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Regression and Correlation based Backtesting?

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    Regression and Correlation based Backtesting?

    Can we Backtest strategies based on Statistical parameters such as REGRESSION, SD and CORRELATION along with Technicals (Range, Pattern, H/L, RSI, other Indicators etc...)
    For Example, if Price moved 2 Standard Deviation above Regression Line and Correlation is > .5 and Range if > 60% and RSI is < 20.
    1) Can we BACKTEST this strategy using Ninja Trader?
    2) Can we automate this strategy using Ninja Trader?

    #2
    BreakingRules, welcome to our forums - this could be backtested and automated with Ninjatrader provided you had created the rules to do so in an automated NinjaScript strategy. This could be started by our point and click wizard interface and further finetuned by custom coding in the C# based NinjaScript editor environment. Most of the technical indicators are already implemented as methods to directly call in your code, such as the Regression Channel or RSI -

    http://www.ninjatrader.com/support/h...sub=regression

    http://www.ninjatrader.com/support/h...ghlightsub=RSI

    To get started in this area, the wizard interface would be best for learning the syntax and basic methods available - http://www.ninjatrader.com/support/h...egy_wizard.htm
    BertrandNinjaTrader Customer Service

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      #3
      Non Linear Regression

      Hi,
      Thanks, but I am looking for Non Linear Regression and the indicators you have mentioned are for Linear Regression Line. Please let me know how can i backtest my strategy using NON LINEAR REGRESSION and other stuff mentioned above.

      Also, I have a basket of instruments (futures only but of different asset classes) which i want to short some and long some of them and then trade them as one Portfolio or Spread. This resultant Spread/Price i want to backtest using upper mentioned parameters. There is nothing new i am doing so i hope there should be a solution for this in Ninja Trader.

      Thanks,

      Comment


        #4
        Per default this would not be provided as study however very likely possible you could create or get this created as addon via our powerful C# based NinjaScript programming language.

        A basket test could be run however not a true portfolio test -

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

        The spread price could be calculated internally in a MultiSeries script, however per default custom spread charts or exchange traded spreads would not be supported unfortunately (we have this on our feedback list though for consideration).

        Some advanced community shared ideas for working spreads and custom index instruments could be reviewed and downloaded here for example - http://www.ninjatrader.com/support/f...=spread&desc=1
        BertrandNinjaTrader Customer Service

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