session template unusable

[nicknamed]

Hi,
I backtest in beta 21 few currency pairs (50min timeframe) downloaded from IQFeed with my own session called Forex Asia which trades 00-09h CET (minus 6h and you get these times in EST). And so I want to let the backtester trade only between 00 and 09h during my timezone. But it is making trades between 6 and 15h my timezone!

If I change the timeframe to 10M, then it trades between 5am and 15h (=3pm).

If I use for my downloaded ETFs or currencies (also from IQFeed) on 10M timeframe US Equities RTH, then the trades take place between 14:30 and 22h (which is 8:30 and 16h EST!) while it should trade only between 15:30 and 22h due to the template.

If I backtest ETF on 30M timeframe on US Equities RTH, then it trades between 15:30 and 22h. On 20M, it begins trading at 15h.

If I backtest my system on US Equities ETH (8-20h) then i get trades 00-02:30 and 13-00h.

(the strategy makes over 5000 trades in last five years - using settings to generate as many trades as possible to see when it trades).

This renders the whole session template management useless.
Who programmed this? Who tested this? Any solution anytime soon?
N.

I am sorry to be angry, I just wanted to let my system trade on real money just tomorrow and I am happy I found this huge flaw from loosing money as it would trade in totally different times.

-----------------------------To replicate this do the following
MA Crossover, fast :2, slow 3
AUDJPY, 3Min Timeframe, tested since 1.1.2010, trades: between 8000-11000
used session: Forex Asia (00-09), trades take place 5-15h (incorrect)
used session: EUForex (8-16), trades take place 13-22h (incorrect)
used session: US Equities RTH, trades take place 14:30-22h (incorrect)

30Min Timeframe, trades around 1000 :
used session: Forex Asia (00-09), trades take place 6-15h (incorrect)
used session: EUForex (8-16), trades take place 14-22h (incorrect)
used session: US Equities RTH, trades take place 15:30-22h (correct)

I live in EST +6 hours, so even if the times would be in EST (as downloaded data from IQFeed might have different timestamps - I do not know why you do not tackle that if that is the issue), then why sometimes it is correct and sometimes incorrect? Sometimes it trades 1 hour more and sometimes not. Sometimes many hours after the template says so. Who did this to Ninja Trader?

[NinjaTrader_Austin]

nicknamed, thank you for this report. We will look into it starting tomorrow.

[NinjaTrader_Bertrand]

nicknamed, sorry for the late reply - I tried your setup on my end (PC in CET) : setup a custom template trading from 12:00 AM to 9:00 AM CET (important to designate in which timezone those are expressed in the session manager). I then ran the SampleMACrossOver and the first 50 min closed exactly 50 min's past midnight my local time, which is how it should work.

Please clarfiy - which OS and .NET are you using?

Was your session template expressed in the proper time zone?

Please also try with

a) a fresh cache for those template (located under MyDocuments\NinjaTrader 7\db\cache)

b) a fresh downloaded set of historical data (you can delete data via Tools > Historical Data Manager)

Thanks

[nicknamed]

after new download (I renamed my minute dir to minute ETF and created clean minute directory in db directory and freshly downloaded AUDJPY) and delete of all cache, that was in that directory, it repeats again. You can see what it did on AUDJPY (fast 2, slow 3, data from 1.1.2008 till now). It still trades from 14:30 and I think it should start at 15:30.

[nicknamed]

Forex Asia

the same thing here, see the screenshot, the same data of AUDJPY. Same settings, just changes session.

[nicknamed]

I got exactly the same result on totally different computer, with different Win installation. Same timezone settings (all czech).

Windows 7 professional (second test was on Ultimate) all CZ settings, .NET 3.51

[nicknamed]

wow, probably I have found the flaw for US Equities RTH session template (still have no idea where the problem lies with the Forex Asia session) but maybe this will give you a hint.

I did again the backtest on AUDJPY, 5M US Equities RTH and found, that it is doing trades between 1430 and 1530 CET ONLY during overlapping Daylight savings time between USA and Central Europe.

I just do not see why during import it changes times for all trade data according to DST, I thought they should be all the same in respect to exact date when I am downloading them. So the results are valid for 30M test on US Equities RTH, just have no idea about Forex Asia 0-9am trading many hours later.

DSTs as indicated here:
http://www.webexhibits.org/daylightsaving/b2.html you can try it, I think might not have the same results as you live in the states and have the same DST settings all the time.

During overlapping DSTs the difference between EST and CET falls from 6 hours to 5 hours, so the markets in the US open 14:30 CET.

Just please try to help me understand why it behaves badly for Forex Asia.

Thanks a lot in advance.
N.

PS. I just opened graph of AUDJPY under Forex Asia and I see exactly 6-15h CET. So there is no chance to see trades on demo account at IB during 0-9 am CET.

[NinjaTrader_JoshP]

nicknamed,

You have said "Forex Asia" session several times, but NT does not come with any such template. Can you please inform us with a screenshot of how exactly you have this session template defined? Thank you.

[nicknamed]

Josh, if you would read the whole thread (as you found I mentioned it several times), you would know, that post dated Today, 07:12 PM got an image attachment with that session defined.
N.

[NinjaTrader_JoshP]

nicknamed,

Thank you. Must have missed that screenshot earlier.
The session template is working exactly as you have defined it.

0-9 in Eastern time converts to your local time as 6-15 CET. If you want 0-9 CET your session template should be 0-9 CET time and not Eastern time. Alternatively, if you want to leave the session template's timezone alone, you would need to find the equivalent of 0-9 CET in the Eastern time zone. That would mean selecting 6pm-3am in the session template instead of 0am-9am.

[nicknamed]

wow, thanks, my bad, I missed completely the timezone mark, I saw it so many times with the US Equities RTH on which I spent many hours, that I did not pay sufficient attention to this one. Please excuse me that.

I would only suggest that default timezone would be the one where the trader lives, you will evade other people like me who did not pay proper attention.

[NinjaTrader_JoshP]

Great. Glad we were able to get to the bottom of this one.