LineBreak - Base Period Value

[Francis]

In the LineBreak chart setup/ Strategy Analyzer/ Strategy Setting one have to set the 'Base Period Value' of the number of period bricks the calculations have to be based on. NT sets this automatically on 150.

I don't fully understand how NT handles this Base Period Value. Backtesting with different numbes (50-150-300-450-600 for example) result in very different outcomes, all other setting unchanged. How to interpret this setting? Especially while you also have to set the 'Maximum Bars Look Back'. If this number is lower than the Base Period Value, what number is used by NT and vice versa?

[NinjaTrader_Jason]

Hello Francis,

The 'Base period type/value' determines on what data the LineBreak bars are created. If you use different base periods/values, you will plot different LineBreak bars. Subsequently backtest results will be different.

Please see the link below for more information regarding the LineBreak period type.

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

The 'Maximum bars look back' setting determines the amount of bars that are used to calculate strategy calculations. If set to Infinite, it will use all available amount of bars as per the data set you select.

[Francis]

Hello Jason,

Thanks for the reply.

I thought I understood the base period value in the way you explain it, but why are there different results for different base period values if the strategy parameters are far within these period bars? Even if the linebreak bars are set to one and no other indicator use over 100 bars for example, the maximum bars look back is set to these 100, strategy result still differ significantly for base period values ranging from this 100 to 600. How is this possible if no single element of the strategy had to use this amount numbers of bars?

[NinjaTrader_Jason]

You have different results because different base period values cause different LineBreak bars. You can see this yourself when creating two LineBreak charts. Use a different base period value in each chart and you will see that LineBreak bars are different. Different LineBreak bars will cause different backtest results.

[Francis]

Your answer is exactly my question, but why are different LineBreaks bars calculated? If the LineBreak is set to 1 and base period value 150, a new bar is plotted when price is higher then the previous high or lower then the previous low of just one bar back. What do the other 148 bars have to do with the calculation of the new bar? Or is the base period value not pointing to bars, but ticks? In that case it is possible to have a series of over 150 ticks of up and down ticks within the period a new bar should be plotted based on setting LineBreak to 1, because no new high or low is reached related to the last bar. Only then different LineBreaks can be plotted for different base period values.

[NinjaTrader_Jason]

The LineBreak bars need to be calculated from a basis - the base period value. When you set it to 'Minute - 1', the LineBreak bars are based on a 1 minute chart. When set to 'Minute - 3', they are based on a 3 minute chart. Subsequently historical LineBreak data is different because it is built by the OHLC values of the base period value you select.

You can set it to a period type to your liking. It can be set to minute but tick as well.