Backtest questions

[alex.nt]

Hi,

I would like to test multiple futures on pretty long (1-year) period, various timeframes (1 min, 5 min, 15 min, ... 1 week).

1) I can download historical data for the date range while connected to my data provider, correct?

2) Assuming I have CQG as provider, I can download all tick, minute, and day data types. Each type would be used depending on what data period is chosen in strategy options for backtesting, correct?

3) However, the problem is that historical data occurs once per bar. What would be the best way to backtest the strategies with Strategy Analyzer in a sense of COBC=False? In other words, how would one backtest the COBC=False strategies?

Thank you!

[NinjaTrader_PatrickH]

Hello alex.nt,

Thank you for your post.

1) I can download historical data for the date range while connected to my data provider, correct?

If you data feed provider supports the Period Type and has the Historical Data you are requesting, then this will be possible.

2) Assuming I have CQG as provider, I can download all tick, minute, and day data types. Each type would be used depending on what data period is chosen in strategy options for backtesting, correct?

That is correct.

3) However, the problem is that historical data occurs once per bar. What would be the best way to backtest the strategies with Strategy Analyzer in a sense of COBC=False? In other words, how would one backtest the COBC=False strategies?

You can find a reference sample on using a smaller time frame to simulate intra-bar fills or even calculate on the smaller interval at the following link: http://www.ninjatrader.com/support/f...ead.php?t=6652

Please let me know if I may be of further assistance.