Strategy Analyser vs Trading Hours

[12tkram]

Hi NT bods,

I created a custom trading hour template (02:45 - 12:00 EST) and used that for strategy back testing so I just trade early London and the morning of NY .. I then apply that template to the chart and it makes a huge difference with the moving averages and vwap that I have on the chart .. my question is .. are the moving averages affected in exactly the same way as part of the strategy back test ? and therefore how they look when applied as an indicator on the chart exactly represents the underlying strategy ?

Cheers
Mark

[NinjaTrader_PaulH]

Hello 12tkram,

Thanks for your post.

A trading hours template filters what data is available/presented. The indicators would only be able to work with what data is provided as a result of the trading hours template.

You may want to use a time filter in your strategy to limit your trading times instead of limiting the data that your indicators are using. Here is a link to an educational example that demonstrates using a time filter in a strategy: https://ninjatrader.com/support/help...to_limit_t.htm

[12tkram]

Hi Paul, thanks, my question was regarding the strategy analyser .. tbh I don't really care what the indicator says, its just on the chart for info so i can see if when a trade is taken its a valid setup as I forward test my strategy, my comment was purely based on how the indicator looked and if it indeed would tie in with what the strategy sees with regards to trading hours and the moving average calculations.

so ..

>>A trading hours template filters what data is available/presented. The indicators would only be able to work with what data is provided as a result of the trading hours template.<<

Is that statement also true for strategy analyser back testing ?

Cheers
Mark

[12tkram]

i suppose a follow on question might be ......

if i use a trading hour template for strategy back testing, then what are the sequence of steps required when applying that strategy to a chart for forward testing on a demo account to 100% mimic the back test with regards to the trading hours template ? i.e. what do i have to do ?

[NinjaTrader_PaulH]

Hello 12tkram,

Thanks for your replies.

If you are looking at a moving average on a chart and the chart is using the default trading hours (typically ETH for that instrument) then the moving average would be based on the ETH data. If you then change the trading hours to something less than ETH, then only that limited number of bars will provide the input data to the moving average which would cause it to be different because it is not using the same data at that point. This is why a time filter in your strategy is a solution when you do not wish to change the data inputs to the indicators.

Yes, a trading hours template will limit the data to what is available by the hours of the template. Does not matter if it is in a chart with live data or in the strategy analyzer.

If you back test with a specific trading hours template, then to have your strategy perform with the same data limitation on a live chart, you would need to use the same trading hours template in the data series of the chart.

Reference: " How to edit Data Series parameters" https://ninjatrader.com/support/help...price_data.htm

[12tkram]

great, thanks, that all makes sense .. so .. last question to tie it all together ..


When I right click and select strategies from a chart, it gives me the strategy options .. in those options is the data series input .. I select the same as the chart (for example CL) .. ***there is no option for trading hours in this section *** .. so ..

I save and drop out back to the chart, double click the bars and it brings up the data series options .. in there I can see trading hours .. I select the same trading hours template as my back tests ..

Is this the correct way to apply the trading hours template to a data series for a strategy ? as-in .. there is no option to do this in the strategy options when you select the input series ?


many thanks again for looking

Cheers
Mark

[NinjaTrader_PaulH]

Hello Mark,

Thanks for your reply.

The strategy (and all scripts) will use the trading hours as defined in the charts data series.

Correct, trading hours are not a strategy parameter.

[12tkram]

great stuff, many thanks for bearing with me