Help with Range Based Strategy

[NinjaTrader_JoshP]

What is the error?

[Insearch]

Ok got it, read the error detail . . . needed a ";" after the declaration . . .

I'm so new to programming . . . apologies for the basic questions . . .

[Insearch]

Spoke too early . . .

when compiling it gave another error message

"the [strategy] already contains a definition for "highestHigh" "

[NinjaTrader_JoshP]

Insearch,

You likely have an earlier declaration you were using in prior runs. Please remove the other one first.

[Insearch]

Not sure where to find the "other one"?

Here's what is in the using declarations section:
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
///<summary>
/// Simple strategy that monitors for a breakout.
///</summary>
[Description("Simple strategy that monitors for a breakout.")]
publicclass SamBreakOut : Strategy

Here's the variables section:
///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
privatedouble highestHigh = 0;

protectedoverridevoid Initialize()
{
CalculateOnBarClose = false;
}

[Insearch]

And the OnBarUpdate section:
///<summary>
/// Called on each bar update event (incoming tick)
///</summary>
protectedoverridevoid OnBarUpdate()
{

{
// recording the first highest high
if (ToTime(Time[0]) >= 93000 && ToTime(Time[0]) <= 94500)
{
if (High[0] > highestHigh)
highestHigh = High[0];
}


}

// Entry Condition: Submit a buy stop order two ticks above the highest high after 9:30am
if (ToTime(Time[0]) > 94500 && ToTime(Time[0]) <= 100000)
{
// EnterLongStop() can be used to generate buy stop orders.
EnterLongStop(highestHigh + TickSize * 2);
}

// Exit Condition: Close positions after 10 bars have passed
if (BarsSinceEntry() > 10)
ExitLong();
}
}
}

[NinjaTrader_JoshP]

Press the + sign next to the Variables section to expand it.

[Insearch]

Ok . . here it is, so which one should I delete the first declaration or the second one?

#region Variables
privatedouble highestHigh = 0;
#endregion
///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
privatedouble highestHigh = 0;
protectedoverridevoid Initialize()
{
CalculateOnBarClose = false;

[NinjaTrader_JoshP]

Second one. They are the same thing.

[GreenTrade]

This might help. It is basically your sample indicator but works great for what Insearch is trying to accomplish.

  protected override void OnBarUpdate()
        {
                                
            // Check to make sure the end time is not earlier than the start time
            if (EndHour < StartHour)
                return;
            
             //Do not calculate the high or low value when the ending time of the desired range is less than the current time of the bar being processed
            if (ToTime(EndHour, EndMinute, 0) > ToTime(Time[0]))
                return;
            
            // If the stored date time date is not the same date as the bar time date, create a new DateTime object
            if (startDateTime.Date != Time[0].Date)
            {
                startDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, StartHour, StartMinute, 0);
                endDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, EndHour, EndMinute, 0);
            }        
       
            // Calculate the number of bars ago for the start and end bars of the specified time range
            int StartBarsAgo = GetBar(startDateTime);
            int EndBarsAgo = GetBar(endDateTime);
            
            // Now that we have the start end end bars ago values for the specified time range we can calculate the highest high for this range
            
            double HighestHigh = MAX(High, StartBarsAgo - EndBarsAgo)[EndBarsAgo];
            double LowestLow = MIN(Low, StartBarsAgo - EndBarsAgo)[EndBarsAgo];


//Entry Logic added here!
}

Now you can call HighestHigh and LowestLow for whatever time period you select with the variables StartHours/Minute and EndHour/Minute.

[Insearch]

Thx. Compiled it at ran it on the analyzer . . . Why is the strategy not taking longs in some cases after 9:45 and at other times it is taking it late?

For example on 2/11 the high between 9:30-9:45 was 833.75. 2 ticks above that would be 834.25, which the market had touched by 9:50, but there was no long taken . . . .

On 2/6 the high was 856. Again by 9:50 the market had touched 856.50, but the long was taken in the 9:55 bar . . .

Also, I see that the code allows for multiple entries, how can I limit the entry to only 1 instance?

[NinjaTrader_JoshP]

To limit the number of simultaneous entries, when you run the strategy set "Entries per direction" to 1.

I have not reviewed GreenTrade's code and am not qualified to answer specifics about it.

[Insearch]

Thx GreenTrade, I'm very new to programming . . . I'd seen that indicator code, but wasn't sure how to modify it for the strategy . . .

Of course it doesn't help that I don't know a lot of the syntax and available commands, but learning as I go along . . .

In your suggestion at the end, do you imply that I'd have to set the variables StartHours/Minute and EndHour/Minute in the variables section, ie. specify the start and end times which would capture the high/low values in that time range and then in the entry logic specify entry based off of those high/lows?

This might help. It is basically your sample indicator but works great for what Insearch is trying to accomplish.

  protected override void OnBarUpdate()
        {
 
            // Check to make sure the end time is not earlier than the start time
            if (EndHour < StartHour)
                return;
 
             //Do not calculate the high or low value when the ending time of the desired range is less than the current time of the bar being processed
            if (ToTime(EndHour, EndMinute, 0) > ToTime(Time[0]))
                return;
 
            // If the stored date time date is not the same date as the bar time date, create a new DateTime object
            if (startDateTime.Date != Time[0].Date)
            {
                startDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, StartHour, StartMinute, 0);
                endDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, EndHour, EndMinute, 0);
            }        
 
            // Calculate the number of bars ago for the start and end bars of the specified time range
            int StartBarsAgo = GetBar(startDateTime);
            int EndBarsAgo = GetBar(endDateTime);
 
            // Now that we have the start end end bars ago values for the specified time range we can calculate the highest high for this range
 
            double HighestHigh = MAX(High, StartBarsAgo - EndBarsAgo)[EndBarsAgo];
            double LowestLow = MIN(Low, StartBarsAgo - EndBarsAgo)[EndBarsAgo];
 
 
//Entry Logic added here!
}

Now you can call HighestHigh and LowestLow for whatever time period you select with the variables StartHours/Minute and EndHour/Minute.

[GreenTrade]

Yes in the variables section you would add the times to start and end the calculation of the highs and lows.

   #region Variables
        // Wizard generated variables
        private int startHour = 12; // Default setting for StartHour
        private int startMinute = 00; // Default setting for StartMinute
        private int endHour = 13; // Default setting for EndHour
        private int endMinute = 00; // Default setting for EndMinute
  #endregion

[Insearch]

Ok. The below code seems to work, but I still have in some cases multiple entries in one day . . . How can I limit this to only 1 per day?

Also, I still have instances where the execution is late or is not happening when the price (according to the chart in the analyzer) seems to have hit the stops. Any idea what could be going on?

protectedoverridevoid Initialize()
{
/* The following settings configure your strategy to execute only one entry for each uniquely named entry signal.
This can be configured in the Initalize() method or via the Strategy dialog window when running or backtesting a strategy */
EntriesPerDirection = 1;
EntryHandling = EntryHandling.UniqueEntries;
CalculateOnBarClose = false;

/* These Set methods will place Profit Target and Stop Loss orders for our entry orders.
*/
SetProfitTarget(CalculationMode.Ticks, 4);
SetStopLoss(CalculationMode.Ticks, 10);
}