error messages, you may have some error messages that occurred in the Initialize() method.

Nothing is printing in Log...

March 29th, 2015, 09:10 PM

vhanded

Hi Big Mike, yes, I can add just CL 01-16 and CL 02-16, and "Hello World" is printing. No problem.

Daily bars or intraday bars?

March 30th, 2015, 10:38 AM

shodson

Daily bars or intraday bars?

This is daily bar.

Adding a wide range of contracts for backtesting

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Adding a wide range of contracts for backtesting