I have been evaluating NinjaTrader for the last 5 weeks - in this relatively short lapse of time, I managed to become familiar with NinjaScript and port 2 of my existing systems - both of them at this point do backtest pretty much to identical financial performance as they do on my existing platform (1st one uses 1min timeframe, and gets the job done in about 300 lines ; 2nd one uses 2 timeframes, Volume-100 & Second-1, and is about 5,000 lines of code).
One of my main motivations in evaluating NinjaTrader was R&D efficiency ... both ease & speed of coding, as well as speed of backtesting. I am not disappointed on either front, and actually pretty impressed by the speed of backtesting. I backtest my 2nd strategy on 2 1/2 years of tick data (CL), primary timeframe has about 1.6M bars in that timespan, 2nd timeframe about 21M bars. The dual-timeframe backtesting takes about 7min (Q6600 @ 3GHz, 4Gb RAM, no paging file), which is very good compared to what I am coming from (about 30min for 1 timeframe, and 1 week (!) for tick-by-tick replay of the 2 1/2 years of market data). Early evaluation of MarketReplay would indicate about 1 day for a complete replay of the 2 1/2 years, however I do not have the corresponding MarketReplay data (I would be just happy to replay tick-by-tick the historical database, if that was possible !).
I found a few issues along the way, which I reported to the Support forum, and I have a few suggestions - but I will keep these for another post.
At this point, I am starting to evaluate the real-time behavior of those 2 strategies, using MarketReplay. I have 2 others steps planned before making a commitment to NinjaTrader, but I am hopeful these will also be "pass".
For the fun I attached the backtesting summary for those 2 strategies ...
Cheers
Dominique
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