Strategy optimization skips trading days...

[bob444888]

Greetings all. I have noticed that Ninjatrader 7 will randomly skip days of data when you do optimizations. You set it up , enter all the options, set the time period over which you wish to do your testing, then run it. If you check the Periods setting, or Trades, often you will see that some of the days within the time period you were optimizing do not exist. For example, I just ran a simple optimization for 7 days of data, and Monday June 29 was not included. I believe the U.S. markets were actually open on June 29, 2015 . Any thoughts on how to correct this would be appreciated. I have of course de installed, and re installed the software several times, no change in testing behavior, still skips days when it wants to.

[NinjaTrader_Jason]

Hello bob444888,

Do you see missing data for the days in question if you select the Chart-tab in the Strategy Analyzer?

Are you able to reproduce the issue if you optimize the SampleMACrossOver strategy?

Could it be the strategy you optimized just did not trigger any orders on the days in question?

[bob444888]

SampleMACrossover strategy does the same thing

Good day. Appreciate the suggestions. When looking at the chart tab I found 2 problems in an optimization set for 06- 24- 15 to 06 -30- 15 . The chart fades on 06-24 after about 130 pm est, 06-25 is fine, 06-26 is fine, 06-30 is fine, no 06-29 as previously mentioned. So the fade out of the chart on 06-24 is a new problem unknown to me up til now.
This result is using the SampleMACrossover strategy, same symbol I saw the problem most recently with. and it generates 8 plus orders a day, just as the strategy I was originally optimizing does, so there would usually be orders generated unless price was flat and unchanged for 6.5 hours of trading.
On longer optimizations of say 20 or 30 days I often see 3 or 4 days missing, so again, confidence low in results. I also saw a posting from someone using MT 6.5 in 2009 who had a similar problem, so there does seem to be a software problem. I wonder if most users just look at the results in terms of gain or loss, never examine day by day to see if the test was performed correctly.

[NinjaTrader_Brandon]

Hello bob444888,

Thanks for your reply.

Who are you connected to? This is displayed by green on lower left corner of the Control Center window.

What instrument (and expiry if applicable) have you selected?

What interval is selected for testing? (example: 1 minute, *150 tick, 1 day)

[bob444888]

Hello, NT_ Brandon. My Ninjatrader software is connected to DTN IQ feed, a highly reliable data feed which has powered many different software packages for me over the last 5 plus years, ever since I dumped E Signal for data slowing. It powers my Sierra charts very well every day on any symbol I want, ticks, seconds, months, whatever.. The symbol would be the ETF symbol IWM, fairly well known, popular with traders, no expiry needed. The time frame is 1 minute bars, also reasonably standard and no huge load on a processor.

[bob444888]

To add a little more detail to the discussion I ran the SampleMACrossover on the IWM for May and June, 2015., 1 minute charts, IQ Feed real time data connected. It skipped May 8, 13, 14, 19, 26, 27, and June 3, June 24 from 120 pm on, and June 29 also. So out of 42 trading days, my NinjaTrader software skipped 8 days and 2+ hours of trading time. With the software ignoring 19% of the trading data, how accurate or relevant can the optimization results be?

[sledge]

If you continue to run optimizations, do you start missing more days or just the same days?

[bob444888]

The Ninjatrader software is at least consistent in its errors. I ran a 1 week, 1 month, and 2 month optimization of the SampleMACrossover, of symbol IWM, and the days and times skipped were the same, longer testing just created a larger list of missing days. I did a 1 minute chart of IWM in Sierra Charts with the IQ feed and all the missing days from the NinjaTrader optimization displayed beautifully, so it is not a problem with the data feed. IQfeed has the data and will supply it to software as needed.

[NinjaTrader_Brandon]

Hello bob444888,

Thanks for your reply.

On my end I am unable to replicate this.

Please exit NinjaTrader and open the following directory in Windows
Documents\NinjaTrader 7\db
Delete the contents within the Cache folder and delete the IWM folder inside of the Minute folder
Restart NinjaTrader and test

If you still have missing data, email platformsupport[at]ninjatrader[dot]com requesting a call so we can remote in and look into this further.

[bob444888]

Brandon; I followed the instructions to delete the corrupted data, ran a 2 month test and it worked properly. Thanks for the solution to the problem; I will keep the instruction fix close at hand for the next time this happens. Thanks much for the help.