Trailing stop not working on backtest

[Baruch]

My mistake. It should be:
SLPrice=Close[0]-10 * Ticksize;
Don't put the breakeven and trailing stop in the same "if" with entry.
And you didn't put breakeven. You changed the SLPrice but didn't fire the SetStopLoss.
Baruch

[stephenszpak]

Just changed my reply via edit.

Now looking at your 11:13 AM reply.

[stephenszpak]

I'm going over the code now. I made a mistake somewhere. (Not understanding it
fully helps me in that.) It compiled and ran for a while then I got the error included
in the attachment. - Stephen

================================================== ===================

protected override void OnBarUpdate()
{





if (Close[0]>Close[1]&& (Median [0]>Median[1])&& enteredLong==false)
{
EnterLong();
SLPrice=Position.AvgPrice-5;
if(Close[0]>Position.AvgPrice+15*TickSize&&SLPrice<Close[0]-10*TickSize)

SLPrice=Close[0]-10*TickSize;
SetStopLoss(CalculationMode.Price,SLPrice);
}
else if (Close[0]>Position.AvgPrice+5*TickSize&&SLPrice<Position.Av gPrice)
{
SLPrice=Position.AvgPrice;
SetStopLoss(CalculationMode.Price,SLPrice);
}


if (Close[0]<Close[1]&& (Median[0]<Median[1])&& enteredShort==false)
{
EnterShort();
SLPrice=Position.AvgPrice+5;
if(Close[0]<Position.AvgPrice-15*TickSize&&SLPrice>Close[0]+10*TickSize)

SLPrice=Close[0]+10*TickSize;
SetStopLoss(CalculationMode.Price,SLPrice);
}
else if (Close[0]<Position.AvgPrice-5*TickSize&&SLPrice>Position.AvgPrice)
{
SLPrice=Position.AvgPrice;
SetStopLoss(CalculationMode.Price,SLPrice);
}





}

[stephenszpak]

The next error message after I click "OK" is:

Buy stop or buy stop limit orders can't be placed below the market.
Affected Order:BuyToCover 1 Stop @5

I did move a couple lines of code. To fix:

"""Don't put the breakeven and trailing stop in the same "if" with entry."""

It didn't help. I think it is close to right though.

[stephenszpak]

These lines of code seem incorrect:

SLPrice=Position.AvgPrice-5;

Also:


SLPrice=Position.AvgPrice+5;

I'll be changing them when I can. I am recording for MarketReplay now,
so I can't go back to Dec. 11th's chart using MarketReplay simultaneously
(as far as I can tell).

This is confusing too:
================================================== ===========
p477
© NinjaTrader, LLC, 2005

https://www.ninjatrader.com

Position Methods and Properties

AvgPrice
Definition

Gets the average price of a strategy position.

Property Value

A double value representing the position's average price per unit.

Syntax
Position.AvgPrice
================================================== =========

Apparently Positon.AvgPrice is the ORIGINAL PRICE of the future (ie. YM)
when the strategy went long (or short). Though I'm still not certain of this
as I read the Pdf. If it's NOT the price when the strategy was first enacted
it must be the current value of the YM, which doesn't make sense to me as
I look at the coding.

[NinjaTrader_JoshP]

Position.AvgPrice is the average entry filled price for your currently held strategy position. This is not the price of the instrument per se. It is the price you got your order filled at.

[stephenszpak]

Thanks Josh. That makes sense. Well I changed my code
and it still doesn't work.

SLPrice=Position.AvgPrice-5*TickSize;

AND

SLPrice=Position.AvgPrice+5*TickSize;

One idea was to start with a 5 point stoploss and when the YM went
up 15 points (or whatever) to make that breakeven and so on.

Baruch said at one point:

"""Don't put the breakeven and trailing stop in the same "if" with entry.
And you didn't put breakeven. You changed the SLPrice but didn't fire the SetStopLoss."""

I'll be looking at the code some tonight, but I'm not sure what the code is doing or
what Baruch meant. If I accomplish anything I'll re-post about it.

- Stephen

[stephenszpak]

I tired to change the code according to the basic pattern that Baruch
gave me. The more I look at it the less it makes sense, and of course
I keep getting that same error as I posted already. One of the "+"
or "-" is wrong I believe.

I simplified the program to just try to get a single breakeven stop.
There was indeed a "+" that should have been a "-" so the error did not appear.

The program still DIDN'T work properly as far as I can tell.

The program below seems to work fine, but it just moves the stop loss to
breakeven and can't turn that stop into a trailing stop.

So anyway, I'd still like to get a stoploss that moves up to breakeven and then
becomes a trailing stop. After a number of hours at this I don't know how many
new things I can come up with.



if (Close[0]>Close[1]&& (Median [0]>Median[1])&& enteredLong==false)
{
EnterLong();
SetStopLoss(CalculationMode.Ticks,5);
if(Close[0]>Position.AvgPrice+10*TickSize)
SetStopLoss(CalculationMode.Ticks,0);
}

if (Close[0]<Close[1]&& (Median[0]<Median[1])&& enteredShort==false)
{
EnterShort();
SetStopLoss(CalculationMode.Ticks,5);
if(Close[0]<Position.AvgPrice-10*TickSize)
SetStopLoss(CalculationMode.Ticks,0);
}

[stephenszpak]

I've given up for the short term. I haven't been able to change
the SLPrice after the YM moves up. (I seem to be able to get
the stop loss to change to a breakeven, but that's it.)

