Backtesting for 18 months back with a multi time period not working

[nikolaalx]

Hi,
I am backtesting one instrument for a 18 month period.

I use 10 min bars as primary and 1 min as secondary.

Strange that when I do the backtest, though I select 1st Jan 2013 as beginning month, I see data starting from 1st Oct 2013. Practically 10 months are left out.

When I specifically select 1st Jan 2013 - 30th Oct 2013, no data appears (blank with 0s in all results).

Has anyone have any idea why this might be happening?

I am using Kinetick real time subscription for historical data provider.

[NinjaTrader_Brandon]

Hello nikolaalx,

Thanks for your post.

What instrument (and expiry if applicable) have you selected?
What is your Merge Policy set to? (Tools> Options>Data> MergePolicy)

[nikolaalx]

I am testing FB .

Merge policy is : MergeBackAdjusted

[NinjaTrader_Brandon]

Hello nikolaalx,

Thanks for your reply.

Are you able to get results if you backtest the SampleMACrossover during this time?
If you open a minute chart are you able to display bars during this time?

[nikolaalx]

I am able to generate results and charts with single timeframe strategies.

I am also able to generate partial results for that particular multi timeframe period strategy, however for those 10 months, they do not appear.

I have tried to reload the historical data but to no avail.

[NinjaTrader_Brandon]

Hello nikolaalx,

Thanks for you reply.

Can I clarify, currently does historical minute data during this period display if you open it in a chart or is this data missing and not able to be reloaded?

[nikolaalx]

Yes I am able to load up a chart for the whole period (1min bars) just fine.

I am also able to load a 10 min bars chart as well.

[NinjaTrader_Brandon]

Hello nikolaalx,

Thanks for your reply.

I have tested a multi time frame strategy on my end to work during this time without issue.

Please test the attached strategy and see if it works for you.

To Import
1. Download the strategy to your desktop, keep them in the compressed .zip file.
2. From the Control Center window select the menu File> Utilities> Import NinjaScript
3. Select the downloaded .zip file
4. NinjaTrader will then confirm if the import has been successful.

Critical - Specifically for some strategies, it will prompt that you are running newer versions of @SMA, @EMA, etc. and ask if you want to replace, press 'No'

[Marcelogais]

Missing action when Add(PeriodType.Day, 1)

Yes I am able to load up a chart for the whole period (1min bars) just fine.

I am also able to load a 10 min bars chart as well.

I am having exactly the same problem in differents time frames.
I backtested 15 minutes strategy since 01/01/2013 and after I Add(PeriodType.Day, 1); the strategy just forget the past before 09/08/2013. (dd/MM/yyy)
I have tried print together all info OnBarUpdate() and it just ignored the command before 09 August. I am not seeing where I get wrong.
Thanks for help in advance.

[NinjaTrader_Brandon]

Hello Marcelogais,

Thanks for your post.

What instrument (and expiry if applicable) have you selected?
What is your Merge Policy set to? (Tools> Options>Data> MergePolicy)
Are you able to get results if you backtest the SampleMACrossover during this time for minute data? How about for daily data?

[Marcelogais]

I am testing to ES 09-14 Policy set to MergeBackAdjusted
My code
protected override void OnBarUpdate()
{
if (BarsInProgress !=0)
return;

Print(Time[0].ToString("dd/MM/yyyy") + "," + Time[0].ToString("HH:mm") + ", BarIndex0: " + CurrentBars[0] + ", BarIndex1: " + CurrentBars[1] +", EMA1: " + EMA(Ema1)[0] + ", EMA2: " + EMA(Ema2)[0]);
// Condition set 1
if (CrossAbove(EMA(Ema1), EMA(Ema2), 1))
{
Print(Time[0].ToString("dd/MM/yyyy") + "," + Time[0].ToString("HH:mm:ss") + EMA(Ema1)[0] + " XUp EMA");
ExitShort("ExS", "");

The first prints OnBarUpdated() are:
09/08/2013,17:00, BarIndex0: 3998, BarIndex1: 1, EMA1: 1664,12871106547, EMA2: 1664,99270500709
12/08/2013,10:45, BarIndex0: 3999, BarIndex1: 1, EMA1: 1663,86835551177, EMA2: 1664,85206995841
12/08/2013,11:00, BarIndex0: 4000, BarIndex1: 1, EMA1: 1663,61862671537, EMA2: 1664,71416568737
And they crossabove only
23/08/2013,14:15:001627,53600033757 XUp EMA

Backtesting SampleMACrossover for minute data it worked fine, but when I choose daily data It seemed to wait the same time for started backtesting.
I have notice the problem is when mixed daily and minutes.

[NinjaTrader_Brandon]

Hello Marcelogais,

Thanks for your reply.

Who are you connected to for data? This is displayed in the bottom left of the Control Center in green.
What From and To date are you testing?

[Marcelogais]

Hello Brandon thanks for answer.
My data come from IB.
I usually backtest not logged, it is in my ninja data base, but before add 1 day data period it worked fine.
Have you notice my print BarIndex1 = currentbar[1]=1 it appear only 3398 bars after my 15 min running.
I am testing 01/01/2013 to 09/09/2014 (dd/MM/yyyy)

[NinjaTrader_Brandon]

Backtesting SampleMACrossover for minute data it worked fine, but when I choose daily data It seemed to wait the same time for started backtesting.

Hello Marcelogais,

Thanks for your reply.

If you are saying that you can not properly run the SampleMACrossover on daily data for this time period this is what will need to be resolved.

Please ensure you are running the most recent version of NinjaTrader and the required version of Traders Workstation.

To check what version of NinjaTrader you are running go to Help> About
To upgrade to NinjaTrader version 7.0.1000.25 please follow the link bellow.

http://www.ninjatrader.com/download-registration.php

Under Current User paste your license key.
You can locate your license key under Help> License key
Select Download NinjaTrader
Download Version 7.0.1000.25 (Current)
Before running the installer ensure NinjaTrader is closed.

To verify what version of Traders Workstation you currently have log into Traders Workstation

* Under Help go to About Traders Workstation...
* Scroll down and look for Build

You can download Traders Workstation 944.3 from the link below

http://www.ninjatrader.com/ninjatrader/TWS/tws40_install_944_3.exe

Follow the steps in our Interactive Brokers Connection guide (linked below) to configure Traders Workstation 944.3

http://www.ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide.php

Once complete exit NinjaTrader and open the following directory in Windows
Documents\Ninjatrader 7\db\cache
Delete the contents within this folder
Next open Documents\Ninjatrader 7\db\Day
Delete the ES data within this folder

Start NinjaTrader and test the SampleMACrossover once again on daily data

[Marcelogais]

If I delete the ES db from this directory I will not be allowed to download again so much data from IB, they say the historical request is too long.
I am using all updated application that you mentioned.