PDA

View Full Version : forex backtesting with spread


beachbum
06-28-2008, 09:12 PM
My forex broker doesn't offer fixed spreads.

I'd like to backtest forex strategies and have forex bid/ask tick data to import.

Do I need to import the bid and ask data separately by creating two different instruments $EURUSD-bid, $EUDUSD-ask ?

Also, am I right in that strategies based on the spread are then multi-instrument strategies?
And that the strategy needs to be rewritten for use with real time data?

thanks in advance!

NinjaTrader_Josh
06-28-2008, 09:39 PM
Unfortunately to import data you need to import a single price. Please see this link: http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HistoricalData

In real-time you can access bid and ask prices easily, but for backtesting sake there is no distinction between them. You can mitigate this if it is a requirement by forward testing via Market Replay.

Fecdzo
09-03-2008, 11:51 AM
Is it possible to back test with certain spreads included? For example I would like to test a strategy using 1-3 spreads. No commission just the spread as a cost. How can I do that?

NinjaTrader_Josh
09-03-2008, 12:12 PM
Mm. Would just setting the minimum commission as your spread amount suffice in emulating it?

Fecdzo
09-03-2008, 12:31 PM
Mm. Would just setting the minimum commission as your spread amount suffice in emulating it?

You mean if I have 2 pip spread I should set the commission to $2? Would that be equal to a spread of 2 pips?

While testing with the sim101 account I encountered a progblem. When using the sim account what base quantity should I use for 100.000 units? That would mean 1 lot? Is it possible to use 10.000 units for example?

On forward testing i get filled just a few time. NT shows a constant 1 for bid and 1 for ask. Is that the problem why most of my trades in sim account does not get filled? How can I compensate that?