I didn't see how at this point to expand on Baruch's code here:

http://www.ninjatrader-support2.com/vb/showpost.php?p=133174&postcount=12

I thought about writing a few lines of code everytime the YM moves
up 1 point to change the SLPrice. I wouldn't think this is necessary
since there would be about 500 lines of code for a 100 point move up
and of course another 500 lines of code for a 100 point move down.

So once again the basic idea is this...

================================================== =========

Enter YM long with a 5 tick stop. When/If YM moves up 10 ticks make
stop a breakeven, when/if 11 ticks make stop 10 ticks back for a 1 tick
profit, when/if 12 ticks make stop 10 ticks back for a 2 tick profit.
In other words have a trailing stop of 10 ticks.
(Of course the same idea in a downtrend.)

I'm using equal range bars set to 15 ticks, but I don't think that would matter
to the calculations. Also Calculate on bar close= true

NoGapRange bars download link is here if anyone is curious about
using them in their trading:

http://forum.bigmiketrading.com/free_downloads/ninjatrader/misc/113-download.html?view

I'll be back Wednesday at the earliest in case anyone feels
ambitious.


Also couldn't figure out if plus or minus would be used here or
if it was even allowed to use minus numbers in the SetStopLoss
format I wrote below. ( I realize this isn't the correct format for
using SLPrice, but I had to keep trying, so I went to "Ticks" and
spent an hour or so there.)


else if(Close[0]>Position.AvgPrice+11*TickSize)
{
SetStopLoss(CalculationMode.Ticks,-1);
}
else if(Close[0]>Position.AvgPrice+12*TickSize)
{
SetStopLoss(CalculationMode.Ticks,-2);
}
else if(Close[0]>Position.AvgPrice+13*TickSize)
{
SetStopLoss(CalculationMode.Ticks,-3);

etc. etc. etc. etc. for 100 ticks or so

Also couldn't figure out if plus or minus would be used here either in a downtrend:

else if(Close[0]<Position.AvgPrice-11*TickSize)
{
SetStopLoss(CalculationMode.Ticks,-1);
}
else if(Close[0]<Position.AvgPrice-12*TickSize)
{
SetStopLoss(CalculationMode.Ticks,-2);
}
else if(Close[0]<Position.AvgPrice-13*TickSize)
{
SetStopLoss(CalculationMode.Ticks,-3);
}
else if(Close[0]<Position.AvgPrice-14*TickSize)
{

etc. etc. etc. for 100 ticks or so

[NinjaTrader_JoshP]

Stephen,

You should not use CalculationMode.Ticks and try to use negative values for the ticks. You should be using CalculationMode.Price and give the exact price you want the stop loss to be at.

If you want it at break even the price you should submit at is Position.AvgPrice. If you want it higher than your entry price then you would do Position.AvgPrice + 2 * TickSize for instance.

[stephenszpak]

Thanks Josh. Yes I understand what you said. I still don't have
any idea how to increase the stop one tick at a time and still have
it stay 10 points (let's say) behind the YM as it moves up, without
writing at least one line of code for each tick up in the YM.

Obviously if we assume that there will be some days when the YM
makes a steady up (or down) move of 50 points I would want to have
the code track it. To me, at this point, it means writing 50 or more lines
for the bull side of the coding and 50 or more for the bear side.

If you have any hints at this point I'd like to hear them. Of course I
will not be idle. I intend to research the matter today and tomorrow
here and at Mikes trading for help.

- Stephen

[NinjaTrader_JoshP]

Stephen,

Have you considered just using a trailing stop?

[Baruch]

Stephen,
Its simple in one line. The CalculationMode.Ticks is "The value the stop loss order is offset from the position entry price ". So on each close[0] you have to calculate what is the value for ticks.
If you are long: SLTickValue = (Position.AvgPrice - Close[0] ) / TickSize + 10.
It will be a negative number and I hope NT accepts it, if not you have to change to CalculationMode.Price or even better not to use SetStopLoss at all and use stopIorder = ExitLongStop().
Please don't think in terms of 50 lines of SetStopLoss.

Baruch

[stephenszpak]

Stephen,

Have you considered just using a trailing stop?

Josh

Well, if a trailing stop can be: a stop loss, which turns into a breakeven,
which turns into a trailing, I will consider it. I don't think that's doable in NT.

[stephenszpak]

Stephen,
Its simple in one line. The CalculationMode.Ticks is "The value the stop loss order is offset from the position entry price ". So on each close[0] you have to calculate what is the value for ticks.
If you are long: SLTickValue = (Position.AvgPrice - Close[0] ) / TickSize + 10.
It will be a negative number and I hope NT accepts it, if not you have to change to CalculationMode.Price or even better not to use SetStopLoss at all and use stopIorder = ExitLongStop().
Please don't think in terms of 50 lines of SetStopLoss.

Baruch

Thanks Baruch. I expect to reply one way or the other Sat. or Sun.
regarding progress, or the lack. I almost understand you in this matter.