Backtesting with more intra-bar granular

[simple_goodoboy]

Hello,

http://ninjatrader.com/support/forum/showthread.php?t=6652

I will be testing strategies on all timeframes (3 minutes up to 60 minutes) using NT7.

I have read that Strategy Analyzer backtesting simulation only uses the OHLC data points. And if the stoploss and the profit target price is in the same bar, the simulation algorithm defaults to give that trade a loss for a more conservative back testing. The backtesting simulation does this because it does not know price direction for that bar and does not know if profit target comes before stop loss or vice versa.

What is your recommendation for a more accurate back testing for this scenario?
Will submitting orders to a secondary bar object for an intrabar fill help with this scenario? Or do I need to purchase tick data.

I ask because I am back testing on the 30 min bar chart and I see some stop loss and profit target prices on the same bar and that trades defaults to a loss.

Thank you

[NinjaTrader_JessicaP]

Hello simple_goodoboy, and thank you for your question. Whenever a strategy relies on realtime events, such as ATM strategies, or in this case requires more involved Level 2 data and realistic bar calculations, I recommend using the Playback Connection (in NT7 this was called the Market Replay connection). You can learn more about this here,

NT7: http://ninjatrader.com/support/helpG...ket_replay.htm
NT8: http://ninjatrader.com/support/helpG...connection.htm

This said, you can continue using the strategy analyzer and a secondary bars series. You will need to ensure you are passing a BarsInProgressIndex to all of your Entry and Exit methods. You will not be able to use SetProfitTarget and SetStopLoss, as these always place trades on your primary bars; instead you will need to use Exit methods to exit your positions. This limitation, and this re-writing of your strategy with the strategy analyzer in mind, is why I recommended using the playback connection, which will in turn not require any code changes.

Please let us know if there are any other ways we can help.