Run Backtest on every tick, not on bar close

vadzim

Junior Member

Join Date: Aug 2010

Posts: 12
#1

Run Backtest on every tick, not on bar close

08-24-2010, 02:10 AM

How I can test Strategy on every tick, not on bar close?

For example if I select 60min it use only HLOC prices this bar, but I have tick data. Why it's happend?

Thanks
Tags: None
NinjaTrader_Bertrand

NinjaTrader Customer Service

Join Date: Sep 2008

Posts: 26253
#2

08-24-2010, 03:21 AM

vadzim, welcome to our forums here - unfortunately the tick formation of your minute bars is not known in backtesting, the OnBarUpdate() for the strategy / indicators would be called at the close of the bar only.

To simulate an execution intrabar, you can add a finer granularity to your strategy as per this sample -

Strategy: Backtesting NinjaScript Strategies with an intrabar granularity - NinjaTrader Support Forum

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

You can submit orders to different Bars objects. This allows you the flexibility of submitting orders to different timeframes. Like in live trading, taking entry conditions from a 5min chart means executing your order as soon as possible instead of waiting until the next 5min bar starts building. You can achieve this by

BertrandNinjaTrader Customer Service
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