Multi-Time Frame Strategy

[hazza147]

Hi,

I'm trying to optimize a multi-time frame strategy I have designed. It would appear that I can't even back-test it let alone Optimize it in Strategy Analyzer, everytime I do a backtest I get zero trades. However when I run the strategy in real-time trades do appear and I can access the strategy performance by selecting historical performance. I have attached the code below:

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Strategy;
#endregion

namespace NinjaTrader.Strategy
{
	#region Header
		[Description("simple JMA/JMA crossover")]
		public class Jurik_JMA_UpDown2 : Strategy
		#endregion
    {
		#region Variables	// default values
			private double jma_len = 21; 	
			private double jma_phase = -100; 
			private double jma_len2 = 21; 	
			private double jma_phase2 = -100; 
			private int TimeFrame1 = 15;
			private int TimeFrame2 = 60;
			// ---------------------------------
			private DataSeries JMAseries1;
			private DataSeries JMAseries2;
			#endregion
		
		#region Input Parameters
			[Description("JMA length, any value >= 1")]
			[GridCategory("Parameters")]
			public double JMA_len
			{
				get { return jma_len; }
				set { jma_len = Math.Max(1, value); }
			}
			
			[Description("JMA phase, any value between -100 and +100")]
			[GridCategory("Parameters")]
			public double JMA_phase
			{
				get { return jma_phase; }
				set { jma_phase = Math.Max(-100, Math.Min(100,value)); }
			}	
			
			[Description("JMA length, any value >= 1")]
			[GridCategory("Parameters")]
			public double JMA_len2
			{
				get { return jma_len2; }
				set { jma_len2 = Math.Max(1, value); }
			}
			
			[Description("JMA phase, any value between -100 and +100")]
			[GridCategory("Parameters")]
			public double JMA_phase2
			{
				get { return jma_phase2; }
				set { jma_phase2 = Math.Max(-100, Math.Min(100,value)); }
			}	
			
			[Description("Time Frame, any value >= 1")]
			[GridCategory("Parameters")]
			public int Time_Frame1
			{
				get { return TimeFrame1; }
				set { TimeFrame1 = Math.Max(1, value); }
			}
			
			[Description("Time Frame, any value >= 1")]
			[GridCategory("Parameters")]
			public int Time_Frame2
			{
				get { return TimeFrame2; }
				set { TimeFrame2 = Math.Max(1, value); }
			}
			#endregion

		protected override void Initialize()
        {
			#region Chart Features
            // Add a x minute Bars object to the strategy
				Add(PeriodType.Minute, Time_Frame1);
			
			// Add a x minute Bars object to the strategy
				Add(PeriodType.Minute, Time_Frame2);
			
				Add(Jurik_JMA_custom( 0, JMA_len , JMA_phase));
				Add(Jurik_JMA_custom( 0, JMA_len2 , JMA_phase2));
				Jurik_JMA_custom( 0, JMA_len , JMA_phase).Plots[0].Pen.Color = Color.Blue;
				Jurik_JMA_custom( 0, JMA_len2 , JMA_phase2).Plots[0].Pen.Color = Color.Black;
				CalculateOnBarClose = true;
				#endregion
			
			#region Series Initialization
				JMAseries1 = new DataSeries(this);	// sync dataseries to historical data bars
				JMAseries2 = new DataSeries(this);	// sync dataseries to historical data bars
				#endregion
		}

        protected override void OnBarUpdate()
        {
				if (BarsInProgress != 0)
				return;
			#region Strategy Formula
				JMAseries1.Set( Jurik_JMA_custom(BarsArray[1], 0, JMA_len , JMA_phase ).JMA_Series[0] );
				JMAseries2.Set( Jurik_JMA_custom(BarsArray[2], 0, JMA_len2 , JMA_phase2 ).JMA_Series[0] );
				
				if (JMAseries1[0] > JMAseries1[1] && JMAseries2[0] > JMAseries2[1])
					EnterLong(1, "L");
				if (JMAseries1[0] < JMAseries1[1] && JMAseries2[0] < JMAseries2[1])
					EnterShort(1, "S");
				#endregion			
        }
    }
}

I have also tried to backtest the Sample Multi-Time Frame strategy which came with NT7 however am experiencing the same problem as above.

Can someone explain what I am doing wrong, if anything?

Kind Regards,
Harry Seager

[NinjaTrader_AdamP]

Harry,

I am not seeing anything here off the top of my head. Could you make sure you have historical data for the other instruments here? You can check in the Tools > Historical Data Manager tool.

[hazza147]

Fixed it. Don't know why its suddenly started working!