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Strategy Analyzer Support for automated system backtesting and optimization using the NinjaTrader Strategy Analyzer.

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Old 10-08-2010, 07:16 PM   #1
jonmoron
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Hi,

I have a strategy that I've created and runs perfectly on MR, resulting in multiple trades per day. However, when I run the strategy in the Strategy Analyzer (Backtest), I get 0 trades. I have no idea why this is occurring. Any insight would be appreciated.

Thanks!
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Old 10-09-2010, 11:45 AM   #2
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Jon, which CalculateOnBarClose setting are you working with, are you relying on getting the intrabar formation for the code to work as expected?

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Old 10-09-2010, 06:51 PM   #3
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Bertrand,

COBC = true. I am working with 1-minute bars and am only concerned with OnBarUpdate being called at the close of each bar.

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Old 10-10-2010, 01:57 AM   #4
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Ok Jon, what order types and backtest fill algorithms are you using?

http://www.ninjatrader-support.com/H...sBacktest.html

Have you tried adding a visual check to confirm that your conditions to enter is triggered as expected?

Are you perhaps running MultiSeries and historical data would not be present as needed for the calcs?
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Old 10-10-2010, 06:34 PM   #5
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Bertrand,

I'm using EnterLong and EnterShort - so I believe I'm submitting market orders. As for the fill type, I'm using the Default setting in the Strategy Analyzer. This strategy is not a multi-series based strategy. I simply compare the current close to some previous close prices before entering for 1 instrument.

I am using the Bollinger indicator for some of the exit criterion. However my problem is really concerned with why my strategy isn't entering the market at all on backtest, but enters about 5 times per day on MR.

Obviously, I'd like the backtest engine to work properly so I can test the performance over the course of many days without having to run MR on each day individually.
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Old 10-11-2010, 03:32 AM   #6
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Correct, those are just market orders, so you would need to debug what's different in your signal triggering / evaluation in backtest vs. replay, have you tried adding a visual check like a dot to the strategy to see when the conditions are triggering as per your rules?
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Old 10-11-2010, 07:41 AM   #7
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Quote:
Originally Posted by NinjaTrader_Bertrand View Post
Correct, those are just market orders, so you would need to debug what's different in your signal triggering / evaluation in backtest vs. replay, have you tried adding a visual check like a dot to the strategy to see when the conditions are triggering as per your rules?

Bertrand,

that's my point. Nothing seems to get triggered via the Strategy Analyzer. However the all the triggers work properly on MR.
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Old 10-11-2010, 07:45 AM   #8
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Jon, can you please post or email a sample of the condition you attempt to trigger in the SA?

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Old 10-11-2010, 04:17 PM   #9
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email sent, Bertrand.

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Old 10-12-2010, 07:12 AM   #10
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Thanks, got it - will reply now.
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Old 10-13-2010, 04:55 AM   #11
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I have developed a strategy which works perfectly in the Strategy Analyser Backtest and Walkforward environment. However, when I run the Strategy live on my Simulator Account, it does NOT fire any orders to market. I have checked all connected (internet, data feed, logs) all fine.
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Old 10-13-2010, 06:01 AM   #12
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If you're working with NT7 please first of all ensure the strategy is properly enabled, so it could generate orders as needed.

Next, please add a print or visual check via a drawing object to see if your triggers are evaluating to 'true' as needed in real time operation.
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Old 10-13-2010, 06:25 PM   #13
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I am using 6.5 and I have already done this. It shows up on Print check without a problem. It just doesn't trade..!
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Old 10-14-2010, 06:24 AM   #14
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What order type do you issue then exactly? What is the trace orders output telling you at the point of order triggering / submission? Do they perhaps expire unfilled?

http://www.ninjatrader.com/support/f...ead.php?t=3627
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Old 10-15-2010, 06:33 AM   #15
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I am using "Liberal Setting" with the default "Enter Short" code. Out of interest, how would I check the trace orders output ?
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