Tick-based Backtest and/or highspeed market replay

[marcow]

please add Tick-based Backtest and/or highspeed market replay

When develloping scalping strategies which work on (fast) Renko charts, the current backtest is useless, because it misses intrabar triggering of stoploss. To test a strategy the only valid option now is to use market replay. Because market replay speed is limited to 500x it can be a very time consuming procedure to test a strategy over 3 months.

Therefore I suggest adding tick-based backtest.

At thispoint you'll probably come up with the argument that tick-based backtesting will take considerable more computing/processing power and resources. But so what ??
Right now I am running a strategy on market replay at 500x speed, and NinjaTrader takes 0% of CPU power in the task manager and takes a whopping 67Mb of RAM. Why ?? To me it seems the replay can run much faster. The highest % CPU power I've ever seen during market replay at 500x speed was 3% ....need more RAM, be my guest, even my browser takes more RAM then NinjaTrader...
In all seriousness, why does NinjaTrader choose to only use 5% of the computational resources of a modern computer, in favour of correct tick-based backtest results ?

And frankly, I don't care if the backtest would take longer to finish. Far more important is that the results are closer to reallity.

So the following suggestions:

1) give the user an option for tick-based backtesting, besides the current backtest.
2) higher speed (multi-threaded) market replay if no1. isn't possible. I'm talking 2000x - 5000x or better a speed that always maxes-out one CPU-core.

Marco

[NinjaTrader_Jason]

Hello Marco,

I will forward the suggestions to support tick-based backtests and faster replay speed as per the Market Replay connection to development. They will put it on our list of possible future enhancements and assign an ID number. Once I have these numbers, I will let you know.

Thank you for your feedback.

[NinjaTrader_Jason]

The suggestions are assigned to the ID numbers below.

Intra day backtests: 663

Faster speeds for the Market Replay: 818

[ds1111]

I agree! This is a VERY IMPORTANT upgrade!

[geekodude]

I've encounter the same issues & found this thread. I don't care if I have to run NT on supercomputer to get higher speed tick based market replay. I am glad someone else requires the same features.

[urie1]

+1

Definitely needed.

[BelikeWater]

Hello this is basic

MT4 than Ninjatrader in that aspect... wow.

I was pretty sure on buyuing NinjaTrader but been not able to backtesting in a professional way is pushing me back..

[NinjaTrader_JC]

Hello BelikeWater,

Welcome to the NinjaTrader Support Forums!

You may add intrabar granularity in your strategies in NinjaTrader 7 to get a tick by tick bases for your tests, but you would have to code your strategy to account for this manually. Here is an example of how this can be done.

http://www.ninjatrader.com/support/forum/showthread.php?t=6652

With that said, I will forward your vote for these items to our development team as they are being considered for the next major release of NinjaTrader.

Please let us know if you have any questions.

[risingfire]

I would like to add a request for something similiar. Rather than a faster market replay speed, I would like to request the option to totally bypass the GUI update during replay and simply display the final results of the replay. Since the backtesting engine and market replay engines behave differently, this would be an extremely useful (and time saving) option.

I envision a new button on the replay toolbar (that has play, pause, and fast forward). The new button can be "Replay to Date" where you are prompted for an end date and then the replay engine would test forward to that date *without* GUI update. This is would run as fast as your CPU could support, much as the backtesting engine does. Then you could scroll through the chart of the completed results to see how the strategy performed.

[NinjaTrader_Bertrand]

Thanks for sharing that thought risingfire, we have it tracked for future consideration. Our next major platform update will also offer more options to achieve a higher backtest fidelity more easily.