• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

strategy backtest trade assumptions

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    strategy backtest trade assumptions

    While doing Ninjatrader backesting, is it possible to configure such that whenever OnBarUpdate() generates EnterLong() or EnterShort(), the backtesting P&L assumes that a "market order" was filled at the "Open" of the very next bar?

    #2
    Originally posted by uday12 View Post
    While doing Ninjatrader backesting, is it possible to configure such that whenever OnBarUpdate() generates EnterLong() or EnterShort(), the backtesting P&L assumes that a "market order" was filled at the "Open" of the very next bar?
    I'm pretty sure that this is exactly what happens when CalculateOnBarClose=True.

    And, you're in luck, the Strategy Analyzer window (where you do all your backtesting) always assumes CalculateOnBarClose=True. I mean, the property grid in the Straegy Analyzer window doesn't even show this property.

    However, if you want to experiment with the settings in the Historical Fill Processing section, changing 'Fill type' from Default to Liberal may affect what you're looking for.

    Comment

    Latest Posts

    Collapse

    Topics Statistics Last Post
    Started by GMiller64, Today, 01:13 PM
    3 responses
    7 views
    0 likes
    Last Post GMiller64  
    Started by itrader46, Today, 12:51 PM
    4 responses
    32 views
    0 likes
    Last Post itrader46  
    Started by hemlock, Today, 11:45 AM
    3 responses
    9 views
    0 likes
    Last Post NinjaTrader_PatrickG  
    Started by gbulle, Today, 11:31 AM
    2 responses
    7 views
    0 likes
    Last Post gbulle
    by gbulle
     
    Started by JPPoulin, Today, 10:43 AM
    6 responses
    23 views
    0 likes
    Last Post JPPoulin  
    Working...
    X