Multi-Instrument Strategy

[NinjaTrader_Austin]

Loukas, please try exiting the position before opening a position in the other direction:

exitshort1
exitshort2
exitshort3
enterlong5

instead of

enterlong5
exitshort1
exitshort2
exitshort3

[Loukas]

Thanks Bertrand, it is working good with the enter. However, with the ExitLong() or ExitShort statement are working. Every enter position is closing only with profit target level instead of closing when I am opening a new position in the opposine direction.

Initialize()
EntriesPerDirection = 4;
EntryHandling = EntryHandling.AllEntries;

OnBarUpdate()
if .........something
{
EnterShort(1,quantityOrder,"short1");
EnterShort(2,quantityOrder,"short2");
EnterShort(3,quantityOrder,"short3");
ExitLong("long");
}

else if ....something
{
EnterLong(5,quantityOrder,"long");
ExitShort("short1");
ExitShort("short2");
ExitShort("short3");
}

It is entering new positions but is not exiting the latest one....it close only when meet the profit target.

[NinjaTrader_Bertrand]

You likely need to run with a higher EntriesPerDirection here or set EntryHandling to use UniqueEntries:

http://www.ninjatrader.com/support/helpGuides/nt7/entryhandling.htm

[Loukas]

I have tried the way below to enter a multiple Enter() statment but it send only an order for the first bar object only (USDCAD) . I tried to connect the EnterShort() statments with "&&" but it is not working neither. Do you have any ideas about it?

[NinjaTrader_Bertrand]

Is there a multiple Enter() statment or I have to enter one by one ?

e.g

Add("$USDCAD",PeriodType.Day,1);
Add("$USDJPY",PeriodType.Day,1);

.....
.....

EnterShort(1,1,shortInst);
EnterShort(2,1,shortInst);

This would be the way to go here Loukas.

[Loukas]

Is there a multiple Enter() statment or I have to enter one by one ?

e.g

Add("$USDCAD",PeriodType.Day,1);
Add("$USDJPY",PeriodType.Day,1);

.....
.....

EnterShort(1,1,shortInst);
EnterShort(2,1,shortInst);

[NinjaTrader_Bertrand]

No worries, if you would like to execute in several symbols you could issue multiple Enter() calls to different series.

[Loukas]

Sorry it was my mistake. I would like to make the following changes, instead of going long a single currency I want to going Long a basket of cuurencies. Do you have any ideas about it?

[NinjaTrader_Bertrand]

In my testing here on a daily chart I see trades for your added instrument - your conditions run off BIP0, so the primary series and send then trades to index 1 and 2 - what issues are you seeing? The added series are used internally only and are not visualized if your run for example from your primary chart or Strategy Analyzer backtest.

[Loukas]

I didnt manage to solve the problem. I have entered the BarInProgress statment but I didnt understand which is the correct way to send an order for other instruments. I have attached an update of the strategy. Thanks

[NinjaTrader_Austin]

Loukas, your entry conditions are too restrictive. I ran your strategy on $EURCHF as the main instrument, $EURUSD as secondary, and $USDCAD as tertiary instrument (because we don't have USDMXN access) over a 2 year backtest and the conditions for entry were not triggered at all.

I placed some print statements in the code to help you see what is actually going on. Did you look at the SampleMultiInstrument strategy Bertrand referenced? None of your code is in a BarsInProgress, so the main conditions are checked for every series on every bar, which would make debugging extremely difficult.

Please take a look at the re-attached strategy, especially the comments I've revised.

Let me know if you have questions.

[Loukas]

Please have a look at the attachement

[NinjaTrader_Bertrand]

Did you reload the strategy fresh after making the needed code change to correctly call the added series? Yes, if you can attach the code that would help as I can then give it a run here for testing.

Thanks,

[Loukas]

At the Logs tab the message is that
"The strategy has called the Add[] method with an invalid instrument. The USDMXN does not exist..."
I made the adjustment this the symple "$". The is not any compile error but is still not making any trades.

I am not sure about EnterLong() if has the correct structure

if (CrossAbove(RSI(14, 0), 30, 1))
{
//Enter a long position on a basket of EM currencies. It is applied on Index Value 1
EnterShort(1,1,shortInst);
}
It checks the Cross of RSI on USDGBP( index 0) and enter a Short on USDMXN(index 1). EnterShort( index number, quantity, signal name)

Shall I send you the strategy to file to have a better view?
Thanks

[NinjaTrader_Bertrand]

Any errors in the log tab, this should be the first place to check if you run into any unexpected issues?

Please try with a $ sign in front of your FX spot symbols, so :

// Add("$USDGBP",PeriodTypr.Day,1);
// index value of 1
Add("$USDMXN",PeriodType.Day,1);
// index value of 2
Add("$EURUSD",PeriodType.Day,1);

Please also use this EnterLong overload for MultiSeries use, so you can specify to which BIP to submit:

EnterLong(int barsInProgressIndex, int quantity, string signalName)