New to strategy wizard

[roq1000]

Hi,

I am just starting to use NT and am obviously making a few errors creating a strategy using the wizard.

I want to program the following donchian trend breakout strategy:

- Enter long trade at 20 day high (but only if 25 day EMA is above 350 day EMA)

- Enter short trade at 20 day low (but only if 25 day EMA is below 350 day EMA)

- Exit long trade at 10 day low

- Exit short trade and 10 day high


I've clearly got something wrong, as when I backtest there are no results. Here is the code that the wizard produced for me, it would be great if you could tell me where I'm going wrong!:


Description("Enter the description of your strategy here")]
public class DONCHIAN : Strategy
{
#region Variables
// Wizard generated variables
private int dAY20HIGH = 20; // Default setting for DAY20HIGH
private int dAY20LOW = 20; // Default setting for DAY20LOW
private int dAY10LOW = 10; // Default setting for DAY10LOW
private int dAY10HIGH = 10; // Default setting for DAY10HIGH
private int eMA25 = 25; // Default setting for EMA25
private int eMA350 = 350; // Default setting for EMA350
// 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(DonchianChannel(20));
Add(DonchianChannel(20));

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (EMA25 > EMA350
&& DAY20HIGH > DonchianChannel(20).Upper[0]
&& EMA25 == EMA(25)[0]
&& EMA350 == EMA(350)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (EMA25 < EMA350
&& DAY20LOW < DonchianChannel(20).Lower[0]
&& EMA25 == EMA(25)[0]
&& EMA350 == EMA(350)[0])
{
EnterShort(DefaultQuantity, "");
}

// Condition set 3
if (DAY10LOW == LowestBar(DefaultInput, 10)
&& Position.MarketPosition == MarketPosition.Long)
{
ExitLong("", "");
}

// Condition set 4
if (DAY10HIGH == HighestBar(DefaultInput, 10)
&& Position.MarketPosition == MarketPosition.Short)
{
ExitShort("", "");

[NinjaTrader_JoshP]

roq1000,

First, welcome to the NinjaTrader Support Forums.

What exactly is the behavior you are seeing instead when you say "it is wrong"?

[roq1000]

Hi there,

thanks for the quick response. No matter which instrument/stock I bactest the system on, I'm not getting any results - i.e. no trades are being taken - all the results stay at zero...? I must be doing something wrong I guess!

Many thanks,
Robbie

[NinjaTrader_JoshP]

Robbie,

Do you have data yet? You would need to be connected to a data provider.

[roq1000]

Hi Josh,

I do have data, I'm connected to yahoo and when I click on the chart tab it shows that...?

Thanks for any advice you may be able to give!

Robbie

[RJay]

roq1000,

Quick test to see if strategy will work, add strategy to an open chart with a couple days of historical data, maybe 40 days in your case.

If you see trades show up on the chart, backtesting should work.

RJay

[NinjaTrader_JoshP]

Robbie,

Please also ensure you are backtesting on daily time frame because Yahoo only provides you with daily data.

[roq1000]

Many thanks for the replies so far, but having tried all suggestions, it's still not working. Any other ideas as to what can be wrong would be appreciated!

Thanks,
Robbie

[NinjaTrader_JoshP]

Try to run a backtest on SampleMACrossOver. Does that work? If not then you are having data issues for sure and not strategy issues.

[roq1000]

Thanks Josh, it works for the sampleMAcrossover. That's what made me think somehow I had got the strategy wrong. But I've downloaded a few other strategies from the internet though, written by people who presumably know Ninjatrader backwards and they aren't showing any results either!

I'd appreciate any other ideas you come up with that I can try/what setting I may have wrong.



Thanks for your patience!

Robbie

[NinjaTrader_JoshP]

Please provide exact steps of what you are doing.

[roq1000]

Thanks Josh, I'll send those over as soon as I've written them up!

Robbie

[roq1000]

Hi,

I start ninjatrader. Connect to Yahoo (File > Connect > Yahoo) The I go to File > New > Strategy Analyser. Then right-click on a stock and select backtest. Select a strategy from the drop-down list and make sure the data type is set to `day'. It works with sampleMAcrossover, but for all the other strategies (even the preinstalled samples), all the columns remain at zero. This is even the case if I select a simulated feed instead!

Do you think I should uninstall the software and reinstall it, in the hope that it might then work?

It's very frustrating.

Thansk for your help!

[NinjaTrader_JoshP]

roq1000,

Simulated feed will not provide you any historical data.
The only prebuilt strategy worthwhile for testing is the SampleMACrossOver. The rest are technical samples and not meant for backtesting.

You should check your Control Center logs for errors. Once you have connected to Yahoo and downloaded at least a years worth of daily data for the instrument you want to backtest on, disconnect from Yahoo.

[roq1000]

Hi Josh,

I've tried disconnecting from yahoo (after doiwnloading 10 years data) and the backtest still isn't giving any results! If you have any other things I can try, please let me know - I really can't get on with anything with this problem persisting. It couldn't be my coding could it - the code I posted a few days ago in this thread looks OK, does it?

There are no errors in the log.

Thanks,
Rob