Simple strategy on SRS - backtest/Wizard

[Dan Leontieff]

Hi guys, I am trying to backtest a simple, but hopefully effective, strategy on the SRS, the double inverse real estate etf. I can’t get this to run properly on the Wizard, and I don’t have programming skills for the NinjaScript. The strategy is

1.‘if yesterday’s candle is green – buy [today] at yesterday’s open +1.00’
‘if yesterday’s candle is red – buy [today] at yesterday’s close +1.00’

2. ‘exit at a profit target of +1.00’
‘otherwise exit at today’s close’

The idea to have the trade executed intraday, buying at the level of yesterday’s candle bottom.

If any one happens to run the backtest out of curiosity, can you pls share the results with me, or suggestions for code/running this on Wizard (Wizard can’t seem to handle the intraday aspect of it properly).

Thanks.

Dan

[NinjaTrader_JoshP]

Dan,

What you want to do is go to the Condition Builder. On the left side, select Close and then in Bars Ago type in 1. Then on the right side, select Open and also select Bars Ago 1. In the middle select >. Now in its action have it do a limit order with the limit price at yesterday's open.

[Dan Leontieff]

Josh, thanks. The entry did work correctly, i.e. limit orders at bottom of prior day's candle body.

The problem is with timing of exits. The idea is to exit intraday or sell at the closing price that day.

The backtests I did keep showing exits with an interval of a day or more after the purchase, which is not the plan - should be same day.

Why could that be? Is it because I am using Yahoo for historical quotes (i.e. only OCHL)?

[Dan Leontieff]

Here is the script:

// Condition set 1
if (Open[1] < Close[1])
{
EnterLongLimit(100, Open[1] + 1, "");
ExitLongLimit(Open[1] + 2, "", "");
ExitLongLimit(Close[0], "", "");


I attach the backtest chart. I can't figure out what's gone wrong with this, and not sure why it's showing what it's showing

Agin, it should work INTRADAY - entry at yesterday's candle bottom +1.00, and same-day exit at a profit target of +1.00. Otherwise exit at close.

Thanks

[NinjaTrader_Bertrand]

Hi Dan, unfortunately this is expected in the wizard - you could enter the profit target in the 'Stops and Targets' section in the wizard - http://www.ninjatrader-support.com/H...egyWizard5.png This would then execute intrabar.

[Dan Leontieff]

ok thanks guys