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How to backtest multiple strategies elegantly?

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    How to backtest multiple strategies elegantly?

    Hi,

    I have 3 strategies that use the same main instrument. I want to backtest them all together to see how they perform jointly. They trade at different periods of the day and use different conditions and additional instruments to enter and exit.

    To keep my code clear, I prefer to keep 3 different classes (and 3 files)

    I could group them into a new strategy but I'd have to copy paste the code of each strategy.

    Is there a way to make it more efficiently? My guess would be to create a new strategy that imports all the other ones but I can't see precisely how to do it.

    Thanks


    #2
    Hello Vincere,

    There is not a way to automatically backtest multiple strategies at the same time. Each backtest would need to be started manually.

    I will submit a feature request on your behalf for the NinjaTrader Development to consider allowing a way to automate backtesting with multiple different strategies simultaneously.

    Once I have a tracking ID for this request I will post in this thread for future reference.
    Chelsea B.NinjaTrader Customer Service

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      #3
      I'm interested in this too! I've been thinking about how to do this for the past couple weeks, Vincere read my mind.

      Comment


        #4
        Not exactly what you looking for but you could move your signal logic to three different indicators. Then add all the necessary data series to one strategy and and call each indicator(signal logic) from that one strategy using the correct BarsInProgress and enter the market using the correct BarsInProgress for that logic.

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          #5
          Hello Vincere,

          I've received tracking ID #SFT-2193 for this request to automate backtesting with multiple strategies.

          avy_says I have submitted your vote as well.

          Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

          We appreciate the feedback on this.
          Chelsea B.NinjaTrader Customer Service

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            #6
            I am also interested in having the ability to batch process optimizations.

            Comment


              #7
              Hello cupir2,

              I've added your vote to SFT-2193.

              Thanks for your input.
              Chelsea B.NinjaTrader Customer Service

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