Multi-Timeseries bug, or expected behavior, in Backtest?

[AnotherTrader]

I have a multi-timeseries strategy as follows:

BarsInProgress = 0 -> Range bars
BarsInProgress = 1 -> 15-second bars
CalculateOnBarClose = true

The strategy signal is generated in BIP=0 timeseries, and triggers a market order entry in BIP=1 timeseries.

In Backtest let’s say a signal occurs at end of Range Bar (BIP=0) that closes at 12:00:05.

The 15-second bar (BIP=1) that “overlaps” with the BIP=0 signal bar is the 15-second bar that started at 12:00:00 and ends at 12:00:15.

What surprises me is that in backtest, the market order appears to fill at the opening price of this 15-second bar, i.e. the signal at 12:00:05 results in a fill at a price that occurred at 12:00:00 …

… rather than say the closing price.

So it seems to fill at a “liberal” price, rather than a conservative one.

Is this behavior as expected? Or a bug?

[NinjaTrader_JC]

Hello AnotherTrader,

Depending on how your strategy is code this would be expected as at 12:00:05 the BIP=1 would still be at the 12:00:00 because when backtesting CalculateOnBarClose is always going to be set to true.

Please note that when backtesting Renko bar types it can return results that would not reflect in a real-time market environment. More information about this can be found in the following thread.
http://www.ninjatrader.com/support/f...ad.php?t=49420

Let us know if we can be of further assistance.

[andrei.reiand]

Hi JC,

I've attached a pic showing what I believe to be a problem in the backtesting engine (unless you detect a config issue).

I have a strategy running over the ES 09-15 in combination with another instrument added in its Initialize() function, as well as a SMA, with:

Add("AAPL", PeriodType.Day, 1);
Add(SMA(sma_value));


Things seem to work when doing backtesting, however there might be a problem when I try to optimize over 3 variables.
I get 10 Optimized results, each with at least 1 trade or more, nonetheless, by clicking any from the optimized results (different than the first one), I don't see its component trades.

Even for the first optimized result, if I click on it and then go on the "Chart" section, there is a discrepency: the chart and orders section shows 6 trades as opposed to the optimized upper view where we can see the "Total # of trades" is 3 (picture NT - Backtestin result shows 3 trades but Chart shows 6.PNG attached).

Have you seen this before?

[andrei.reiand]

Added the picture ...

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

I am unsure this is related to this original thread, what you are experiencing may be a cache issue or possible something else.

Can you email our platform support @ ninjatrader.com with this question and provide a link to this thread post?

We can further troubleshoot through email to further see what is happening.

I look forward to being of further assistance.

[andrei.reiand]

Hi Jesse,

It's not a cache issue - it's pretty consistent, and it's related to having multiple instruments into your optimization (not backtesting).
I forwarded it to support. Thanks