backtesting problem

[kaywai]

Hi,
I'm getting zero trades for the attached strategy. I have downloaded data in the required format for the past 7 months. The instrument is SGXNK 03-10 and I am backtesting offline. The instrument ticker belongs to IB and I am using 1 minute data.

Please help. Thanks

[NinjaTrader_JoshP]

kaywai,

I suggest you go into your code and add this line to Initialize():

TraceOrders = true;

Then we will know what is happening to the orders and why they may or may not have been ignored/rejected.

[kaywai]

Josh, I've included TraceOrders = true as below:-
protectedoverridevoid Initialize()
{
TraceOrders = true;
CalculateOnBarClose = true;
}

Where do i look for the errors? still reflecting zero trades on strategy analyzer.

[NinjaTrader_JoshP]

kaywai,

You would want to open the Output Window and then run the strategy one more time to see any output.

[kaywai]

Josh, It failed because of an "invalid order price"

From the log, these messages were recorded:-
"Error on calling 'OnBarUpdate' method for strategy...: stop price has to be greater /equal 0"
"A buy order placed at "5/18/2009" has been ignored since the stop price is less than or equal to the close of the current bar. This is an invalid order and subsequent orders may also be ignored. Please fix your strategy."

Not sure what I'm doing wrong. could you please help?

[NinjaTrader_JoshP]

kaywai,

For one, you should not submit simultaneous working entry orders in opposite directions. Next you should print the value of the Close bar and whatever your entry stop price is evaluated as.

So you should print the value of "highestHigh + TickSize" and Close[0] and compare it by hand to understand why the price is invalid.

[kaywai]

Thanks for your advice Josh. Let me play around with it for now.

[kaywai]

Josh, I've edited the strategy to one that only goes long when the conditions are fulfilled. I still get the "A buy order placed at "5/18/2009 8:07:00AM" has been ignored since the stop price is less than or equal to the close of the current bar. This is an invalid order and subsequent orders may also be ignored. Please fix your strategy."

20090518 074500;9155;9155;9150;9150;371
20090518 074600;9150;9150;9115;9125;504
20090518 074700;9120;9120;9110;9115;207
20090518 074800;9115;9115;9110;9110;68
20090518 074900;9115;9120;9115;9115;81
20090518 075000;9120;9120;9105;9110;336
20090518 075100;9105;9105;9100;9105;181
20090518 075200;9110;9110;9105;9110;141
20090518 075300;9115;9130;9115;9125;350
20090518 075400;9120;9120;9115;9120;217
20090518 075500;9120;9120;9115;9115;113
20090518 075600;9115;9115;9100;9110;368
20090518 075700;9110;9120;9110;9115;80
20090518 075800;9115;9115;9110;9115;47
20090518 075900;9110;9110;9095;9095;540
20090518 080000;9100;9105;9095;9105;625
20090518 080100;9110;9110;9095;9100;849
20090518 080200;9100;9105;9090;9100;513
20090518 080300;9100;9100;9085;9090;1037
20090518 080400;9085;9095;9085;9095;391
20090518 080500;9090;9095;9085;9090;406
20090518 080600;9090;9100;9085;9100;663
20090518 080700;9100;9100;9095;9095;510
20090518 080800;9100;9105;9095;9100;241

Conditions didnot exist for it to place a longstop at 8:07...Please help.

[NinjaTrader_JoshP]

kaywai,

Here is the issue. You are saying when Close[0] > highestHigh. When that happens you submit your long order in at highestHigh + 1 tick. Problem with that is Close[0] can be significantly greater than highestHigh + 1 tick. When that happens you are now submitting at a price <= close of the current bar which is an invalid stop price.

[kaywai]

Josh, I get what you are trying to say but I'm not sure how to address it. Ideally, I would like to initiate a long position when the highestHigh has been exceeded by 2 ticks. Is it possible to write the script for such a situation? could you please help me with the script?

[NinjaTrader_JoshP]

Instead of running your order off of highestHigh + TickSize you could do Close[0] + TickSize directly. Even with that, you could have an invalid price too as price can move quickly to exceed the price you submit at and thus become invalid.

You may even want to consider just using market orders.

if (Close[0] > highestHigh + 2 * TickSize)
     EnterLong();

[kaywai]

Thank you Josh. Your assistance is much appreciated

[kaywai]

Josh, I've chosen to take the enterlonglimit path so that i don't overpay to go long. question i have now is how can i cancel the order if it doesn't get filled within say 10 bars?

[kaywai]

Hi, would appreciate some help regarding the question i posed yesterday on the cancellation of unfilled orders. Thanks

[NinjaTrader_JoshP]

You will need to count how many bars you have had the order active yourself through code. Then when it reaches 10, you can use Can just stop resubmitting your entry order and it will auto expire. EnterLongLimit()s need to be submitted on every single bar to keep it alive. When it is not kept alive it will auto cancel on the bar.