Where to start if I want to create a strategy on a trading set-up?

[belecona]

Thanks Lance. Night-night.

Beth

[belecona]

Hi Lance

I went through some samples tonight and started working on my first breakout strategy based on minute interval setting. Did compile the strategy successfully though it does not trigger any trades. It's a simple breakout strategy to place a long order 1 tick above the High of the 2nd 15-minute bar upon the market opens at 9:30 am.

Appreciate your help in pointing out my coding errors:

// Resets the highest high at the start of every new session
if (Bars.FirstBarOfSession)
highestHigh = High[0];

// Stores the highest high of the 2nd 15-minute bar
if (High[1] > highestHigh)
highestHigh = High[1];

// Entry Condition: Submit a buy stop order one tick above the High of the 2nd 15-minute bar. Cancel if not filled within 2 hours (8 bars).
if (Bars.BarsSinceSession > highestHigh && Bars.BarsSinceSession < 8)
{
// EnterLongStop
EnterLongStop(highestHigh + TickSize);
DrawArrowUp("Long" + CurrentBar, true, 0, Low[0] - (4*TickSize), Color.Lime);
}

Sorry that my coding may consist some stupid programming mistakes as I am a novice. Thank you!

Beth

[NinjaTrader_Lance]

// Resets the highest high at the start of every new session
if (Bars.FirstBarOfSession)
highestHigh = High[0];

// Stores the highest high of the 2nd 15-minute bar
if (High[1] > highestHigh)
highestHigh = High[1];

Hello,



First of all you would want to use Print() statements to verify values are what you expect - Debugging your NinjaScript code.


For strategies add TraceOrders = true to your Initialize() method and you can then view valuable output related to strategy submitted orders through Tools > Output window - TraceOrders


It may also help to add drawing objects to your chart for signal and condition confirmation - Drawing Objects.


From what I can see here it looks as thought the high condition is not true in the beginning where you expect it to be.

// Try the following. In your example, you're comparing the previous bar to the previous bar at the start of the session. (so they would be equal)
if (High[0] > highestHigh)
highestHigh = High[0];

Please let me know if I can be of further assistance.

[belecona]

Good morning Lance

I had a breakout indicator on 2 charts (1- and 4-minute ones). Since the start/end time on both charts were the same, I expect to see the same breakout prices (High/Low). Unfortunately, the 4-minute prices did not match the 1-minute ones (per enclosed).

During my trouble-shooting, I noticed the candles on the 4-minute chart did not align with the 9:30 am market open. I am thinking if I can somehow change that, the breakout prices on the 4-minute chart will match the 1-minute ones (which are the correct prices). How can I do that? Or if my logic is wrong, appreciate your guidance on resolving this myth. Thank you.

Have a nice day.

Beth

[sledge]

Good morning Lance

I had a breakout indicator on 2 charts (1- and 4-minute ones). Since the start/end time on both charts were the same, I expect to see the same breakout prices (High/Low). Unfortunately, the 4-minute prices did not match the 1-minute ones (per enclosed).

During my trouble-shooting, I noticed the candles on the 4-minute chart did not align with the 9:30 am market open. I am thinking if I can somehow change that, the breakout prices on the 4-minute chart will match the 1-minute ones (which are the correct prices). How can I do that? Or if my logic is wrong, appreciate your guidance on resolving this myth. Thank you.

Have a nice day.

Beth

I did verify that multiples of 4 don't align on 9:30

(at least 4 and 8)..I did not try 12 and 16.... 2 and 6 were fine.

[NinjaTrader_Matthew]

Beth,

Keep in mind that the Time represents the end of the bar. So the Open on a 4 minute bar, isn't going to be the same as a 1 minute bar.

What you would want to do on the 4 minute chart is Add() a 1 minute data series and calculate the open from that time.

[koganam]

I did verify that multiples of 4 don't align on 9:30

(at least 4 and 8)..I did not try 12 and 16.... 2 and 6 were fine.

"30" is not an integer multiple of "4" or "8". Ergo, bars based on those minute time frames will not align with a 30 minute time frame.

The factors of 30 are 2,3,5. Only their minute charts, and their multiples thereof will align with a 30 minute chart. I guess 1 minute is a trivial case of alignment.

[belecona]

Hi Sledge, Matthew and Koganam

Thanks for your kind suggestion and sharing. I added a 1-minute data series to a 4-minute chart. My chart looked weird. Will find other alternatives to resolve my myth.

Have a great weekend.

Beth

[sledge]

"30" is not an integer multiple of "4" or "8". Ergo, bars based on those minute time frames will not align with a 30 minute time frame.

The factors of 30 are 2,3,5. Only their minute charts, and their multiples thereof will align with a 30 minute chart. I guess 1 minute is a trivial case of alignment.

