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Backtesting strategies with ATM functions

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    Backtesting strategies with ATM functions

    Hi,

    I would like to backtest a strategy with an ATM strategy that is capable to add up or substract positions depending on MFE or MAE information. But I think that this is not possible when backtesting.

    Is there any way to use MFE or MAE data on a strategy when backtesting?

    I need to do this because one of the most important things when backtesting or optimizing a strategy, is to find a good money management performance. If it's not possible to backtest this kind of data, I think that MAE and MFE information gived in the backtest summary of NT is not really useful.

    Regards,

    #2
    Hello,

    Thank you for your post.

    You can access the Strategy Performance values when backtesting and they will be updated during this operation:

    http://www.ninjatrader.com/support/h...ancevalues.htm

    However you cannot use ATM Strategies to backtest. If you would like to backtest an ATM Strategy, it is recommend to use Market Replay.

    Otherwise you would need to hand code to emulate the ATM Strategy methods using standard strategy methods.
    MatthewNinjaTrader Product Management

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