When backtesting does entering on a shorter timeframe make a difference?

[cunparis]

I test my strategy with and without using a lower timeframe and I get exactly the same results. I'm using 1 minute for my lower timeframe. I'm wondering if it makes any difference with backtesting. I can't figure out why I get the same results.

When I look at the trades, for example using 30 min for main timeframe and 1 minute for entries, I see that entering on 1 minute bar gives a trade at 9:32 and when I use a regular entry on the 30 minute bar it enters at 10:00. However, the prices are almost the same. Very close.

My guess is that if I program the entry to use the 30 minute bar, it's entering at the open of the next 30 minute bar which gives almost the same result as entering on the 1 minute bar. Is this the case for both backtesting and trading live?

[NinjaTrader_Josh]

The difference is in the granularity. If you see value in it then by all means use the additional granularity, otherwise it is your call.

Backtesting always has CalculateOnBarClose = true. You submit signal on 9:30 bar, trade occurs at open of 10:00 bar. In real-time you have the option to run CalculateOnBarClose = false which allows you to trade intrabar.

[cunparis]

Originally Posted by NinjaTrader_Josh

The difference is in the granularity. If you see value in it then by all means use the additional granularity, otherwise it is your call.

Backtesting always has CalculateOnBarClose = true. You submit signal on 9:30 bar, trade occurs at open of 10:00 bar. In real-time you have the option to run CalculateOnBarClose = false which allows you to trade intrabar.

Hi Josh thanks for the quick reply. Just to clarify, assuming I keep CalculateOnBarClose = false, is there a difference between backtesting & real time if I run a 30 minute bar and enter on a 1 minute bar?

[NinjaTrader_Josh]

Huge difference. Backtesting is always CalculateOnBarClose = true no matter what you try to set it to. Real-time with CalculateOnBarClose = false will process every single tick.

[cunparis]

Originally Posted by NinjaTrader_Josh

Huge difference. Backtesting is always CalculateOnBarClose = true no matter what you try to set it to. Real-time with CalculateOnBarClose = false will process every single tick.

I'm sorry I miswrote what I meant.. I meant that if I use CalculateOnBarClose=true, what is the difference between backtest & realtime for entering on a 1 minute bar.

[NinjaTrader_Josh]

There are many differences. Please review this article: http://www.ninjatrader-support.com/H...sBacktest.html