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Backtesting straddle trades across news events

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    Backtesting straddle trades across news events

    is there a way to back test straddle trades for specific days and times? example I have a list of dates and times with various straddle trades (OCO) orders and I want to see what the results would've been. Since it's a acouple thousand different eventsit's a lot easier if I can test without researching in a chart each trade parameter against that time.

    Any help would be greatly appreciated. Please Help !

    #2
    Hello ARODinsocal,

    Thanks for your post and welcome to the forums.

    You could accomplish your goals (of specific days/times) through the use of the NinjaTrader 8 Playback connection assuming you have market replay data for the dates/instruments of interest. For further information on PlayBack please see: http://ninjatrader.com/support/helpG...connection.htm

    Note: Corrected link for reference to Ninjatrader 8
    Last edited by NinjaTrader_PaulH; 01-27-2016, 08:26 AM.
    Paul H.NinjaTrader Customer Service

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      #3
      ninja playback

      Thanks!
      does this have the capability of testing multiple times at once? I basically have an excel spreadsheet with dates, times, currency, order parameters.

      Comment


        #4
        Hello ARODinsocal,

        Thanks for your reply.

        Using Market Replay, this would be a one event at a time, just like live data except that once done with an event you can then tell it what day/time to jump to next.
        Paul H.NinjaTrader Customer Service

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          #5
          recurring trade

          can I test a recurring trade at once over a time period? Such as the 2nd tuesday of every month at 5 am? Or every Monday at 8 am for past 5 years or whatever?

          Comment


            #6
            Hello ARODinsocal,

            Thanks for your reply.

            In terms of Market replay you can set the replay to run to any date and time for which you have market replay data. Once it is set to a specific date./time you can then run replay over the duration of time. Once the event of interest is over you can then set the start date/time to the next event that you wish to run replay on. So while you are asking "at once" the replay is one at a time. To best understand you might want to download a few days of market replay data and see how it works.
            Paul H.NinjaTrader Customer Service

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