Bug?: Optimization of Multi-timeframe strategies fails with an error

[lukas.h]

Hi NT folks!

I'm trying to run Optimization (using Default and Genetic optimizer) of a simple multi timeframe strategy that I got by converting SampleMultiTimeFrame strategy to optimizable by adding parameters for slow/fast period (attached) and it fails with an error.

Running backtest on this strategy works fine.

Steps to reproduce (NT 8.0.1.0 64-bit):
1. Strategy Analyzer
2. Backtest Type - Optimization
3. Optimizer - Default or Genetic
4. Select MyMultiTimeFrame (attached)
5. set Fast to 2-5, Slow to 5-50
6. configure some instrument and date range
7. hit Run button

Current behavior:
1. Error message in print window:

Strategy 'MyMultiTimeFrame': Error on calling 'OnBarUpdate' method on bar 20: You are accessing an index with a value that is invalid since it is out-of-range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

2. Investigating exception details shows:

================ EXCEPTION ==================
'barsAgo' needed to be between 0 and -1 but was 0
Parameter name: barsAgo
   at NinjaTrader.NinjaScript.Series`1.get_Item(Int32 barsAgo)
   at NinjaTrader.NinjaScript.NinjaScriptBase.get_Item(Int32 barsAgo)
   at NinjaTrader.NinjaScript.Strategies.MyMultiTimeFrame.OnBarUpdate() in c:\Users\luk\Documents\NinjaTrader 8\bin\Custom\Strategies\MyMultiTimeFrame.cs:line 86
=============================================

3. Strategy analyzer obviously shows no results and terminates immediately after start

Thanks for investigating this, it's very important for me!
Lukas

[NinjaTrader_JessicaP]

Hello lukas.h, and thank you for your question.

In addition to making sure you have enough bars for BarsRequiredToTrade, if you are passing a BarsArray member to an indicator, you also have to check its BarsRequiredToPlot. I have annotated a copy of your source and attached it to this reply with some changes from this page of the help guide documentation inside your code.

http://ninjatrader.com/support/helpGuides/nt8/en-us/multi-time_frame__instruments.htm

Please let us know if there are any other ways we can help.

[lukas.h]

Hi Jessica!

I tried your modified version and it shows the same error. I also tried to tweak it a bit and modified the indicators to EMA (they don't have any requirement for required bars). And it's still failing even when I set BarsRequiredToPlot to some ridiculously high number as 100.

The error says:
'barsAgo' needed to be between 0 and -1 but was 0
Which sounds weird and looks like the bars were not even loaded.

Also I want to emphasize that:
Backtest of this strategy runs fine.
Which means there's probably no problem with the strategy itself.

btw: is it possible to download the RC version somewhere? Because I think although I've done some changes in my code, this started to appear after I installed the 8.0.1 final release.

Thanks!
Lukas

[NinjaTrader_JessicaP]

Thank you for mentioning backtesting works correctly, I had overlooked something when I put that strategy together. Adding this line made the attached strategy work outside of backtesting on my end.

[FONT=Courier New]BarsRequiredToPlot = Math.Max(BarsRequiredToPlot, Math.Max(smaSlowB0.BarsRequiredToPlot, smaFastB0.BarsRequiredToPlot));[/FONT]

btw: is it possible to download the RC version somewhere? Because I think although I've done some changes in my code, this started to appear after I installed the 8.0.1 final release.

Thanks!
Lukas

Previous versions of NinjaTrader are no longer available for download through the help guide.

[roywasse]

This might be helpful

If been having the exact same behaviour. No errors when backtesting, only when optimizing. I'm also working with a multitimeframe strategy and working with an indicator (SMA) that uses the secondary dataserie.

After a couple of hours of debugging, I found that the solution was to initialize the indicators in the State.DataLoaded block like:

else if (State == State.DataLoaded)
{
SMA_SLEEPKABEL = SMA(BarsArray[1], SMA_sleepkabel);
SMA_KORT = SMA(BarsArray[1], SMA_kort);
SMA_LANG = SMA(BarsArray[1], SMA_lang);
}

Initializing the indicator anywhere else would result in an error when optimizing like:
Strategy 'USMarketsNEW': Error on calling 'OnBarUpdate' method on bar 5998: You are accessing an index with a value that is invalid since it is out-of-range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.