EMA Cross

[jeffshantz]

Hello,

I have developed a simple EMA cross strategy. When a cross occurs, it should buy at the beginning of the next period. What I am finding in backtesting is that it buys 15 minutes too late almost consistently.

Can someone tell me what I might be doing wrong? Thank you.

    public class SimpleEMA : Strategy
    {
        private int fast = 1; // Default setting for Fast
        private int slow = 1; // Default setting for Slow
        private int shares = 100; // Default setting for Shares
      
        protected override void Initialize()
        {
            EMA(Fast).Plots[0].Pen.Color = Color.Orange;
            EMA(Slow).Plots[0].Pen.Color = Color.Green;
            
            Add(EMA(Fast));
            Add(EMA(Slow));

            CalculateOnBarClose = true;
        }
      
        protected override void OnBarUpdate()
        {
            if (CrossAbove(EMA(Fast), EMA(Slow), 1))
            {
                ExitShort();
                EnterLong(this.Shares, "");
            }
            else if (CrossBelow(EMA(Fast), EMA(Slow), 1))
            {
                ExitLong();
                EnterShort(this.Shares, "");
             }
        }                
    
        public int Fast
        {
            get { return fast; }
            set { fast = Math.Max(1, value); }
        }

        public int Slow
        {
            get { return slow; }
            set { slow = Math.Max(1, value); }
        }

        public int Shares
        {
            get { return shares; }
            set { shares = Math.Max(100, value); }
        }
    }
}

[NinjaTrader_Austin]

Hi Jeff, are you running this strategy on 15 minute data by chance?

[jeffshantz]

Hi Jeff, are you running this strategy on 15 minute data by chance?

Hi Austin, yes, sorry, should have mentioned that. Running it on 15 minute data. Thanks.

[NinjaTrader_Austin]

Jeff, in general, if you're doing a simple backtest without any added detail, orders will execute one bar 'late'.

CalculateOnBarClose always is true during a backtest, so that means all calculations are done only once at the end of the bar (which is also the beginning of the next bar--the open of a bar isn't known until the bar before it closes). Then, once the conditions are true, an order is submitted (at the close). This order is then executed at the beginning of the next bar. In your case, this would be 15 minutes later.

If you'd like to add more detail to your backtest, please see the Backtesting NinjaScript Strategies with an intrabar granularity reference page.

[jeffshantz]

Jeff, in general, if you're doing a simple backtest without any added detail, orders will execute one bar 'late'.

Great, thanks very much.