ZN Backtesting

[fLife]

Hi,
I've been backtesting ZN and noticed something I cannot understand. Backtesting data (i.e. entry and exit prices) are different than the ones I see on chart.

Example - Backtest says it entered position at 90'00 on 1/1/2009 but that days range (or that month period's range) was nowhere near 90 as it was for example 100 - 120.

Could anyone please explain to me, why am I getting these different numbers?

Thanks.

[fLife]

Also I was comparing historical data with other platforms that have them already built in (TOS, OptionVue,..) and they are correct.

We are using Kinetick data with Ninja. Any help is appreciated.

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

I would like to ask, have you tried other strategies over the same data such as one of the Samples that come with NinjaTrader? If not please try one of these as well just to check if the strategy is the cause or if possibly the data or another factor is the cause.

If this only happens with your strategy, can you tell me is this a multi timeframe strategy?

Also if this is a simple script and you don't mind providing it, I could try to re create this on my end to see what is happening, otherwise if it is a complicated script it may be better to first look into what may be the cause so you can debug this on your end.

I look forward to being of further assistance.

[fLife]

Hi,
I dont think this happens because of any particular strategy, becouse the price quotations I see in my charts are also wrong compared to other sources. I am talking about futures going back to 2008/2009 ....

[NinjaTrader_Jesse]

Hello,

Thank you for the clarification.

Is this data you have imported or is this data available from your data provider going back that far?

If this is imported data, can you try reloading the historical data from the server and selecting a shorter time period? If you can load more recent data from the server, that should all be correct so you can test correctly to ensure the strategy is working and entries are showing up at the right prices. If there is a problem with the older data the test would show this.

You can also try removing the historical data cache to see if it is a cache related issue. To do this you can do the following;

Exit NinjaTrader
Open the folder: Documents\NinjaTrader 7\db\cache
Inside you will see folders, remove all of the folders and then launch NinjaTrader.

This will cause NinjaTrader to re cache your saved data, if there is a problem in the cache this would resolve it.

I look forward to being of further assistance .

[fLife]

Hello Jesse,
we've solved the problem. Wrong adjusted Merge policy.
Anyway, thanks for the advice.

[fLife]

Hi,
this issue is getting kind of annoying, becouse we found more errors in historical data.

I feel like it is more confusing to describe it here since the difference in price quotations differs from instrument.

Could we please get a hold of some support through skype/team veiwer?
I think that showing the problem would be quicker towards solution.

Thank you.

[NinjaTrader_Jesse]

Hello,

Yes you can please send a message to platform support @ ninjatrader.com and one of the support representatives can schedule a time to talk to you.

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