CompressSeries

[whitmark]

With increased market volatility many traders are exploring moving average crossover strategies to take advantage of larger market moves. Most will use end-of-bar crossover entry setups but more aggressive traders will take the first intrabar cross to get into the move earlier and run the risk of encountering whipsaws. In NT6.5, this is easy enough to construct, test, and trade in realtime using CalculateOnBarClose=false or by using multiple timeframes, however, if you want to test this approach via backtesting or optimization, it is not possible to obtain an intrabar evaluation of the signal timeframe under supported operations.

For example, suppose I want to backtest an EMA(14)/EMA(34) crossover strategy on a 15m chart and want to take the first intrabar cross. To facilitate this intrabar evaluation I would need to introduce a secondary timeframe, say 1m, to evaluate moving averages on the 15m at the end of each 1m bar. This works fine during realtime/replay operations, however, it cannot be backtested or optimized since historical operations cannot "see" the 15 intrabar values of the moving averages. Intrabar crossover strategies are just one type of multiple timeframe strategy.

Enter NT7. While it's exciting to see all of the new features, including memory improvements, to support the visualization of multiple timeframes, there is no remedy to enable lower timeframes to see higher timeframe intrabar values for backtesting and optimization operations to support robust multiple timeframe strategy development.

I would like to advance the idea of a CompressSeries that would compress the OHLC values from a lower timeseries into a higher timeseries and allow intrabar snapshots of the higher timeframe (or indicator thereof) to be made available to the lower timeframe. For example,

CompressSeries(string name, IDataSeries input, PeriodType periodType, int multiple)

This is not a new idea and has been embraced by other trading platforms for some time. (See attached) In this exhibit, the backtested crossover occurs on the 6th minute of the 15m bar.

Whitmark

[NinjaTrader_Ray]

With increased market volatility many traders are exploring moving average crossover strategies to take advantage of larger market moves. Most will use end-of-bar crossover entry setups but more aggressive traders will take the first intrabar cross to get into the move earlier and run the risk of encountering whipsaws. In NT6.5, this is easy enough to construct, test, and trade in realtime using CalculateOnBarClose=false or by using multiple timeframes, however, if you want to test this approach via backtesting or optimization, it is not possible to obtain an intrabar evaluation of the signal timeframe under supported operations.

For example, suppose I want to backtest an EMA(14)/EMA(34) crossover strategy on a 15m chart and want to take the first intrabar cross. To facilitate this intrabar evaluation I would need to introduce a secondary timeframe, say 1m, to evaluate moving averages on the 15m at the end of each 1m bar. This works fine during realtime/replay operations, however, it cannot be backtested or optimized since historical operations cannot "see" the 15 intrabar values of the moving averages. Intrabar crossover strategies are just one type of multiple timeframe strategy.

Enter NT7. While it's exciting to see all of the new features, including memory improvements, to support the visualization of multiple timeframes, there is no remedy to enable lower timeframes to see higher timeframe intrabar values for backtesting and optimization operations to support rubust multiple timeframe strategy development.

I would like to advance the idea of a CompressSeries that would compress the OHLC values from a lower timeseries into a higher timeseries and allow intrabar snapshots of the higher timeframe (or indicator thereof) to be made available to the lower timeframe. For example,

CompressSeries(string name, IDataSeries input, PeriodType periodType, int multiple)

This is not a new idea and has been embraced by other trading platforms for some time. (See attached) In this exhibit, the backtested crossover occurs on the 6th minute of the 15m bar.

Whitmark

Thanks for the suggestion Mark. Although I do feel this is worthy subject to discuss, this is nothing that you will see for NT7. Just wanted to be candid so that there would be no false expectations.