Worst strategy result ever

[ScottB]

Hi,

You might get a chuckle out of this. Luckily it wasn't real money.

Best Regards,
Scott

[NinjaTrader_Matthew]

Scott,




Thanks for sharing!

[pandyav]

This is hilarious

[koganam]

Have you tried reversing the trade criteria?

I am just curious; so far my experience has been that reversing trade criteria does not often reverse the results.

[ScottB]

koganam, why didn't I think of that?

[ScottB]

Hi,

I found the issue and depending on your point of view, it is a bug or a "feature" in the NinjaTrader default fill code. I missed a price conversion from the integer I use as an internal key and the instrument price (6E, so by a factor of 10,000).

I was putting limit orders out at what was supposed to be below the market but as it turned out was quite a bit above the market (as in 13704 vs 1.3704). The default fill basically says (to the extend default fills ever say anything, a normally quiet bunch they are) if that is what you want, there you go. Of course my modest stop of a few ticks was hit immediately.

To my way of thinking, the default fill should determine if the order is above the market, it is simply a marketable limit order and will fill as a market order would. I had previously fixed this with a custom fill type but forgot to change it during the back test.

It is something you may want to consider changing. Of course I understand there may be cases where you don't know what the market is and therefore have to rely on the order itself but it would seem if you can do this for a market order, you can do it for a marketable limit order.

Best Regards,
Scott