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How to backtest a multi-timeframe strategy

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    How to backtest a multi-timeframe strategy

    Hi - I have a multi-timeframe strategy and want to test it. But I got error message that high order fill resolution only works on single series strategy. I know that using 1 tick order fill resolution is much closer to real time results. How can I make backtesting work on a multi-timeframe strategy? Standard order fill resolution result is very different from real time, so I don't want to use it.

    Thank you!


    #2
    Hello HiddenPhilosopher,

    Yes, once you are adding series with AddDataSeries(), you would also need to do this for the 1 tick series used for accurate fill prices.

    Below is a link to a forum post on intra-bar granularity which includes a link to the reference sample that demonstrates.
    https://ninjatrader.com/support/foru...377#post773377
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_ChelseaB View Post
      Hello HiddenPhilosopher,

      Yes, once you are adding series with AddDataSeries(), you would also need to do this for the 1 tick series used for accurate fill prices.

      Below is a link to a forum post on intra-bar granularity which includes a link to the reference sample that demonstrates.
      https://ninjatrader.com/support/foru...377#post773377
      If I do so, do I need to check "Tick Replay" while backtesting?

      Comment


        #4
        Hello HiddenPhilosopher,

        Tick Replay allows for intrabar logical processing, (Calculating OnEachTick or OnPriceChange with historical data) but does not change how orders fill with historical processing. (The orders will fill using the OHLC of the next bar that they are submitted to) To have orders filled intrabar, a single tick data series can be added to the strategy and the orders can be submitted to the single tick data series. Please see Chelsea's linked post and resources within for further explanation and examples. I would specifically like to note the "Backtesting NinjaScript Strategies with an intrabar granularity" example strategy.

        We look forward to assisting.
        JimNinjaTrader Customer Service

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