Testing Intra Bar

[Trader17]

Can NT8 back test intra bar using tick data? Like buy as the high of the previous is broken and vice versa. Looks like the Wizard is plotting trades only after the close of a bar. Like I am supposed to download tick data or something else before back testing?
Thanks.

[NinjaTrader_AlanP]

Hello,

When using backtesting the strategy will run exactly the same as if CalculateOnBarClose is set to true. This is true whenever the strategy runs on historical type data. The reason for this is because the only info known historically is the Bar open, High, Low and close and not all of the ticks that make up the bar. You can also get extremely misleading results if you are using a bar that changes shape such as renko bar type as the finished bar does not show the true range of price movement.

Please see Discrepancies: Real-Time vs Backtest section of our helpguide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?discrepancies_real-time_vs_bac.htm

Adding a secondary data series of a smaller time duration would allow your strategy to enter/exit intra bar and give you results closer to market replay.

Please see Backtesting NinjaScript Strategies with an intrabar granularity for a reference example on how you’d set this up.

http://ninjatrader.com/support/forum/showthread.php?t=6652

Please let us know if you need further assistance.

[Trader17]

So I can say add down to a 1 minute data series I assume as the lowest time frame to test a 5 min. or 15 min. chart or higher. Correct? So there is no way to back test using a tick chart in NT 8?
Thank you.

[Trader17]

So how do I add say a 1 minute series of the same instrument to back test in NT8?
Thank you.

[NinjaTrader_AlanP]

Hello Trader17,

The sample I provided, Backtesting NinjaScript Strategies with an intrabar granularity, demonstrates how to add a secondary data series of type tick.

Please let us know if you need further assistance.

[Trader17]

Got it. I can add a data series directly from within the Builder it seems. And I can make the strategy refer to it while back testing? So say I am testing on the 30 min. chart with a 1 min. data series it will show trades intra bar on the 30 min. time frame?

Thanks.

[NinjaTrader_AlanP]

Hello Trader17,

At the moment the strategy builder does not allow you to specify a bars index for orders to be submitted to nor use BarsInProgress, so this would not be possible in the builder however I will add your vote to feature request, SFT-2400.

Please let us know if you need further assistance.