Multi TimeFrame BackTest Showing only Default Time Frame on BackTest

[DuggyLou]

Ok When I run this strategy manually it analyzes and plots the data correctly according to the timeframe that I provide when executing the strategy. However, when I run an optimization backtest it reverts only to using the default timeframe of the price data. It doesn't matter what timeframe inputs I set up the back test to run but seems as if they are ignored and the default timeframe is adopted instead.

public class TimeFrameTest : Strategy
{
private TRIX TRIX1;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
.
.
.
TPeriod = 1;
}
else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Second,15);
AddDataSeries(Data.BarsPeriodType.Second,30);
AddDataSeries(Data.BarsPeriodType.Second,45);
AddDataSeries(Data.BarsPeriodType.Minute,1);
AddDataSeries(Data.BarsPeriodType.Minute,2);
AddDataSeries(Data.BarsPeriodType.Minute,3);
AddPlot(Brushes.Blue, "PlotA");
}

else if (State == State.DataLoaded)
{
TRIX1 = TRIX(Closes[TPeriod], 14, 3);
}
}

protected override void OnBarUpdate()
{


if (CurrentBars[0] < 50
|| CurrentBars[3] < 50)
return;

Values[0][0] = 10*(TRIX1[0])+49; //scaled plot to be used with
// CL 06-17 contract for testing and visualization purposes only
// This plot reverts to default price timeframe when running backtest
// when running strategy manually it plots correctly

if ((TRIX1[2] <= TRIX1[1])&&(TRIX1[1] >= TRIX1[0]))
{
EnterShort();
}

if ((TRIX1[2] >= TRIX1[1])&&(TRIX1[1] <= TRIX1[0]))
{
ExitShort();
}

}

#region Properties
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(ResourceType = typeof(Custom.Resource), Name="TPeriod", Order=1, GroupName="NinjaScriptStrategyParameters")]
public int TPeriod
{ get; set; }

#endregion

[NinjaTrader_ChelseaB]

Hello DuggyLou,

I want to clarify the behavior you are expecting with the code you have supplied.

First, have you checked the box 'Optimize data series' in the Optimize section of the optimization parameters?

With the added series below, these would be added for each backtest of the optimization and would not change. Each of these added series will cause OnBarUpdate to trigger as the bar updates for each series.
Are you finding that the added series are not causing OnBarUpdate to trigger at the close times of each added series?

I'm showing that each series added to the strategy is causing a value to be returned correctly and based on simple plots I am showing these are updating at the correct time.

One odd behavior I will be checking with Development on to see if expected, is that if the indicator is called with an added series the indicator will only plot if there is a value set for each primary bar. This means if AddChartIndicator() is called from a strategy using the primary as a 1 minute series, and the indicator is supplied a 2 minute series, the indicator will return a value to the strategy but will not plot when added to the chart.

A test script is added that demonstrates this. The indicator can be called with a 30 second series ok (because there will be a value set for each bar in the plot), and a 1 minute series, but doesn't show on the chart with a 2 minute series (though it still returns the correct values to the strategy).

[DuggyLou]

Thanks for your reply Chelsea,

Yes, I noticed that the response time for the smoothed indicator using the default price data time frame was delayed. Whereas using lesser indicator time frames moved the signal (where it peaked or valleyed) to the left where I would like it to be. So I'd like to optimize the ratio of price data time frames vs indicator time frames (via selection within the strategy) vs strategy performance. And yes I'd like to be able to "Optimize Data Series" rather than having to run each back test manually for each price time frame.

I've been really busy at my work I've downloaded and install the SelectSeriesForIndicator file but haven't been able to evaluate it yet. I'll give my feedback once I'm able to get to it.

Regards,
Doug

[NinjaTrader_ChelseaB]

Hello DuggyLou,

I'm not quite understanding.

Are you reporting that an added series is not causing OnBarUpdate to trigger?

Are you reporting that an indicator with an added series supplied as the input series is not plotting?

[DuggyLou]

No, I'm simply stating my intention for this strategy. I need my strategy to correctly plot and evaluate ratio of multiple price data time frames vs multiple independent indicator time frames (via selection within the strategy) vs strategy performance.

So far the strategy defaults to the price data's timeframe when running my backtest. (is there something wrong with how I've coded my strategy?) I need it to use the timeframe that has been selected within the strategy in order to evaluate the above.

[DuggyLou]

I've just tried your SelectSeriesForIndicator file. It seems to run ok in real time. But it runs errantly when running a backtest. If you display the chart after running a backtest using optimize data series it will always revert the indicator the the price data's time frame. I need it to use the indicator timeframe that is selected within the strategy during the backtest. In no case did it plot the 30 second or 2 minute time frames that should have been selected within the strategy.

[NinjaTrader_ChelseaB]

Hello DuggyLou,

I was able to confirm the behavior with 'Optimize Data Series' enabled causing the indicator input series to become the primary series.

I have reported this to development. Once I have a tracking ID for this I will post in this thread.

[DuggyLou]

Sounds good. Let me know how it goes. My development is pending this. Thanks

[condor]

Looking to build simple strategy. Any help appreciated. Spread Trading Strategy. With click to "GoShort" (mean short first instrument and long second instrument), "GoLong" (mean long first instrument and short second). Where can I start from? If can somebody post ready code from I can start, appreciated.

[DuggyLou]

Here are some useful references that helped me get started. Don't feel discouraged, the best way I found was to unlock the code in the editor and experiment. I hope this helps.

Hello DuggyLou, and welcome to the forums and to NinjaScript!

If you would like to take on learning NinjaScript, we have a fully documented help guide which will help you get started. You will find language references to all of the methods and functions you will be using. You will also see a tutorial section which will help you create your first indicator and get you started with some of these concepts.
a link to our help guide can be found below

https://ninjatrader.com/support/helpGuides/nt7/educational_resources.htm

If, like me, you learn well from video, this video introducing the NinjaScript editor is an excellent resource,

https://www.youtube.com/watch?v=K8v_2ONBbqI&index=11&list=PL4D56536A44DD7105

You will find reference samples online as well as some tips and tricks for both indicators and strategies:

http://www.ninjatrader.com/support/forum/forumdisplay.php?f=30

http://www.ninjatrader.com/support/forum/showthread.php?t=3229

These samples can be downloaded, installed and modified from NinjaTrader and hopefully serve as a good base for your custom works.


There is a also a growing library of user submitted custom indicators (100+) and strategies that can be downloaded from our support form. Please look in the NinjaScript file sharing section of our support forum as you may find what you are looking for there:

http://www.ninjatrader.com/support/forum/forumdisplay.php?f=37

Finally, the following link is to our help guide with an alphabetical reference list to all supported methods, properties, and objects that are used in NinjaScript.
http://ninjatrader.com/support/helpG..._reference.htm

[DuggyLou]

Hello Chelsea,
I was running additional tests on the "SelectSeriesForIndicator" Optimizing does work normally if "Optimize Data Series" is left unchecked, but if checked it adopts the price data series regardless of the selected indicator series during backtesting. Perhaps you already noticed that.

[NinjaTrader_ChelseaB]

Hello DuggyLou,

Our development has provided tracking IDs for these items.

The behavior 'Strategy indicator not plotting when initialized with added series with greater interval than primary interval and added to the chart' is being tracked with ID #NTEIGHT-11686.

The behavior 'Strategy indicator input series defaulting to primary series when 'Optimize Data Series' is enabled in an optimization' is being tracked with ID #NTEIGHT-11696.

As new releases of NinjaTrader are available, check for these items being fixed in an upcoming release in the release notes.

http://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm