Backtesting Strategy and Optimization

[bjunaid]

Q1. I will follow you suggestion and get back to you.

Q2. Could you please provide an example of how to check if the current bar is the last historical bar.

Thanks,

[NinjaTrader_Kate]

Hello bjunaid,

Thank you for your reply.

I provided the example in my previous post:

if (State == State.Historical && CurrentBar == Count — 2)
{
// exit any orders here
}

Please let us know if we may be of further assistance to you.

[bjunaid]

Thanks, What is Count — 2? is it(Count - 2)?

[NinjaTrader_Kate]

Hello bjunaid,

Thank you for your reply.

Yes, looks like something autocorrected it to a dash rather than a minus sign.

Please let us know if we may be of further assistance to you.

[bjunaid]

If you look at the excel file I attached, I don't think that it was the last bar. Entry was made on 8/14/2020 not on 8/31/2020. My strategy ran from 7/1/2020 to 8/31/2020. Would you know why the strategy never traded after 8/14/2020?

[bjunaid]

Hi Kate,

Thanks for answering the questions, I really appreciate your response.

1. If you look at the excel file I attached, I don't think that it was the last bar. Entry was made on 8/14/2020 not on 8/31/2020. My strategy ran from 7/1/2020 to 8/31/2020. Would you know why the strategy never traded after 8/14/2020? Could this be because of missing data? How can I find out why this would happen?

[NinjaTrader_Kate]

Hello bjunaid,

Thank you for your reply.

None of your posts in this thread appear to have an attached Excel file. Could you please try posting this again?

Thanks in advance; I look forward to assisting you further.

[bjunaid]

Please see attached.

[NinjaTrader_Kate]

Hello bjunaid,

Thank you for your reply.

I don't see that the code you've added is performing the exit on the last historical bar. Could you provide a code sample of your OnBarUpdate method?

Thanks in advance; I look forward to assisting you further.

[bjunaid]

Hi Kate

I am asking is that how can the last historical bar be on 8/14/2020 when my strategy parameter is frome 7/1 - 8/31. Shouldn't last historical bar be on 8/31. My last entry was on 8/14.

[NinjaTrader_Kate]

Hello bjunaid,

Thank you for your reply.

What I'm saying is that in those excel files we still see that last position entered on the 14th exited on the 30th by the Exit at End of Session, not by an exit on the last external bar - you can see this in the Orders list. This indicates that the exit logic you're using to exit on the last external bar is not functioning and I would need to see what you've done for that and where it is within OnBarUpdate to assess why this isn't occurring if these excel files are from after you've added that logic. A reduced version that redacts your actual entry conditions would be fine, but we'd need to see an example of the code.

Thanks in advance; I look forward to assisting you further.

[bjunaid]

Hi Kate,

I was able to figure out what the error was finally. I was taking the trade at the time my session ended at 3:59pm pm.

I have attached my final results and summary page.

Thanks for your help.

I wan to get a better understanding of the summary page in the strategy analyzer and what numbers are considered acceptable. For example, how do you calculate the Sharp Ratio, what is Risk Free rate used to calculate the Sharpe Ratio, and what is acceptable ratio.
Would you be able to provide this info for the following:

1. Max Drawdown
2. Sharpe Ratio
3. Ulcer Index R Squared
4. Probability

[NinjaTrader_Kate]

Hello bjunaid,

Thank you for your reply.

You can find information about all of these items on our help guide page below.

https://ninjatrader.com/support/helpGuides/nt8/statistics_definitions.htm

Please let us know if we may be of further assistance to you.