Backtesting & time stamped tick data

[billr]

Hello,

Can NT with Kinetick data backtest tick by tick where each tick has a time signature/stamp (whatever its called) and not bundled by bar size or minute data? If so, how far back can you go?

Thanks.

[NinjaTrader_RyanO]

Hi billr,

Thank you for your post.

Tick data is available from Kinetick extending 120 days, and it is natively time-stamped from the Kinetic servers.

Because these two facts then you can back test on a tick by tick basis from the data available for 120 days off of the Kinetick servers if you configure the Strategy Analyzer to backtest in that manner

[billr]

OK. thanks Ryan. What are the Strat Analyzer settings I need to check?

[NinjaTrader_RyanO]

Hi billr,

The settings you would use would be back-testing based on a bar period type that is built using component ticks, such as a tick bar, and even though the ticks will be bundled each tick will be accounted for within the bar.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?backtest_a_strategy.htm

[billr]

So if I use a 100 tick chart for example, what setting ensures that the StratAnalyzer will read each tick in the correct time sequence within that bar? And, is it a setting in Strat Analyzer only or will I also need to make sure my Ninja script has some certain coding also? What if the strat is created using Wizard?

Thanks.

[NinjaTrader_RyanM1]

Hi bill,

There is not a setting available that allows NinjaTrader to automatically look in the contents of the bar. You have to code this granularity as an additional series, or test with market replay, which then plays back the sequence in order.

[billr]

Oh. That sounds slightly different than the answer below via Ryan Olsen. Can you clarify?

Also, if you use market replay, would I need to record my own or does Ninja keep time-stamped tick data in the replay server?

OR, what if I used a 1 tick chart with trade triggers generated from a 100 tick chart?

[NinjaTrader_RyanM1]

Please see here for discrepancies expected real time versus backtest, which explains this in more detail:

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

There is a sample available that can help you backtest with intrabar granularity:

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

Market replay files for commonly-traded instruments are recorded and supplied by NinjaTrader. You can also record your own by turning this on at Tools > Options > Data tab.

http://www.ninjatrader.com/support/helpGuides/nt7/market_replay.htm