I've viewed the posts and help section regarding setting stop losses, but am still unable to see my strategy work correctly in backtesting.
I'm simply trying to get a trailing stop that equals the price of an indicator (this could be any indicator).
In other words, if i'm long, i might assign a trailing stop that is equal to a moving average that is currently below the quote.
Below is the sample code of what i'm trying to achieve...can anyone shed some light on what i'm doing wrong - it compiles with no errors, but stop loss doesn't seem to work when i run backtest?
I'm simply trying to get a trailing stop that equals the price of an indicator (this could be any indicator).
In other words, if i'm long, i might assign a trailing stop that is equal to a moving average that is currently below the quote.
Below is the sample code of what i'm trying to achieve...can anyone shed some light on what i'm doing wrong - it compiles with no errors, but stop loss doesn't seem to work when i run backtest?
Code:
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// MySampleTrail
/// </summary>
[Description("MySampleTrail")]
public class MySampleTrail : Strategy
{
#region Variables
// Wizard generated variables
private int sMA1 = 100; // Default setting for SMA1
private int sMA2 = 200; // Default setting for SMA2
// User defined variables (add any user defined variables below)
#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
Add(SMA(SMA1));
Add(SMA(SMA2));
Add(SMA(SMA1));
CalculateOnBarClose = true;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Resets the stop loss to the original value when all positions are closed
if (Position.MarketPosition == MarketPosition.Flat)
{
SetTrailStop(CalculationMode.Ticks, 300);
}
// If a long position is open, allow for stop loss modification
else if (Position.MarketPosition == MarketPosition.Long)
{
SetTrailStop(CalculationMode.Price, SMA(50)[0]);
}
// If a short position is open, allow for stop loss modification
else if (Position.MarketPosition == MarketPosition.Short)
{
SetTrailStop(CalculationMode.Price, SMA(50)[0]);
}
// Condition set 1
if (CrossAbove(SMA(SMA1), SMA(SMA2), 1))
{
EnterLong(DefaultQuantity, "");
}
// Condition set 2
if (CrossBelow(SMA(SMA1), SMA(SMA2), 1))
{
EnterShort(DefaultQuantity, "");
}
}
#region Properties
[Description("SMA1")]
[Category("Parameters")]
public int SMA1
{
get { return sMA1; }
set { sMA1 = Math.Max(1, value); }
}
[Description("SMA2")]
[Category("Parameters")]
public int SMA2
{
get { return sMA2; }
set { sMA2 = Math.Max(1, value); }
}
#endregion
}
}
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