Stop doesn`t work through backtesting

[vitaleg]

Need assistance. I`ve set up stop and take profit orders. But they do not work during backtesting - orders are being closed on day close. Please advise.

[NinjaTrader_RyanM1]

Hello vitaleg,

For checking strategy order submission issues, please view TraceOrders output. Add this line to Initialize method:
TraceOrders = true;

Then, view output through Tools > Output window.

Currently there's not enough information to determine why those orders did not fill. As a start please let us know how they are defined and the series you are backtesting against.

[vitaleg]

Thanks for response, Ryan. I have attached the screenshot of stoploss initialization in wizard and the output window. I se there only 2 messages, while there are 47 trades. I`m backtesting on stock AA.

[NinjaTrader_RyanM1]

You're submitting your stop loss order at .05 as mode price. This submits a stop loss order at .05.

If you intened to submit them at .05 from entry price you may need to adjust this to calculation mode ticks and use a value of 5.

Also, set ExitOnClose = false to prevent closing at the end of the day.

[vitaleg]

Thanks, Ryan. One last question - can I set up the stop value to the previous bar`s High - Low ? I see in the code stop initializes prior to position. Please advise.

[NinjaTrader_RyanM1]

You can't perform this type of math in the strategy wizard. You'd have to work with code directly, and then understand that this type of statement couldn't be set in the Initialize method.

You would have to work closely with this reference sample:

http://www.ninjatrader.com/support/forum/showthread.php?t=3222

That will help you set an initial value when flat and then a different value(based off range) when you are in a position.