Multi Instrument / Portfolio Strategy Backtesting Problem - NinjaTrader | futures io social day trading
futures io futures trading


Multi Instrument / Portfolio Strategy Backtesting Problem
Updated: Views / Replies:1,631 / 2
Created: by wuileng 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
 

Multi Instrument / Portfolio Strategy Backtesting Problem

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

Multi Instrument / Portfolio Strategy Backtesting Problem

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!

Reply With Quote
 
  #2 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary

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.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #3 (permalink)
Elite Member
Dallas,TX
 
Futures Experience: Intermediate
Platform: NinjaTrader, OpenQuant
Broker/Data: Zaner/Zen Fire
Favorite Futures: ES,6E,6B,GC,CL
 
Posts: 590 since Nov 2009
Thanks: 176 given, 116 received



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

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

Reply



futures io > > > > Multi Instrument / Portfolio Strategy Backtesting Problem

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
NinjaTrader Backtesting multi time frame strategy aks19 NinjaTrader 0 March 2nd, 2015 04:06 PM
Multi-instrument code strategy Astrogirl NinjaTrader 1 April 14th, 2014 03:47 PM
Multi-instrument strategy jnorris NinjaTrader Programming 14 February 4th, 2014 03:02 AM
Help with a Multi-Instrument Indicator ECI Ed NinjaTrader Programming 12 July 31st, 2013 10:22 AM
Portfolio backtesting smartinek Traders Hideout 4 March 28th, 2011 10:29 AM


All times are GMT -4. The time now is 10:48 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 2017-12-14 in 0.08 seconds with 19 queries on phoenix via your IP 54.90.207.75