Real tick data not supported for Ninjatrader?
9 replies
M1S
8 years ago #114091
I imported tick data to SQ from Ninjatrader and selected Real Tick as precision. I don’t see any way to convert to timeframe. The only period available is Tick. Is real tick data not supported for Ninjatrader?
tomas262
8 years ago #132207
When you import tick or alternative timeframe data it’s recognized as ‘tick’ or ‘intraday’ alternatively and cannot be used as 15 minutes or 30 minutes or whatever. If you want to test let’s say 15 minutes timeframe you need to import 15 minutes bar data from NinjaTrader to StrategyQuant since NinjaTrader and Tradestation backtester can work only with ‘Selected Timeframe precision’.
M1S
8 years ago #132234
The fact that Ninjatrader and Tradestation backtesters don’t support real tick data in SQ needs to be clearly stated on the website. You can understand a frustration of finding it out after I already purchased MindQuant Professional. When will this feature be available?
tomas262
8 years ago #132238
What is the target timeframe you want to trade your strategy on? Can’t you just export that timeframe and use it for testing? Depending on complexity of your approach it can provide results that are very close to reality …
It is mentioned here https://strategyquant.com/featuresunder “Supported Data and Timeframes” – The program supports import of real tick data and run backtests on tick data (only for MetaTrader4).
M1S
8 years ago #132256
Thank you for pointing it out. Can you answer the question when this feature will be available?
mabi
8 years ago #135744
Thank you for pointing it out. Can you answer the question when this feature will be available?
Any answer on this .
At present i guess the only safe solution to this when using higher time frames is to make sure the exist and stops are such that you stay outside the range of 99% of the entry bar´s. This gives large stoplosses and large wins on futures and few have the possibility to trade this way but all winners at world champions futures trade this way.
tomas262
8 years ago #135788
Any answer on this .
At present i guess the only safe solution to this when using higher time frames is to make sure the exist and stops are such that you stay outside the range of 99% of the entry bar´s. This gives large stoplosses and large wins on futures and few have the possibility to trade this way but all winners at world champions futures trade this way.
Yes you are basically right, it cannot evaluate intrabar fill with minute data i.e. opening trade and closing it with the same bar hitting either PT or SL first. People sometimes report amazingly performing strategies on backtesting that cannot work in real just because of not understanding this.
I think more data support could be available with new version of SQ but not sure so I will ask Mark to add comment about this
mabi
8 years ago #135798
One way could simply be to have a setting that regard´s the trade as a loss if it has a possibility to reach the stoploss intrabar. That would be pretty nice actually then you could evaluate optimum intrabar stopploss.
I Think Ninjatrader 8 has an intrabar granulity that will cover this ( maybe). When i made the mistake generating strategies and i got 2000 with 98-100% winning strategies I actually found a one anyway that i ran in Ninjatrader replaymode ( 3 months unseen data) that actually was profitable but not even one trade opened and closed on the same bar even if it was supposed to. It is a trade that on each bar open a limit order short 100 tick above open with a 48 tick target.
Mark Fric
8 years ago #135802
real ticks support for Ninjatrade/Tradestation in StrategyQuant will be most probably available in version 4.
We have backtesting engine general enough to handle real tick data, but NT and TS as platforms don’t have a very big support for this. Intra-bar granularity is not the same as supporting real tick data.
But as I said, we’ll add support for it in SQ 4.
Mark
StrategyQuant architect
mabi
8 years ago #135807
Well those two platform is just trading platforms while SQ is pure awesomeness so you have to better then them of course 😉
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