multi-time frame strategy problem

[mfmsonic]

Hi all,

I am just beginning to construct a multi time frame strategy and am having some trouble starting off.

I am just looking to set a series of doubles for certain time periods but no long position is opened.

As is usual, it is probably a simple error, but would appreciate any advice as to how to obtain the required trades so they can be utilised for the strategy.

The required code is written below.

// 
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Strategy;
#endregion


// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// This is a sample multi-time frame strategy.
    /// </summary>
    [Description("This is a sample multi-time frame strategy.")]
    public class SampleMultiTimeFrame_day : Strategy
    {
        #region Variables
        // Wizard generated variables
        // 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 a 5 minute Bars object to the strategy
            Add(PeriodType.Day, 1);
            
            // Add a 15 minute Bars object to the strategy
            Add(PeriodType.Week, 1);
            
            // Note: Bars are added to the BarsArray and can be accessed via an index value
            // E.G. BarsArray[1] ---> Accesses the 5 minute Bars object added above
            
            // Add simple moving averages to the chart for display
            // This only displays the SMA's for the primary Bars object on the chart
            Add(SMA(5));
            Add(SMA(50));
            
            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // OnBarUpdate() will be called on incoming tick events on all Bars objects added to the strategy
            // We only want to process events on our primary Bars object (index = 0) which is set when adding
            // the strategy to a chart
            if (BarsInProgress != 0)
                return;
            
            // Checks  if the 5 period SMA is above the 50 period SMA on both the 5 and 15 minute time frames
            if (SMA(BarsArray[1], 5)[0] > SMA(BarsArray[1], 50)[0] && SMA(BarsArray[2], 5)[0] > SMA(BarsArray[2], 50)[0])
            {
                // Checks for a cross above condition of the 5 and 50 period SMA on the primary Bars object and enters long
                if (CrossAbove(SMA(5), SMA(50), 1))
                    EnterLong(1000, "SMA");
            }
            
            // Checks for a cross below condition of the 5 and 15 period SMA on the 15 minute time frame and exits long
            if (CrossBelow(SMA(BarsArray[2], 5), SMA(BarsArray[2], 50), 1))
                ExitLong(1000);
        }

        #region Properties
        #endregion
    }
} 

[NinjaTrader_JoshP]

mfmsonic,

Please ensure you have enough bars loaded. You need at least 20 on each bar series. 20 on weekly series would require a lot of days back to load.

[mfmsonic]

NinjaTrader_Josh,
Thank you for your reply. The bars are long enough from 1962 to 2009. Still no trades. Here are the snapshot from my backtesting. Please check it.

[NinjaTrader_JoshP]

You will then need to debug your code with Print() statements and TraceOrders = true.

http://www.ninjatrader-support2.com/vb/showthread.php?t=3418

http://www.ninjatrader-support2.com/vb/showthread.php?t=3627

[aviat72]

It might be an issue with update sequence. Try using the value 2 for the lookBackPeriod in the CrossAbove, Below tests.