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Backtest is "not working"

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    Backtest is "not working"

    I'm sure that I'm doing something wrong, I can not figure out what is that.
    I have some strategy and want to test is let say for 1 day 1/1/2019 to 1/2/2019. I set all and run, let say I get X number of execution, and XX profit/lose. Now I want to run the same strategy, but "just" change dates 1/1/2019 to 2/1/2019 - 1 whole mth. I would expect different result for number of executions at least. BUT no, I have the same number. This is multi-timeframe strategy involved tick and minute bars. I exit NT, clean DB cache, try again, same.
    What am I doing wrong, and what might be possible ways to "fix" backtest.
    --PNF

    #2
    I would suggest you manually download all the historical data needed to run your
    backtest using CC -> Tools -> Historical Data -> "Load" tab.

    Make sure to download both Tick & Minute data for the 'Last' data type for the
    date range you wish to test.

    Note that NinjaTrader historical data servers only maintain about a year's worth
    historical Tick data for each instrument -- meaning Tick data for Jan of 2019 is
    probably no longer available for download.

    This is why many people who use historical Tick data for Strategy backtesting will
    regularly download all recent historical Tick data, meaning that your personal data
    store of many years of historical Tick data can take many years to accumulate.

    Comment


      #3
      As far as historical Minute data is concerned:
      I believe NinjaTrader historical data servers have many many years
      of historical Minute data (like a couple of decades or so, depends on
      the instrument) -- it is only the historical Tick data that is limited.

      Comment


        #4
        Hello, thanks for your question.

        It seems like the data is not available on the data connection you are using, downloading the data would be a solution. You can prove if the strategy is not getting the historical data by looking at either the Trades, Executions, or the Chart view of the strategy analyzer. That way you can see exactly where the strategy is trading and what data is available.

        I look forward to assisting.
        Chris L.NinjaTrader Customer Service

        Comment


          #5
          Appreciate both replies.

          --PNF

          Comment


            #6
            After all still have 'trouble" between back test and optimization. have put Strategy for optimization, get "numbers" for the best Sharpe Ratio. Great!, but is it? Now use the same time period, the same numbers, all the same, but result is totally different, form somewhat optimistic, to drastically negative, with substantially different number of trades. Strategy is tick base. What am I doing to cause this?
            --PNF

            Comment


              #7
              Hello, thanks for your reply.

              What is different? The backtest results vs optimization results? The results need to be analyzed on a execution-by-execution basis. Compare the backtests executions next to each other so see what specifically is different.

              Chris L.NinjaTrader Customer Service

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