Who offers true tick by tick backtesting

Quote from bundlemaker:

Yes I did try it, then scanned the NT forum and started asking questions. The bottom line is that during a backtest, the finest data resolution available is OHLC for the bars in the chart. The net result is that entries occur 1 bar late in the backtest (compared to where the entry would be on live data).
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You can simulate order fills on a lower resolution, 1 tick if you so desire but take signals off of a higher time frame. Following is a reference sample that shows you how to do this.

http://www.ninjatrader.com/support/forum/showthread.php?t=6652
 
Quote from cgroupman:

Right, but not just the bots. The whole trading environment. You simply cannot replicate real data input well enough to really matter. Why did the market crash 6 S&P points on the close today? Why did gold drop $50 or so? Who knows for sure, and you can't replicate that type of inter-market reaction. For every minor movement in one instrument, there are several chain reactions.

If you're testing software to see if your idea can be put to task, sure, fine. If you think you can determine any sort of profitability, no way IMO. But, if you do it for real, and it works, then hurry up and make some money before your idea becomes ancient history. The markets are extremely efficient.


c
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But wh cares? If i backtest a 3 EX lot strategy, I will not be the one that tips the market. Yes, it crashed - how did I manage to trade there? Only relevant question.

Not perfect but - hey - better than nothing. And no, my 3 lot will not have cause the crash.
 
You don't like market replay in ninjatrader?

That's tick by tick.


Quote from bundlemaker:

I was bummed out to find that NinjaTrader can not do this. As an example of what I mean, let's say system signals to go long X ticks above prior bar high. Ninja, supposedly (I haven't tried myself) will execute this correctly in a live situation, but in backtesting, the fill comes actually on the open of the bar FOLLOWING when the X tick high of the signal bar is exceeded.

I know IRT and MarketDelta can do what I want (I've done it) but they offer no real time live execution solution that works properly.

Can anyone state if this is doable in MultiCharts? Something else? I find it amazing this functionality isn't readily available, as it's the way a lot of people need/want to trade.

Bob
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Quote from bundlemaker:

I was bummed out to find that NinjaTrader can not do this. As an example of what I mean, let's say system signals to go long X ticks above prior bar high. Ninja, supposedly (I haven't tried myself) will execute this correctly in a live situation, but in backtesting, the fill comes actually on the open of the bar FOLLOWING when the X tick high of the signal bar is exceeded.

I know IRT and MarketDelta can do what I want (I've done it) but they offer no real time live execution solution that works properly.

Can anyone state if this is doable in MultiCharts? Something else? I find it amazing this functionality isn't readily available, as it's the way a lot of people need/want to trade.

Bob
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I use Ninja for tick by tick testing.

You should head to the Ninja support forums. They respond very very fast.

No retail platform is as good as ninja imo. Multicharts, tws, etrade are all a joke. Download Ninja for free if you haven't yet (if you do paper trading, you can use all features for free - just pay the $1,100-$1,500 or $55/mo once you go live with your broker)
 
Quote from sbokov:

MultiCharts does true tick-by-tick backtesting very well. You can load tick data from a source of your choice, such as IQFeed or your own data files. Plus, in the 64-bit version, you can load years of tick data, backtest it, and trade live.
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I have had problems importing tick data in as an ascii txt file into MultiCharts. Maybe this is a new fix with new beta.
 
New to this thread. I had no trouble at all setting up tick level backtesting on 5 minute charts using NinjaTrader. Just a few extra lines of code and some double checking on my part.
 
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