Backtesting on the ES

[arbuthnot]

Hi - I'd like to backtest some strategies on the ES back a year or two. (The current contract is of course ES 06-12.) But when I try even from January 2012, I get a message that there's an error loading data for ES 03-11 Globex. Unable to load historical data, etc. If I try from a more recent date, it says the same for ES 06-12.

Is there any way of getting an ES backtest?

Also, when I've tried to backtest using the ^DJIA: i.e. the Dow (which moves very similarly to the ES), it sometimes works only back as far as October 2011 and then has a problem.

Just to add that I have a data feed for ^DJIA and the ES from Kinetick that's working perfectly on charts.

Your advice will be much appreciated.

Arbuthnot

[NinjaTrader_Cameron]

Hello Arbuthnot,

Thank you for your note.

Can you tell me the following:

- What version of NinjaTrader are you using? You can check under Help -> About, this will look like 7.0.1000.x

- Who are you connected to? This is displayed in green on lower left corner of the Control Center window.

- What chart interval is selected inf your Strategy Analyzer? (e.g. 5min, 4 range, etc.)

- Is there an error message listed in the Log tab of the Control Center? If errors are found, please report.

[arbuthnot]

Cameron, much obliged for your reply. My answers are:

- Version: 7.0.1000.8

- I’m connected to Kinetick.

- For the ES, I’m using 4 range.
For the DJIA, I’m using 1000 range.

- In Log, there are a few errors:

Error on loading chart data for 'ES 03-11 Globex': Unable to load historical data: unknown instrument

Error on loading chart data for 'ES 06-11 Globex': Unable to load historical data: unknown instrument

‘ES 06-12’ market data is delayed since your account does not have real time subscription for the exchange this market trades on.

Just to add that I have a real-time subscription with Kinetick for both these markets and they work perfectly on the charts and I've had these problems for some time.

Many thanks for your further advice.

[NinjaTrader_Cameron]

Arbuthonot,

Thank you for the update.

Range bars are built off of Tick data.

When requesting tick data between the hours of 9:30am ET to 4:30pm ET you will have access to 8 days of historical tick data. If you request the data outside those hours the full 120 days is available. After you request the data, it will be downloaded to your historical database and cache, and you will be able to access this data at any time.

Requesting tick data consumes an extremely large amount of bandwidth and heightens data server loads. When bandwidth or server load is elevated to high levels, the result is that all data, including live data can be slowed down. We decided to make 120 days of tick data available, far more than other providers, and will not compromise the data by filtering it. We simply reduce any possibilities of overloading servers and bandwidth by limiting the amount of data available during peak trading time; the times that traders need data to be as fast as possible.

[arbuthnot]

Thanks very much for that explanation, Cameron. I see fully why range bars are of necessity built of tick data. (They would be meaningless otherwise.) It's obviously best to do this sort of backtesting outside of the hours you gave.

Much obliged.