Dynamic Position Sizing

[SRemains]

I'm attempting to build in my strategies a boiler plate of the number of shares to buy, given some user variables. I have the following variables:

#region Variables
// Wizard generated variables
private int accountValue = 50000; // Default setting for AccountValue
private double riskTolerance = 0.015; // Default setting for RiskTolerance
private double stopLoss = 0.04; // Default setting for StopLoss
// User defined variables (add any user defined variables below)
#endregion

I then have the following Method, which should yield a round 100 lot:

public double ShareQuantity()
{
double x = Math.Round(((((1/stopLoss)*(accountValue*riskTolerance))/GetCurrentAsk())/100),0);
return x * 100;
}
I have various conditions, then the execution line:

EnterLong(ShareQuantity,"");

For some reason, it does not seem to be working. I greatly appreciate any help anyone can provide.

Thank you.

[NinjaTrader_Bertrand]

Hi SRemains, welcome to our support forums!

Have you tried adding Print statments to check your calculations? http://www.ninjatrader-support2.com/...ead.php?t=3418

Which quantity is bought?

How do you have set the 'SetOrderQuantity' when starting your NinjaScript strategy? - http://www.ninjatrader-support.com/H...romAChart.html

[SRemains]

Hi Betrand, and thank you for taking a look. Clearly, I should have originally given more information. I use 'ByStrategy' in the 'SetOrderQuantity'. I have only run it using Ninja's simulated data feed, which buys a quantity of 1.

I will see about trying the print window. Although I have some VBA experience, this is my first attempt at programming in C#, so I thought it might have been a simple error in my code. By your reply, I assume there are no glaring errors.

I was wondering if the location of the method ShareQuantity() needs to be in a different location in the code.

[NinjaTrader_JoshP]

SRemains,

I would not think putting it there would be a problem. Normally I put it after the OnBarUpdate() method. I would, however, suggest you use it as a private instead of public if this is method is for internal calculation purposes only.

In your code you do this: EnterLong(ShareQuantity,"");

To get the ShareQuantity method to trigger you need to be calling the method name with ().

Try: EnterLong(ShareQuantity(), "");

A final note as well, GetCurrentAsk() is for use in real-time only. If used historically it will just give you the closing price of the bar.

[SRemains]

There must be other bugs at work. It doesn't seem to calculate at all, still buying only 1 share. I'm not sure where to go from here.

Thank you

[NinjaTrader_JoshP]

Make sure you are running your strategy with an Order Handling option of "ByStrategy".

[SRemains]

Yes, I'm doing that too, so I am stumped.

[NinjaTrader_JoshP]

SRemains,

Please post up complete code so we can evaluate it. Thank you.

[SRemains]

Hi Josh,

I really appreciate your help and evaluation. Here is the complete code. Please take a look. For example, let's assume the price of the stock at the buypoint1 is $7.38, the ShareQuantity method should buy 2500 shares.

I look forward to any help and input you may have. This is my first attempt at C# Ninja Script, so it may have all kinds of problems.

SRemains

namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class EMA8Momentum : Strategy
{
#region Variables
// Wizard generated variables
private int accountValue = 50000; // Default setting for AccountValue
private double riskTolerance = 0.015; // Default setting for RiskTolerance
private double stopLoss = 0.04; // Default setting for StopLoss
// 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(EMA(8));
Add(EMA(21));
Add(MAX(5));
SetTrailStop("BuyPoint1", CalculationMode.Percent, StopLoss, true);

CalculateOnBarClose = false;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
/// ShareQuantity will calculate the number of shares to buy based the overall risk one wants to take per trade
/// by calculating that dollar amount, and varying the share quantity to match the initial stop loss percent
public double ShareQuantity()
{
double x = Math.Round(((((1/stopLoss)*(accountValue*riskTolerance))/GetCurrentAsk())/100),0);
return x * 100;
}
protected override void OnBarUpdate()
{
// Condition set 1
if (EMA(8)[0] > EMA(21)[0]
&& GetCurrentAsk() + 2 * TickSize == EMA(8)[0])
{
EnterLong(ShareQuantity(), "BuyPoint1");
DrawTriangleUp("My triangle up" + CurrentBar, false, 0, 0, Color.Lime);
}

// Condition set 2
if (Position.MarketPosition == MarketPosition.Long
&& GetCurrentBid() < Position.AvgPrice + StopLoss * TickSize)
{
DrawTriangleDown("My triangle down" + CurrentBar, false, 0, 0, Color.Red);
ExitLong("", "BuyPoint1");
}

// Condition set 3
if (Position.MarketPosition == MarketPosition.Long
&& GetCurrentBid() < EMA(8)[0])
{
ExitLong("", "BuyPoint1");
}

// Condition set 4
if (Position.MarketPosition == MarketPosition.Flat
&& GetCurrentBid() + 2 * TickSize >= EMA(8)[0]
&& GetCurrentBid() + 2 * TickSize > MAX(5)[1])
{
EnterLong(ShareQuantity(), "BuyPoint2");
}

// Condition set 5
if (Position.MarketPosition == MarketPosition.Long
&& GetCurrentBid() + -2 * TickSize < EMA(8)[0])
{
ExitLong("", "BuyPoint2");
}
}

#region Properties
[Description("Day's Beginning Account Value")]
[Category("Parameters")]
public int AccountValue
{
get { return accountValue; }
set { accountValue = Math.Max(25000, value); }
}

[Description("Used to calculate MaxLoss on trade")]
[Category("Parameters")]
public double RiskTolerance
{
get { return riskTolerance; }
set { riskTolerance = Math.Max(0.01, value); }
}

[Description("Initial Stop Loss")]
[Category("Parameters")]
public double StopLoss
{
get { return stopLoss; }
set { stopLoss = Math.Max(0.01, value); }
}
#endregion
}
}

[NinjaTrader_JoshP]

Before your EnterLong(ShareQuantity(), "BuyPoint2"); line. Print out the value of ShareQuantity() so you know what you are submitting at. Also, why is this function a double function? Shares would be whole numbers for the most part.

[SRemains]

I put it in as a 'double' method because the initial value of the Round function works on is a decimal, but perhaps it should be a 'int'.

In order to Print the ShareQuantity, is is Print(ShareQuantity())?

[NinjaTrader_JoshP]

Print(ShareQuantity().ToString());

[SRemains]

I believe that the problem has to do with explicit conversion of a double to an int. Thanks again for your help.

[NinjaTrader_JoshP]

Glad you got it isolated.