Backtest 10year

[cqgnotworking]

Hy,


I use the NQ ## ## chart for back-testing. Until 2016, I can test it for about four years, not for the larger data range. If I try to test for a larger data range it gives a result of 0.

I want to back-test for a 10-year data range.

Unfortunately, I don't understand what the problem might be.


look forward to your response.
Thanks

[NinjaTrader_ChrisL]

Hello, thanks for your post.

What kind of bar type and bar period are you using to test? What data feed are you connected to while backtesting?

I look forward to hearing from you.

[cqgnotworking]

Thanks for your response

I use a bar candlestick chart , and "min bars required " 3. I connected to the Ninjatrader Continuum.

[bltdavid]

I use a bar candlestick chart , and "min bars required " 3. I connected to the Ninjatrader Continuum.

Is it a Day chart, a Minute chart, a Range chart, Renko, Tick .... what kind of candlestick chart?

To be very specific:
What is the period type and the period value?
(Eg, 5-min, 8-Range, etc, etc)

[cqgnotworking]

Sorry, I use 5min chart

[NinjaTrader_ChrisL]

Hello, thanks for your reply.

Minute data for Ninjatrader Continuum should go back to 2006. The continuous contract is not supported for continuum with NinjaTrader 8, so you might have that historical data for the continuous already saved. The Merge Policy setting will determine how contracts are merged together, so you can just use the current contract and pick your time frame. Can you test with the NQ 12-20 contract?

Kind regards.

[cqgnotworking]

Thanks for your response

Now I was trying to test NQ 12.20 for 10 years, but I got the result for 2010-2011. But if from 2016 to 2020 I try to work.
I use Ninjatrader 7. My mergePolicy is "MergeBackAdjusted".

i don't understand what the problem might be.

[bltdavid]

Did you try manually downloading all 10 years of NQ data?

NT7 -> CC -> Tools -> Historical Data Manager -> Download Tab

Select instrument 'NQ 12-20' on left
Change start date to 1/1/2010
Click checkbox Minute
Click checkbox Last
Uncheck all other checkboxes
Click Download button

[cqgnotworking]

Now I did it manually, I downloaded it, but unfortunately it still doesn't work. I use an automated trading robot, it uses several indicators but i don't think it would affect anything.

[bltdavid]

Bring up a 5-Minute 'NQ 12-20' chart, loading 10 years of data. Select option
'CustomRange' for the 'Load data based on' parameter. Do you see any
discrepancies for any date periods that your backtest is struggling with?

You can get deeper into the historical data by looking at certain folders where
NinjaTrader stores the data. When necessary, it is relatively easy to make
sure the historical data files exists.

Go to folder "<My Documents>\NinjaTrader 7\db\Minute"
You should see a lot of subfolders, all named for an NQ contract, these
folders contain the historical data for that contract, named like this,
NQ 03-10
NQ 06-10
NQ 09-10
NQ 12-10
......
NQ 12-20

Do you see subfolders for the NQ contracts that represent the missing
time periods experienced by your backtesting?

Inside the Minute folder,
Inside each NQ contract subfolder, you should see files named for each
day the contract had activity, for example,

Minute\NQ 03-13\20130102.Last.ntd
Minute\NQ 03-13\20130103.Last.ntd

If those files are not time-stamped with today's date, I would delete the
containing NQ subfolder and try the manual download again. In fact,
it's completely acceptable to delete all your NQ contract subfolders,
then re-populate all of them via a new manual download -- just do this
when NinjaTrader is not running -- and make a backup first.

I have many times deleted files and/or folders inside the Day, Minute,
and/or Tick subfolders -- then manually downloaded to force re-population
of my historical data -- it's only necessary if you suspect a data issue of
some kind (such as now). Like I said, exit NT first and make a fresh
backup before doing any surgery.

PS: Be careful when deleting any old historical data you want to keep
(someday you will not be to re-download that data because its become
too old, and is no longer retained) so make a good backup system for
your valuable historical data.

Good luck!

[Alex Al23]

Hello,
could You please tell me how (and if) it is possible to merge all the historical data into a single reference file without doing it manually? Unfortunately, being divided by contract they are unusable with backtesting strategy software external to ninjatrader...I've also noticed that numerous strings are missing where minutes are skipped in an unpredictable way making the data unusable.I use Continuum as data provider and I can use NT8 or NT7 if required (maybe it's still possible to download all the data not splitted with NT7?).Here You can find attached an example image with missing strings.
I usually work with 5 min timebars but if I can download 1 min bars it's even better.
Kindest regards

Alex

[NinjaTrader_ChrisL]

Hello Alex, thanks for your post.

After you download historical data through the Tools>Historical Data Managed>Download, you can export it as a .txt file through Tools>Historical Data Managed>Export. This would be the only supported way of exporting a single chunk of data from the platform. Minute data from the NinjaTrader historical data servers goes back to 2006, there should not be any missing data here. If there is please point out a specific minute and date where it is missing.

Please let me know if I can assist any further.

[Alex Al23]

Hello Chris and thanks for your reply,
unfortunately it looks impossible to export all 10 years in a single file (which is absolutely fundamental for the correct usage in a backtesting environment or external strategy editor).Even setting the right dates of export (from 2010 to 2020) it will only export one single contract I've choosen for the export process.I've also noticed that the downloaded data are in .ntd format and can't be converted.
Is there a workaround or another way of doing this?

Regards

Alex

[NinjaTrader_ChrisL]

Hello Alex, thanks for your reply.

Unfortunately, there's no other way of exporting data in NinjaTrader. I know there are third party sites that sell historical minute and tick data going back many years, that would be the next place to look if the export data from the platform is not going to suit your needs.

Best regards.

[Alex Al23]

Hello Chris,
ok understood...I've copied and pasted everything by hand. I've noticed again a lot of missing lines pratically everywhere. If you look at the image I've posted a couple of days ago you'll see the missing minutes...this happen a lot (I use continuum as data provider) Is this a bug?