What did I do wrong?

[Lycurgus]

I'm in the process of learning NinjaScript. I'm trying to port my strategies over from Tradestation's Easylanguage, starting with this simple breakout one:

If High > Highest(High,BreakoutPeriod)[1] then
    Buy 1 Contract next bar at market;
If Low < Lowest(Low, BreakoutPeriod)[1] then 
    SellShort 1 Contract next bar at market;


If marketposition <> 1 then 
    MaxTradeLow = -999999;
If marketposition <> -1 then 
    MinTradeHigh = 999999;


If marketposition = 1 and L > MaxTradeLow[1] then 
    MaxTradeLow = L;
If marketposition = -1 and H < MinTradeHigh[1] then 
    MinTradeHigh = H;


Sell Next Bar at (MaxTradeLow -ATRFactor * AvgTrueRange(ATRPeriod)) stop;
BuyToCover Next Bar at (MinTradeHigh +ATRFactor * AvgTrueRange(ATRPeriod)) stop;

It's just a simple n-bar breakout with a chandelier type stop. Here's what I got when I rewrote it in NinjaScript (after stripping it down just to the essential code:

        
        protected override void Initialize(){
            CalculateOnBarClose = true;
        }

        protected override void OnBarUpdate(){
            
            //Enter on a high or low breakout
            if(High[0] > MAX(High, BreakoutPeriod)[1])
                EnterLong();
            if(Low[0] < MIN(Low, BreakoutPeriod)[1])
                EnterShort();
            
            //Clear stop data between trades
            if(Position.MarketPosition != MarketPosition.Long)
                MaxTradeLow = -99999;
            if(Position.MarketPosition != MarketPosition.Short)
                MinTradeHigh = 99999;
            
            //Stop code for long trades
            if(Position.MarketPosition == MarketPosition.Long){
                
                //Find the highest Low since the trade started
                if(Low[0] > MaxTradeLow)
                    MaxTradeLow = Low[0];
                
                SetStopLoss(CalculationMode.Price, MaxTradeLow-ATRFactor * ATR(ATRPeriod)[0]);
            
            //Stop code for short trades    
            }else if(Position.MarketPosition == MarketPosition.Short){
                
                //Find the lowest High since the trade started
                if(High[0] < MinTradeHigh)
                    MinTradeHigh = High[0];
                
                SetStopLoss(CalculationMode.Price, MinTradeHigh+ATRFactor * ATR(ATRPeriod)[0]);
            }
                
        }

When I backtest this code all the trades are wrong. I manually checked the entries, and they seem fine. It's the stops that are killing me. I tried debugging them as best I can with Print() statements, but to no avail. What part did I port incorrectly?

[NinjaTrader_Ray]

Someone will follow up on Monday.

[mrlogik]

Have you printed the values of

MaxTradeLow-ATRFactor * ATR(ATRPeriod)[0]
MinTradeHigh+ATRFactor * ATR(ATRPeriod)[0]

To see if they're correctly being calculated?

Also, I would plot the ATR on the chart to get an idea of where you should see the exit occurring.

Hope this is helpful.

[NinjaTrader_Bertrand]

Hi Lycurgus, first of all welcome to our support forums!

I would suggest either resetting your stop loss value to the intial one when flat as demonstrated in this reference sample - http://www.ninjatrader-support2.com/...ead.php?t=3222

Or you replace SetStopLoss with the ExitLongStop / ExitShortStop methods -

http://www.ninjatrader-support.com/HelpGuideV6/ExitLongStop.html

http://www.ninjatrader-support.com/HelpGuideV6/ExitShortStop.html