Strategy Analyzer Improvement
I'd like to see a feature that I feel would improve Strategy Development.
I'd like to see a "Simulate Ticks" option for strategies that need to operate a
the tick level.
NinjaTrader would take a bar and split it into N ticks (depending on the size of the bar) and simulate a logical price path from open to High to Low to Close for a given bar. The price path taken from the Open may randomly travel to either High or Low first. Then from either High to Low or Low to High and finally to the close.
This would produce more accurate back test results than simply exiting at the open of the next bar. This capability is especially useful for periods of high volatility.
Good Strategy results require an attention to detail.
As more CPU Cycles might be used during optimizations against large datasets, this capability should be optional.
I'd like to see a "Simulate Ticks" option for strategies that need to operate a
the tick level.
NinjaTrader would take a bar and split it into N ticks (depending on the size of the bar) and simulate a logical price path from open to High to Low to Close for a given bar. The price path taken from the Open may randomly travel to either High or Low first. Then from either High to Low or Low to High and finally to the close.
This would produce more accurate back test results than simply exiting at the open of the next bar. This capability is especially useful for periods of high volatility.
Good Strategy results require an attention to detail.
As more CPU Cycles might be used during optimizations against large datasets, this capability should be optional.
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