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Would someone care to explain this please ? (backtesting flaw)

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    Would someone care to explain this please ? (backtesting flaw)

    Hi,
    this is not to throw the blame at Ninjatrader which is certainly one of the top backtesting system arround.

    I don't understand why the system must wait until bar close to enter a trade on the next bar ?

    When looking for a backtesting engine, I simply wanted to simulate entering a trade at bar opening, providing X Y conditions where met. This turned to be impossible since It will only enter next bar opening. The problem is that on next bar open more often than not, my conditions are not valid anymore, making the backtest almost useless.

    I could analyse any bar open manually and decide to simulate an entry or not. Why can't the backtest do this ? What's the specific reason ?

    I know the intrabar granularity method, but it makes the whole process much more complicated for a non programmer.

    Cordially,
    DUVAL

    #2
    Hi Duval,

    This is the way accurate backtesting works, we have to wait for a bar to close to issue orders for the next bar, otherwise you would have to deal with a lot of assumptions of market behavior inside the bars...

    That being said, you can of course prepare on order to be executed at the bar's open + / - some type of offset...

    Though backtesting with 2 datastreams is more work like you mentioned, it gives you more control of what is happening inside your bigger timeframe bars and what potential action that means for your strategy execution...
    BertrandNinjaTrader Customer Service

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