Time Series Forecast

[markm]

Hi Ray

Not to burden you - came across this post -

http://www.trading-naked.com/ninja_setup.htm

Can the chart be setup the same in NT? or have you dropped the charting strategy altogether? I see the TSF indicator in NT just liked visual representation you did in the post.

Cheers

Mark

[NinjaTrader_Ray]

Mark,

That is one from the past

This is not possible in NT right now since we do not support multi-series in a chart which is required to initialize the indicators used in the set up. This will be available kin NT7.

[bkout]

TSF results in Ninja vs Strategy Desk

I hope you can help me figure out a Time Series Forecast difference between Ninja and Strategy Desk -- I have TSF(Close,0,27) and TSF(Close,0,240) on the Ninja chart and TSF 27 period and TSF 240 period with 0 offset in Strategy desk. Both are 15 min charts and the Ninja chart has a 11/1/2008 start date. The Ninja data is from IB and sometimes there are some minor differences from the Ameritrade data but the difference doesn't seem like it would be enough to account for what I'm seeing. Attached please see a chart from SD (black) and from Ninja covering the 12/26 and 12/29 period. Notice how there is no cross on the SD chart but there is on Ninja. Then Ninja shows a cross up late on 12/29 but SD doesn't have it till 12/30. Overall the backtest from 12/1 to 2/17 using $10K positions shows a gain of $1506 in SD with 23 trades whereas Ninja shows a net of $1318 with 13 trades. I do have a slight formula difference with SD entering on the close of the signal bar whereas Ninja enters on the open of the next 15 min bar after the signal bar but that doesn't generally seem to make that much difference and in any case doesn't explain the charts being so different. What do you think?

[NinjaTrader_Jason]

Hello bkout,

Different data sources can have discrepancies. Subsequent applied indicators will have different values. I am not sure if both indicators use the same calculations to retrieve their values either. More information can be found at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/HowDoesNinjaTraderBuildChartBars.html