BarClose and Backtest

[kafeu]

Hi,

I trade an intrabar strategy which also calculate and set BE+1 intrabar.

The help guide says "During backtest, strategies can ONLY be processed at the close of each bar".

The backtest positions looks all right, but when BE+1 should be set intrabar, it's set on the open of the next bar (bar close), so not à the good level.
This way the backtest gives wrong results.

Is there a way to deal with this or can't I backtest this strategy ?

Thanks !

[NinjaTrader_Bertrand]

kafeu, that's correct if you're dealing for example with a single series strategy that would only 'know' the bar's OHLCV info - however you could add finer granularity to a script to try simulating intrabar fills / conditions - http://www.ninjatrader.com/support/f...ead.php?t=6652

Easiest thought for your would be running your strategy on CalculateOnBarClose = false in Market Replay which would know the intrabar tick formation then.

Thanks,

[kafeu]

In SampleIntrabarBacktest strategy exemple, COBC is set to true.
Could I use this hack with COBC = false ?

Also I use 8 range bars, could use that with range 1 + range 8 ?

Thx

[NinjaTrader_Bertrand]

In backtesting COBC is always 'true', however it's 'true' here for the 1 Range series in your example, meaning you can access this quicker series and work your conditons here instead of waiting for the update on the 'too slow' series (your 8 Range).

[kafeu]

Actually, mu strategy uses COCB = false and I don't want to have to versions: one for backtesting and one for live. Looks like my strategy is running quite fine in the Strategy Analyser.

To work around intrabar needs, I'll try to add a 1 range series.

Thanks