How to Use Imported Historial Data for Backtesting?

[john60559]

I've successfully imported historical data from a text file.
1- How do I get NT to use the imported data? It seems NT only has 3 options: a) external data feed, b)market replay connection and c) simulated data feed. None of the options seem to be able to "see" the imported data.

2- How do I verify that the data was actually imported successfully? The import tool would just say "successful". Where can I see the data?

[zoltran]

I'm not NT support ... just another user.. but maybe I can help.

The data would be imported to whatever symbol you used, and would normally be accessible by that symbol name in whatever chart/strategy tester etc you wanted. Not replay... that only uses live data that is recorded from a R/T datafeed... not historical data.

What symbol did you want to import? And what was the filename you used for the import? The symbol also has to exist in the Instrument list.
See http://www.ninjatrader-support.com/H...helpguide.html

For futures .. you can import into the continuous symbol name (uses the ##.## for the expiry date).

For example, the file name for continuous for ES would be ES ##-##.txt

[NinjaTrader_JoshP]

Thanks for the contribution zoltran.

To see the data you imported you don't need to connect to any data feed. You can just open a chart of the instrument and set the time interval to include the data you imported and you will see the data appear on the chart.

[john60559]

Historical data load confirmed

I've been able to confirm that the historical data has been loaded successfully by opening the chart: File-New-Chart.

Now, how do I run my strategy to test against this historical data? It seems, running a strategy requires a "connection". I'd like to connect to the loaded historical data, not to any of the live or simulated feeds.

I'd like to do an automated backtest, not a manual backtest.

[NinjaTrader_Ray]

If you are referring to a real-time test on historical data...

Then you will have to use our Market Replay connection. You will need to record data in real-time in order to have it for future replay.

Information on Market Replay and running a strategy can be found at the links below.

http://www.ninjatrader-support.com/HelpGuideV6/RunningANinjaScriptStrategyFromAChart.html

http://www.ninjatrader-support.com/HelpGuideV6/Overview14.html

[john60559]

Market Replay of historical data?

I have more than 6 years of historical data already. It would be impossible for me start recording now and wait for 6 years before I can start back testing.

Is there any way to convert the historical data that I already have (.txt file that conforms to NT import requirements) to the replay format required by NT? For example, if I start recording live data now, NT would save it into some "compressed" format. Is it possible to get a structure of this format?

From the link you've provided:
"Market replay data is recorded and stored in compressed files located in the <Installation Folder>\db\data folder"

Is the format in zip? and what's the structure of the compressed file? Any file naming convention?

[zoltran]

John
You use the strategy analyser to backtest a strategy.


You need to read the help on this topic.

[NinjaTrader_Ray]

Unfortunately historical data can not be used for Market Replay. As Zoltran stated, use the Strategy Analyzer for standard backtest.

[tradereight]

tool that imports historical data into replay data

the answer from the ninjatrader team is not correct there is a
tool that you can buy for 300$ that allows you to import
imports historical data into replay data.

i dont know why ninjatrader team does not want its users to effectivly use the replay feature, nor why they dont simply allow historical data to be used for market replay, for traders that just work on 1 minute charts a mode just replays the minute charts should be not so difficult to implement (bid/ask data not needed just ohlc)

Unfortunately historical data can not be used for Market Replay. As Zoltran stated, use the Strategy Analyzer for standard backtest.

[ctrlbrk]

Careful using market replay at all. Another recent thread has info where it was revealed NT uses the Tools -> Simulator delays in replay mode, regardless of what speed you select (ie 100x or 500x) it uses the same delays, which will produce unreliable results.

Mike

[BigDog008]

look for a utility called NTDataFeeder

its pretty nifty

[NinjaTrader_Dierk]

Careful using market replay at all. Another recent thread has info where it was revealed NT uses the Tools -> Simulator delays in replay mode, regardless of what speed you select (ie 100x or 500x) it uses the same delays, which will produce unreliable results.

Mike

Just set all delays to 0 and results will be reproducible. Delay != 0 of course would yield different results dependent on replay speed.

[ctrlbrk]

look for a utility called NTDataFeeder

its pretty nifty

From a guy named VitaminC, here is the old archived thread:

http://www.ninjatrader-support2.com/vb/showthread.php?t=6147

This thread also has a lot more useful info in it, and is ACTIVE, thanks to paulchow2k:

http://www.ninjatrader-support2.com/vb/showthread.php?t=6412

Tried to attach v1.2 to this post, but once again the forum has ridiculously low file size limits so can't.

You may download it from

http://www.zshare.net/download/56724326eb3f9a1c/

Mike