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Historical Data for backtesting

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    Historical Data for backtesting

    I have my NT settings to automatically merge historical data. I have minute data going back to April 2018 for the ES 06-18 contract. I am currently using the ES 03-20 contract. If I run a backtest for 365 days using the ES 03-20 contract, will it be accurate, or would I need to run the test for each quarter for each of the contracts?

    I am testing a day-trading strategy which has excellent results for the current contract, but the results become worse as I go back beyond July for the current contract. Looking a the daily bars, I don't see any correlation between the daily bar characteristics and the success of the strategy. The strategy shows profits for up trends as well as down trends, losses for up trends as well as down trends,, and this occurs without regards to whether the day was a strong bar or a bar with tails. I need to know if it is my strategy or the test itself which is producing the poor results prior to July.

    Thanks

    #2
    Hello Bionian,

    NinjaTrader processes the data and runs through the historical fill agorithm the same.

    Use prints and TraceOrders to understand why the orders are being submitted at the time and prices.

    Below is a link to a forum post that demonstrates using prints to understand behavior.
    https://ninjatrader.com/support/foru...121#post791121
    Chelsea B.NinjaTrader Customer Service

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