Exit Time Before Entry Time

[gileper]

Hi
If I add a second bar with granularity ie 1 min some trades shows entry Time Date after the Exit Date!!

IE backtesting on ES#### on a 90 min series , RTH exit con close true I get that strange behavior.

Are the backtests not valid at all with increased granuality?
On others strategies is even more freqent!

#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>
/// Enter the descrislion of your strategy here
/// </summary>
[Description("Enter the descrislion of your strategy here")]
public class A : Strategy
{
#region Variables
// Wizard generated variables

private int t=1;

// 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(PeriodType.Minute ,1);

this.ExitOnClose=true;

this.BarsRequired=1;
this.Slippage=1;
this.SetProfitTarget(CalculationMode.Ticks,3);
}

protected override void OnBarUpdate()
{



if(this.BarsInProgress==0)

{
bool buy;

if(SMA(Closes[0],50)[0]>SMA(Closes[0],200)[0])
buy=true;
else
buy=false;


if(buy&&MarketPosition.Flat==Position.MarketPositi on)
{
this.EnterLongLimit(1,true,1,Closes[0][0]-0.25*t,"BuyA");
return;
}

else if(!buy&&MarketPosition.Flat==Position.MarketPosit ion)
{
//
this.EnterShortLimit(1,true,1,Closes[0][0]+0.25*t,"SellA");
return;
}
}

}


#region Properties
[Description("")]
[GridCategory("Parameters")]
public int T
{
get { return t; }
set {t= Math.Max(0,value); }
}



#endregion
}
}

[NinjaTrader_PatrickH]

Hello gileper,

Thank you for your post.

This would not be expected when adding an additional series to your script. Please take a screenshot of the trades and/or executions that show an exit before the entry and attach the screenshot to your response so I may investigate this matter further.

[gileper]

Hi
Attached to the previous thread the screenshots.

Moreover, in a different strategy, it seems that the profit target it is not affected by the increased granularity. In a 60 min back and a 1 min additional series, I get a profit target never realized since from the moment the entering trade has been executed the profit target has been never filled (just look at this attached and the real data of last 45 minutes on friday 31 May 2013 ES0613, the target price was inside the 60min bar but after the trade). So adding a secondary 1min series it produces not good results, given that it seems to work only on the primary..really bad thing ..if this is the case)

[NinjaTrader_PatrickH]

Hello gileper,

Thank you for your response.

Your screenshot shows a Profit Target filled to Exit the Long Position after the entry was filled.

Please provide additional information on the matters you speak of, including and if possible the strategy code you are using to place the orders on the 1 minute bar series in backtesting.

[gileper]

Hello gileper,

Thank you for your response.

Your screenshot shows a Profit Target filled to Exit the Long Position after the entry was filled.

Please provide additional information on the matters you speak of, including and if possible the strategy code you are using to place the orders on the 1 minute bar series in backtesting.

Hi

In post 1 attachments you can see that exit time is before entry time. The strategy is the one in the post.


In post 3 I was showing a DIFFERENT problem. It seems that even with an increased granularity the profit target is filled only looking at the primary bar. The profit target price was actually inside the 60m bar but the target price has been reached BEFORE the entry time.
So what I mean is: the secondary bar seems to be not used by the setprofitarget void function. Adding a secondary series gives accurate results for the entry but seems to not offer any benefits for the profit target.
After the entry time the price never reached the target up to the end of the session on 31 may 2013 15.15.. Just look at the mkt prices ...

Best
G

[NinjaTrader_PatrickH]

Hello gileper,

Thank you for your response.

For the exit before the entry, please follow the instructions below to repair the NinjaTrader database.

• Disconnect NinjaTrader from any open connections via File > Disconnect
• From the NinjaTrader Control Center window select the menu Tools > Options
• Select the "Data" tab
• Press the "Repair DB" button
• Press the "OK" button
• Restart NinjaTrader

For the second item Set() orders (SetProfitTarget() and SetStopLoss()) will execute based off of the primary series and not the secondary series. The fill algorithm checks the next bar of the primary series and sees that your stop loss or profit target would have been filled and that is what you end up getting in your output.

There are two options for how you can proceed.

1. Swap your primary and secondary series. One minute as primary, 60 minute as secondary.
2. Use explicit Exit() methods instead of Set() methods for your stop loss. This option would allow you to preserve the use of 60 minute as the primary series.

Please let me know if you have any questions.

[gileper]

Thanks, I will try that