Problem with my code? Strategy not behaving as expected.

[phobos]

Hi,

I have written a simple strategy with ema crossover and scaling out in 4 phases. Pasting the code below. When I backtest this, I see only first order gets executed for e.g. 'up1' and 'dn1' only. What am I doing wrong here? Thanks for your help!

/// <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(EMA(Fema));
Add(EMA(Sema));
Add(EMA(Fema));
Add(EMA(Sema));
SetProfitTarget("up1", CalculationMode.Percent, Tgt1);
SetProfitTarget("up2", CalculationMode.Percent, Tgt2);
SetProfitTarget("up3", CalculationMode.Percent, Tgt3);
SetProfitTarget("up4", CalculationMode.Percent, Tgt4);
SetProfitTarget("dn1", CalculationMode.Percent, Tgt1);
SetProfitTarget("dn2", CalculationMode.Percent, Tgt2);
SetProfitTarget("dn3", CalculationMode.Percent, Tgt3);
SetProfitTarget("dn4", CalculationMode.Percent, Tgt4);

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (CrossAbove(EMA(Fema), EMA(Sema), 1))
{
EnterLong(Qty, "up1");
EnterLong(Qty, "up2");
EnterLong(Qty, "up3");
EnterLong(Qty, "up4");
ExitShort("dn1out", "dn1");
ExitShort("dn2out", "dn2");
ExitShort("dn3out", "dn3");
ExitShort("dn4out", "dn4");
}

// Condition set 2
if (CrossBelow(EMA(Fema), EMA(Sema), 1))
{
EnterShort(Qty, "dn1");
EnterShort(Qty, "dn2");
EnterShort(Qty, "dn3");
EnterShort(Qty, "dn4");
ExitLong("up1out", "up1");
ExitLong("up2out", "up2");
ExitLong("up3out", "up3");
ExitLong("up4out", "up4");
}

}

[NinjaTrader_RyanM1]

Hi phobos,

What is your strategies EntryHandling property here? You probably want it set to UniqueEntries.

A basic scale in/out strategy is available here:

http://www.ninjatrader.com/support/forum/showthread.php?t=3751

You do not want both Enter and Exit in the same block. Reversals are automatically handled by the Enter methods, so you do not need separate exits.

[phobos]

Hi Ryan,
I am using the wizard. So where do i set the EntryHandling property?

And what do you mean by "Reversals are automatically handled by the Enter methods, so you do not need separate exits." I am trying to enter in a single phase at the same time but scale out in 4 chunks if profit target is meet or some other reversal condition is met. I read somewhere there is a bug in NT wherein if i want to scale out, then i need to enter separate 'Enter' commands even if they are all at same time and price.

Thanks!

[NinjaTrader_RyanM1]

If you create in the wizard, just set EntryHandling when you run (or backtest) the strategy. There's a drop down menu for it.

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

There's never a reason to include both ExitLong and EnterShort in the same block. You either want a reversal or a straight exit. Enter methods take care of reversals. Exit statements are used for straight exits.

If you do not want your enter methods to reverse, add a condition to these entries that checks market position == flat. For help with this condition, see the following link then section: How to create market position comparisons

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

[phobos]

Thanks Ryan. The entry problem is resolved.

Now I am having difficulty programming the exits through the wizard. This is what I want to do:
I have either entered long or short '4x' shares upon MA crossover. Now I want to exit:
1. 'x' shares either after I meet 1st profit target which i am defining as user input variable or on a MA crossover to opposite side that of the entry signal.
2. Sell another 'x' shares at 2nd profit target and so on.
So if i hit 4th profit target, then I am out of all '4x' shares.

How do i put this in the wizard?

Thanks.....

[NinjaTrader_RyanM1]

It looks like you have the general idea of it. You have to work with the signal names that you specify when you enter. The exits, including targets and stops, can reference these entries by matching fromEntrySignal value.

[phobos]

Hi Ryan,

Looks like I found the issue via some debugging. Pasting some code lines and the output:

private double tgt1 = 0.03;
Print(" Target : " + tgt1);
SetProfitTarget("up1", CalculationMode.Percent, tgt1);

Output of print:
Target : 0.03
8/20/2011 5:56:08 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='up1' Mode=Percent Value=0.03 Currency=0 Simulated=False
Target : 1
8/20/2011 5:56:08 PM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='up1' Mode=Percent Value=1 Currency=0 Simulated=False

Why is tgt1 being rounded off?

[phobos]

Also, when i run the optimizer, how can I give the tgt1 value?

Like this? 0.03;0.09;0.01

[NinjaTrader_Bertrand]

phobos, is this the only place where you set / define the target value? Do you reset the stops / targets to some initial default when flat in the strategy?

For the optimizer, please create a user defined input for your target:

http://www.ninjatrader.com/support/forum/showthread.php?t=5782

[phobos]

Hi Bertrand,

Yes this is the only place where i define it. The code is very simple and basic and I am not using anything related to flat.

[NinjaTrader_RyanM1]

private double tgt1 = 0.03;
Mode=Percent Value=1

Is double tg1 part of a public input? Check the properties region for Tg1 - You likely have a Math.Max(value, 1); there. Change to 0 to accept values smaller than 1.