Im using NT8 B6, never tested this in the older versions.
I think I found a bit of a PNL calculation bug. I can reproduce it, I created a basic strategy that enters 10k long on bar 25, and then 20k short on bar 50. Both have a set profit target of 50pips. When one of the profit targets is hit the PNL is way out.
I think I found a bit of a PNL calculation bug. I can reproduce it, I created a basic strategy that enters 10k long on bar 25, and then 20k short on bar 50. Both have a set profit target of 50pips. When one of the profit targets is hit the PNL is way out.
Code:
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies.PH
{
public class phStrat1 : Strategy
{
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Go long at bar 50";
Name = "phStrat1";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = false;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
dir = true;
}
else if (State == State.Configure)
{
}
}
protected override void OnBarUpdate()
{
//Add your custom strategy logic here.
if(CurrentBar == 25 && dir == true){EnterLong(10000,"Long");}
if(Position.MarketPosition==MarketPosition.Long)
{
SetProfitTarget("Long",CalculationMode.Pips,50);
}
if(CurrentBar == 50 && dir == false){EnterShort(20000,"Short");}
if(Position.MarketPosition==MarketPosition.Short)
{
SetProfitTarget("Short",CalculationMode.Pips,50);
}
}
#region Properties
[NinjaScriptProperty]
[Display(Name="Dir", Order=3, GroupName="Settings")]
public bool dir
{ get; set; }
#endregion
}
}
Attached Files
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