I have been using NinjaTrader for the past few weeks for backtesting and up until now have been satisfied with their product.
However, I have run into some problems with the Calculate On Bar Close logic when trying to backtest stratgies for Long time periods (15+ years) using OHLC daily data only (I understand that this isn't a problem if you have intraday data). The main issue is that it won't allow interbar order generation (IOG).
I.e. a simple strategy that says to enter long at the close when the 20 day MA is greater then the close won't enter the order until the bar closes (this bar is the close of the day) and therefore doesn't get triggered until the next bar (open of the next day). I understand that if I used intraday data then it would calculate on a prior bar and execute on the close but for back testing long time periods only limited data (OHLC) is available. Ninja trader also doesn't allow to execute a trader at bar-1 even for backtesting purposes. I understand the logic behind this as it would be forward looking or backward looking and defy trading logic but my purpose it simply for backtesting purposes.
Can anyone recommend a good backtesting suite that would allow IOG or run into this issue when backtesting stock strategies? All recommendations are appreciated, the cheaper the product the better.
However, I have run into some problems with the Calculate On Bar Close logic when trying to backtest stratgies for Long time periods (15+ years) using OHLC daily data only (I understand that this isn't a problem if you have intraday data). The main issue is that it won't allow interbar order generation (IOG).
I.e. a simple strategy that says to enter long at the close when the 20 day MA is greater then the close won't enter the order until the bar closes (this bar is the close of the day) and therefore doesn't get triggered until the next bar (open of the next day). I understand that if I used intraday data then it would calculate on a prior bar and execute on the close but for back testing long time periods only limited data (OHLC) is available. Ninja trader also doesn't allow to execute a trader at bar-1 even for backtesting purposes. I understand the logic behind this as it would be forward looking or backward looking and defy trading logic but my purpose it simply for backtesting purposes.
Can anyone recommend a good backtesting suite that would allow IOG or run into this issue when backtesting stock strategies? All recommendations are appreciated, the cheaper the product the better.
