Give me a break (even)

[moon_121]

My break-even tests are behaving strange. Sometimes it exits on the same bar with a stop order (see picture).
Can you point me to the error in my strategy?

#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.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class SMAcrossBreakeven2 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int fast = 1; // Default setting for Fast
        private int slow = 1; // Default setting for Slow
        private double trigger = 100; // Default setting for Trigger
        
        
        // User defined variables (add any user defined variables below)
        #endregion

        /// <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(SMA(Close, Fast));
            Add(SMA(Close, Slow));
            
            SetStopLoss(CalculationMode.Ticks, 100);
            
            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Beginning of Auto-Break-Even            
            // If a long position is open
            if (Position.MarketPosition == MarketPosition.Long)
                {
                    
                // Once the price is greater than entry price + Trigger * ticks, set stop loss to breakeven
                if (Close[0] > Position.AvgPrice + trigger * TickSize)
                    {
                        SetStopLoss(CalculationMode.Price, Position.AvgPrice);
                    }
                }
            // If a short position is open
            if (Position.MarketPosition == MarketPosition.Short)
                {    
                    
                // Once the price is smaller than entry price - Trigger * ticks, set stop loss to breakeven
                if (Close[0] < Position.AvgPrice - trigger * TickSize)
                    {
                        SetStopLoss(CalculationMode.Price, Position.AvgPrice);
                    }
                }
            // Ende of Auto-Break-Even
                
                // Condition set 1
                if (CrossAbove(SMA(Close, Fast), SMA(Close, Slow), 1))
                {
                    EnterLong(DefaultQuantity, "");
                }

            // Condition set 2
            if (CrossBelow(SMA(Close, Fast), SMA(Close, Slow), 1))
            {
                EnterShort(DefaultQuantity, "");
            }
            
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int Fast
        {
            get { return fast; }
            set { fast = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int Slow
        {
            get { return slow; }
            set { slow = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double Trigger
        {
            get { return trigger; }
            set { trigger = Math.Max(0, value); }
        }
        #endregion
    }
}

[NinjaTrader_Matthew]

Hello,

You should make sure you are resetting our stop loss when your position is flat.

			// Resets the stop loss to the original value when all positions are closed
			if (Position.MarketPosition == MarketPosition.Flat)
			{
				            SetStopLoss(CalculationMode.Ticks, 100);
			}

Otherwise, it may use the same stop loss value as the previous position.

[moon_121]

Still strange

I added the code, but get the same false stops on some trades. (See picture)

#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.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class SMAcrossBreakeven2 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int fast = 1; // Default setting for Fast
        private int slow = 1; // Default setting for Slow
        private double trigger = 100; // Default setting for Trigger
        
        
        // User defined variables (add any user defined variables below)
        #endregion

        /// <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(SMA(Close, Fast));
            Add(SMA(Close, Slow));
            
            SetStopLoss(CalculationMode.Ticks, 100);
            
            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Beginning of Auto-Break-Even    
            
            // Resets the stop loss to the original value when all positions are closed
            if (Position.MarketPosition == MarketPosition.Flat)
            {
                            SetStopLoss(CalculationMode.Ticks, 100);
            }
            
            // If a long position is open
            if (Position.MarketPosition == MarketPosition.Long)
                {
                    
                // Once the price is greater than entry price + Trigger * ticks, set stop loss to breakeven
                if (Close[0] > Position.AvgPrice + trigger * TickSize)
                    {
                        SetStopLoss(CalculationMode.Price, Position.AvgPrice);
                    }
                }
            // If a short position is open
            if (Position.MarketPosition == MarketPosition.Short)
                {    
                    
                // Once the price is smaller than entry price - Trigger * ticks, set stop loss to breakeven
                if (Close[0] < Position.AvgPrice - trigger * TickSize)
                    {
                        SetStopLoss(CalculationMode.Price, Position.AvgPrice);
                    }
                }
            // Ende of Auto-Break-Even
                
                // Condition set 1
                if (CrossAbove(SMA(Close, Fast), SMA(Close, Slow), 1))
                {
                    EnterLong(DefaultQuantity, "");
                }

            // Condition set 2
            if (CrossBelow(SMA(Close, Fast), SMA(Close, Slow), 1))
            {
                EnterShort(DefaultQuantity, "");
            }
            
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int Fast
        {
            get { return fast; }
            set { fast = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int Slow
        {
            get { return slow; }
            set { slow = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double Trigger
        {
            get { return trigger; }
            set { trigger = Math.Max(0, value); }
        }
        #endregion
    }
}

[koganam]

I added the code, but get the same false stops on some trades. (See picture)

#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.Gui.Chart;
using NinjaTrader.Strategy;
#endregion
 
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class SMAcrossBreakeven2 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int fast = 1; // Default setting for Fast
        private int slow = 1; // Default setting for Slow
        private double trigger = 100; // Default setting for Trigger
 
 
        // User defined variables (add any user defined variables below)
        #endregion
 
        /// <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(SMA(Close, Fast));
            Add(SMA(Close, Slow));
 
            SetStopLoss(CalculationMode.Ticks, 100);
 
            CalculateOnBarClose = true;
        }
 
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Beginning of Auto-Break-Even    
 
            // Resets the stop loss to the original value when all positions are closed
            if (Position.MarketPosition == MarketPosition.Flat)
            {
                            SetStopLoss(CalculationMode.Ticks, 100);
            }
 
            // If a long position is open
            if (Position.MarketPosition == MarketPosition.Long)
                {
 
                // Once the price is greater than entry price + Trigger * ticks, set stop loss to breakeven
                if (Close[0] > Position.AvgPrice + trigger * TickSize)
                    {
                        SetStopLoss(CalculationMode.Price, Position.AvgPrice);
                    }
                }
            // If a short position is open
            if (Position.MarketPosition == MarketPosition.Short)
                {    
 
                // Once the price is smaller than entry price - Trigger * ticks, set stop loss to breakeven
                if (Close[0] < Position.AvgPrice - trigger * TickSize)
                    {
                        SetStopLoss(CalculationMode.Price, Position.AvgPrice);
                    }
                }
            // Ende of Auto-Break-Even
 
                // Condition set 1
                if (CrossAbove(SMA(Close, Fast), SMA(Close, Slow), 1))
                {
                    EnterLong(DefaultQuantity, "");
                }
 
            // Condition set 2
            if (CrossBelow(SMA(Close, Fast), SMA(Close, Slow), 1))
            {
                EnterShort(DefaultQuantity, "");
            }
 
        }
 
        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int Fast
        {
            get { return fast; }
            set { fast = Math.Max(1, value); }
        }
 
        [Description("")]
        [GridCategory("Parameters")]
        public int Slow
        {
            get { return slow; }
            set { slow = Math.Max(1, value); }
        }
 
        [Description("")]
        [GridCategory("Parameters")]
        public double Trigger
        {
            get { return trigger; }
            set { trigger = Math.Max(0, value); }
        }
        #endregion
    }
}

Your system is a Stop&Reverse system, so you should set your StopLoss immediately before your entries, because you will never be Flat except for before the first entry.

                // Condition set 1
                if (CrossAbove(SMA(Close, Fast), SMA(Close, Slow), 1))
                {
                    SetStopLoss(CalculationMode.Ticks, 100);
                    EnterLong(DefaultQuantity, "");
                }
 
            // Condition set 2
            if (CrossBelow(SMA(Close, Fast), SMA(Close, Slow), 1))
            {
                SetStopLoss(CalculationMode.Ticks, 100);
                EnterShort(DefaultQuantity, "");
            }