Enter on one TF, exit on another

[eleven]

I am using the attached reference sample strategy. When I backtest I get different results based on what time frame I use for BIP(0).

In the strategy, BIP(1) is on 5 min bars(exit) and BIP(2) is on 15 minutes bars(enter).

Why do I get different back testing results with differing BIP(0) time frame? I've used 1 minute up to 60 minutes. Is this normal? If so, what BIP(0) time frame is proper to use for back testing?

Thanks,
eleven

[NinjaTrader_Austin]

eleven, if you are using NT6.5, it is necessary to have the largest timeframe as the primary bars index, with each decreasing timeframe given the next BIP index. For example, if you are using 60 minute bars, 5 minute bars, and 15 minute bars, the 60 minute bars should be BIP0, 15=BIP1, and 5=BIP2. Please try re-writing the strategy with this in mind and let me know if the issue persists.

[eleven]

Austin,

I modified the reference sample to reflect the above changes. (I am using NT7,b21). The enter is triggered on 15 min bars (BIP1) and exit on 5 min bars (BIP2).

The question I have is every time I backtest I get a different result depending on what time frame BIP0 is. For example, BIP0=15 min vs. BIP0=60 min has very different p&l. Shouldn't performance be the same? If not, what time frame should BIP0 be when backtesting?

I've attached the strategy used.

Thanks,
eleven

[NinjaTrader_Austin]

eleven, I looked through your code and everything should be triggered when BIP = 1 and 2, so you are correct that the performance should be the same. I am not exactly sure why the performance is different - I tested it out on my end to be sure and I'm getting the same results as you. I'll have someone get back to you tomorrow regarding this issue.

[NinjaTrader_Bertrand]

eleven, thank for your patience on this issue - there was unfortunately a bug in this area in B21 which is fixed for our B22 - please retest your scenario then and let us know how it goes.

Thanks

[eleven]

Thanks Bertrand. I will retest.