There should be a way to "force" alignment of all bars with "market open" (9:30am)... and let people complain about no alignment at 4 pm on 4 or 8 minute charts..

[koganam]

There should be a way to "force" alignment of all bars with "market open" (9:30am)... and let people complain about no alignment at 4 pm on 4 or 8 minute charts..

There is. It is called a custom session template.

[sledge]

There is. It is called a custom session template.

Thanks. I just deal with 1 minute/3 minute and 4 range bars .... 4/8 is strange to me.

[belecona]

Hello

I spent the whole morning to go through more threads. The good news is I compiled my new-born strategy successfully and it did trigger trades. Unfortunately, the trade signals did not match my predetermined entry condition. Supposed to be a simple strategy .. sigh ..

Entry Conditions:

1. Wait until 10:00 am to identify 9:45-10:00 am HH/LL (15-minute timeframe)
2. Place a buy/sell limit order (1 tick above/below) when price breaks up/down based on 9:45-10:00 am HH/LL

I had the SampleGetHighLowbyTrueRange indicator on the chart to have the 9:45-10:00 am HH/LL on the chart to validate my strategy. You can tell from the screenshot that my strategy did not trigger a buy @1.3083 when price broke 1.3082. It triggered a buy @1.3102.

I defined the Breakout Range and Entry Condition under OnBarUpdate()
if (ToTime(Time[0])>94500 && ToTime(Time[0])<100000)
{
highestHigh=CurrentDayOHL().CurrentHigh[0];
lowestLow=CurrentDayOHL().CurrentLow[0];
}

//Condition set 1 Go Long
if (High[0]>=highestHigh)
{
debug ("Entering LongLimit");
longEntryPrice = (highestHigh+TickSize);
longSignalBar = CurrentBar;
DrawText("longEntryPrice"+longSignalBar,true,Forma tPrice(longEntryPrice),6,longEntryPrice+1*TickSize ,0,Color.Green,textFont_8,StringAlignment.Near,Col or.Black,Color.Black,10);
EnterLongLimit(DefaultQuantity, highestHigh+TickSize,"");
}

I must have missed something important. Appreciate any tips to fix my strategy. Thank you. Have a great weekend.

Beth

[koganam]

Hello

I spent the whole morning to go through more threads. The good news is I compiled my new-born strategy successfully and it did trigger trades. Unfortunately, the trade signals did not match my predetermined entry condition. Supposed to be a simple strategy .. sigh ..

Entry Conditions:

1. Wait until 10:00 am to identify 9:45-10:00 am HH/LL (15-minute timeframe)
2. Place a buy/sell limit order (1 tick above/below) when price breaks up/down based on 9:45-10:00 am HH/LL

I had the SampleGetHighLowbyTrueRange indicator on the chart to have the 9:45-10:00 am HH/LL on the chart to validate my strategy. You can tell from the screenshot that my strategy did not trigger a buy @1.3083 when price broke 1.3082. It triggered a buy @1.3102.

I defined the Breakout Range and Entry Condition under OnBarUpdate()
if (ToTime(Time[0])>94500 && ToTime(Time[0])<100000)
{
highestHigh=CurrentDayOHL().CurrentHigh[0];
lowestLow=CurrentDayOHL().CurrentLow[0];
}

//Condition set 1 Go Long
if (High[0]>=highestHigh)
{
debug ("Entering LongLimit");
longEntryPrice = (highestHigh+TickSize);
longSignalBar = CurrentBar;
DrawText("longEntryPrice"+longSignalBar,true,Forma tPrice(longEntryPrice),6,longEntryPrice+1*TickSize ,0,Color.Green,textFont_8,StringAlignment.Near,Col or.Black,Color.Black,10);
EnterLongLimit(DefaultQuantity, highestHigh+TickSize,"");
}

I must have missed something important. Appreciate any tips to fix my strategy. Thank you. Have a great weekend.

Beth

It is not clear what your chart purports to show. You wrote this: "1. Wait until 10:00 am to identify 9:45-10:00 am HH/LL (15-minute timeframe)" (emphasis mine), implying that you are using a 15-minute chart, but you then show a 1-minute chart.

[belecona]

Hi Koganam

I want to use the HH/LL of 9:45-10:00 am to trade their breakout on a 1-minute chart. Thank you.

Beth

[koganam]

Hi Koganam

I want to use the HH/LL of 9:45-10:00 am to trade their breakout on a 1-minute chart. Thank you.

Beth

So what is the actual chart that you posted showing? Offhand, it looks like a trade that was executed on a 15-minute chart, and the chart was then switched to a 1-minute chart to demonstrate the seeming problem.