Backtest a Strategy

A backtest allows you to analyze the historical performance of a strategy. In order to run a backtest you will need:

Access to historical data
Custom NinjaScript *strategy

*There are several pre-defined sample strategies that are installed with NinjaTrader that you can explore.

Start a Backtest

Select either an instrument or an instrument list (to basket test the entire list of instruments) and via the right mouse button click context menu, select the sub-menu "Backtest...". Alternatively, you can press the "b" icon from the tool bar or press the short cut key combination Ctrl-B.

Select the strategy (1) and set the backtest properties and press "OK".

Historical Fill Processing

NinjaTrader provides two system fill algorithms that can be used in a backtest. In addition, if you have some experience programming, you can script your own algorithm.

The two system fill algorithms are:

Default

An algorithm that takes a conservative and more realistic approach to filling limit and stop limit orders.

Limit orders only fill if the limit price was penetrated
Limit orders are always filled at the limit price specified never better (for example, if a limit order is submitted on bar n, NT will check if the order is filled on bar n+1, if this bar gaps down and the limit order was a buy, the order would be filled at the limit price and NOT the high of bar n+1)

Liberal
An algorithm that takes a liberal approach to filling limit and stop limit orders.

Limit orders fill if the limit price was touched
On gap down bars, buy limit orders will fill at the high of the gap down bar
On gap up bars, sell limit orders will fill at the low of the gap up bar

Slippage can also be set expressed in "ticks" or, the minimum value of fluctuation for an instrument. Slippage is only applied to market and stop market orders since slippage is impossible with a limit order.

Special Circumstances with GAIN Forex

During a backtest, order quantity is an absolute value which is in most cases different than in a real-time brokerage account. As an example, 1 traded FX lot at a live brokerage account might be the equivalent to 100,000 of notional value (check with your broker) however, in backtest a value of 1 is a literal value of 1 and not 100,000. Thus, if you want to trade 100,000 in a backtest you need to put in a value of 100,000. Just remember that if you convert your strategy from backtest to live you will need to amend the order quantities appropriately.

Property Definitions

Parameters section	Sets any strategy specific user defined inputs
From	Sets the start date for the backtest period
To	Sets the end date for the backtest period
Exclude weekend	If true, will exclude weekend data from the historical dataseries
Session begins	Starting time of the intraday session for the historical dataseries
Session ends	Ending time of the intraday session for the historical dataseries
Dataseries - Type	Interval type for the historical dataseries
Dataseries - Value	Interval value for the historical dataseries
Include commission	Include commission in the backtest performance results (see setting commissions)
Label	Sets a text value that will be displayed on the chart to represent the strategy
Min. bars required	Sets the minimum number of bars required before the backtest will start processing
Fill type	Sets the algorithm for processing and filling orders during backtest
Slippage	Sets the slippage amount in ticks per execution
Entries per direction	Sets the maximum number of entries allowed per direction while a position is active based on the "Entry handling" property
Entry handling	Sets the manner in how entry orders are handled. If set to "AllEntries", the strategy will process all entry orders until the maximum allowable entries set by the "Entries per direction" property has been reached while in an open position. If set to "UniqueEntries", strategy will process entry orders until the maximum allowable entries set by the "Entries per direction" property per each uniquely named entry.
Exit on close	When enabled, open positions are closed on the last bar of a session
Set order quantity	Sets how the order size is determined, options are: "by default quantity" - User defined order size "by strategy" - Takes the order size specified programmatically within the strategy "by account" - Allows you to set a virtual account value that is used to determine maximum order size based on margin settings per instrument set in the Instrument Manager
Time in force	Sets the order time in force