If I run my strategy in the Strategy Analyzer over 5 months of data on a 5 minute chart, it takes a couple seconds. If I run this same strategy on range bars, it takes over a minute, because every single bar must be recreated every time I run a backtest.
Heaven help me when I'm running a strategy that uses three different lengths of range bars! I literally cannot run it on more than a few weeks of data or it freezes NinjaTrader completely and I have to reboot my machine.
It seems like it would be an enormous help for NinjaTrader to record the range bars it creates. That way, on every subsequent request for that length of range bar, it can be as fast as when I'm accessing minute bars, instead of requiring it to rebuild every bar from tick data again and again and again, forever!
Is there some reason NinjaTrader cannot store the range bars it creates for future use? I would LOVE to see this enhancement in a future version. At this point it makes range bars almost unusable for backtesting.
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