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Multi Instrument / Portfolio Strategy Backtesting Problem


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Multi Instrument / Portfolio Strategy Backtesting Problem

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  #1 (permalink)
Kuala Lumpur + Malaysia
 
Experience: Advanced
Platform: NinjaTrader
Broker: Interactive Brokers
Trading: ES
 
Posts: 26 since Aug 2012
Thanks: 13 given, 9 received

Hi,

I'm currently looking at a few stock rotation strategies which involve many instruments and am having some problems with backtesting. So far, NT support has not been any help, and I'm not sure if there are any better ways to approach this.
OnBarUpdate is not fired in Multi Instrument Backtest. - NinjaTrader Support Forum

Basically, I'd like to take the current Russell 1000 and backtest my rotation/portfolio strategy on a large chunk of 2000-2015. However, NT does not call OnBarUpdate() until there is data for all added instruments, even if code has been put in to avoid out of bounds errors.

What this means is any stock which has IPO'd or has been spun-off since 2000 has to be manually removed from the list of added instruments before the strategy will run at all, or if I leave all the instruments there, I end up with a really really short backtest. Removing the instrument from the strategy is simple enough, but finding a list of instruments I need to remove is more of a pain.

Does anyone know of any solutions/workarounds or is NT just not the right tool to be using for this?

Thanks in advance!

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  #2 (permalink)
Market Wizard
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In order to have a valid backtest, you will need to remove the instruments with incomplete data sets anyhow.

I do not think that there is a short cut for the problem.

Also NinjaTrader may not be the best tool for running portfolio backtests on a large number of instruments.

I would wait for NinjaTrader 8 and then see whether portfolio backtesting has been simplified.

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  #3 (permalink)
Dallas,TX
 
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wuileng View Post
Hi,

I'm currently looking at a few stock rotation strategies which involve many instruments and am having some problems with backtesting. So far, NT support has not been any help, and I'm not sure if there are any better ways to approach this.
OnBarUpdate is not fired in Multi Instrument Backtest. - NinjaTrader Support Forum

Basically, I'd like to take the current Russell 1000 and backtest my rotation/portfolio strategy on a large chunk of 2000-2015. However, NT does not call OnBarUpdate() until there is data for all added instruments, even if code has been put in to avoid out of bounds errors.

What this means is any stock which has IPO'd or has been spun-off since 2000 has to be manually removed from the list of added instruments before the strategy will run at all, or if I leave all the instruments there, I end up with a really really short backtest. Removing the instrument from the strategy is simple enough, but finding a list of instruments I need to remove is more of a pain.

Does anyone know of any solutions/workarounds or is NT just not the right tool to be using for this?

Thanks in advance!

I use NT and Multicharts which has a great portfolio backtester, is called Portfolio trader
you can create your instrument list and run test with strategies

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The following user says Thank You to emini_Holy_Grail for this post:


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July 4, 2015


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