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

[belecona]

I activated my strategy on a 1-minute chart. The indicator drew the 9:45-10:00 am HH/LL lines so that I can validate my strategy. It did not trigger a buy order at 1.3083 (1 tick above HH 1.3082).

[koganam]

I activated my strategy on a 1-minute chart. The indicator drew the 9:45-10:00 am HH/LL lines so that I can validate my strategy. It did not trigger a buy order at 1.3083 (1 tick above HH 1.3082).

What session template are you using?

[belecona]

I've been using Default 24/7. Thanks.

[koganam]

I've been using Default 24/7. Thanks.

In that case, your code is doing exactly as asked. You said that between 0945 hrs and 1000 hrs, to take the current high from the current day and assign it as the highestHigh. The current day starts when the session template says, so in this case at 0000 hrs. The highest high as at 1000 hrs is 1.3101, and occurred at 0327 hrs. (See attached picture).


To do what you want to do, I can see 2 resolutions, one robust and elegant, the other not so much.

1. You can use a custom session template, set to the hours that you want to trade. Not very elegant; rather cumbersome, but workable.
2. On the 1000 hrs bar, use the MAX and MIN classes to determine the correct values for the high and low over the isolated timespan that you want to use. You can use the GetBar() method to determine the bar number of the starting bar, so that you can get the correct lookback length of bars. Robust and elegant, and works on all timeframes, even those where bars are time-independent.

[belecona]

To do what you want to do, I can see 2 resolutions, one robust and elegant, the other not so much.

1. You can use a custom session template, set to the hours that you want to trade. Not very elegant; rather cumbersome, but workable.
2. On the 1000 hrs bar, use the MAX and MIN classes to determine the correct values for the high and low over the isolated timespan that you want to use. You can use the GetBar() method to determine the bar number of the starting bar, so that you can get the correct lookback length of bars. Robust and elegant, and works on all timeframes, even those where bars are time-independent.

Big Big Thank You for your kind clarification Koganam! I will explore the "robust and elegant" option to fix my strategy. Likely to take me some weeks .. will try.

Beth

[belecona]

Hello

I added more script (based on the SampleGetHighLowByTimeRange indicator) to isolate 9:45-10:00 am timespan to identify HH/LL for breakout. It only triggered one trade for the first day (even it's on a 30-day chart). Entry price was right but happened almost 2 hours later. What I did wrong this round?

// Check to make sure the end time is not earlier than the start time
if (EndHour < StartHour)
return;

//Do not calculate the high or low value when the ending time of the desired range is less than the current time of the bar being processed
if (ToTime(EndHour, EndMinute, 0) > ToTime(Time[0]))
return;

// If the stored date time date is not the same date as the bar time date, create a new DateTime object
if (startDateTime.Date != Time[0].Date)
{
startDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, StartHour, StartMinute, 0);
endDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, EndHour, EndMinute, 0);
}

// Calculate the number of bars ago for the start and end bars of the specified time range
int startBarsAgo = GetBar(startDateTime);
int endBarsAgo = GetBar(endDateTime);

/* Now that we have the start and end bars ago values for the specified time range we can calculate the highest high for this range
Note: We add 1 to the period range for MAX and MIN to compensate for the difference between "period" logic and "bars ago" logic.
"Period" logic means exactly how many bars you want to check including the current bar.
"Bars ago" logic means how many bars we are going to go backwards. The current bar is not counted because on that bar we aren't going back any bars so it would be "bars ago = 0" */
double highestHigh = MAX(High, startBarsAgo - endBarsAgo + 1)[endBarsAgo];

// Now that we have the start and end bars ago values for the specified time range we can calculate the lowest low for this range
double lowestLow = MIN(Low, startBarsAgo - endBarsAgo + 1)[endBarsAgo];

[belecona]

Hello

I moved the codes around and enclosed strategy triggered breakout trades according to the isolated timespan's HH/LL. I feel a little closer to accomplish my objective.

Questions please:

1. Only triggered 1 trade when I ran the strategy on a 30-day 1-minute chart.
2. When it's on a 3-minute chart, it triggered more trades but still not on 30 days. It stopped trading on 23 Nov and did not triggered any trades up to 14 Dec.

Please enlighten me. Thank you.

Beth

[sledge]

Hello

I moved the codes around and enclosed strategy triggered breakout trades according to the isolated timespan's HH/LL. I feel a little closer to accomplish my objective.

Questions please:

1. Only triggered 1 trade when I ran the strategy on a 30-day 1-minute chart.
2. When it's on a 3-minute chart, it triggered more trades but still not on 30 days. It stopped trading on 23 Nov and did not triggered any trades up to 14 Dec.

Please enlighten me. Thank you.

Beth

11/23 was a half day holiday.

[belecona]

Hello

I market replayed to see if my strategy behaved normal when it's in action. It stopped working (incl the chart stopped plotting) when it reached 12:00 midnight (start of the next trading session).

Appreciate any tips to resolve it. Thank you. Have a great week.

Beth

[NinjaTrader_Matthew]

Beth,

What was the date it stopped? If it stopped at 12:00 midnight, are you sure you had replay data for the next day?

You can double check the data you have in your system by right clicking on the market replay controller and selecting "Available Data".

[belecona]

Good morning Matthew

I loaded data from 10-14 Dec. My chart stopped printing (+ strategy stopped triggering signals) at 12:00 midnight when it officially started the 11 Dec trading session. Can tell from the Replay Control button that it continued loading the data. My chart/strategy simply stopped.

My strategy has been working only on the first day of the specified timespan when I had it on a 1-minute chart. Please help resolving this myth. Thank you.

Have a great week.

Beth

[NinjaTrader_Matthew]

Beth,

When the chart stops, does the data from the Orders tab of the Control Center stop as well? If you check a Time and Sales window for the same instrument, does the data continue to update, or does it stop?

[belecona]

Hi Matthew

When my chart/strategy stopped, the timer on the Replay Control button continued to update.

I'm running my strategy on sim this morning. Will see how it behaves on a real-time sim environment.

Beth

[belecona]

Hello

I ran my strategy on ES and 6E 1-minute charts this morning. 6E triggered a trade when price broke up. Price entry and PT/SL orders were all in good order. Upon exit, it tried to put another stop order (not sure why). Got rejected by the system with the following error message:

Buy stop or buy stop limit orders can't be placed below the market.

Then the system disabled my strategy because of the OrderRejected error!

For ES, my strategy did not trigger a breakout trade when price broke up. Not sure why since it's working on 6E.

I am going to modify my strategy to do only 1 trade per morning with specific exit time/point. Maybe the additional script will eliminate the OrderRejected issue. Still I am lost as to why ES did not trigger a trade this morning.

Thank you!

Beth

[NinjaTrader_Matthew]

Beth,

Regarding the ES strategy, do you have TraceOrders set to log additional information?

If you have not, I would suggest enabling this while you debug these strategies: http://www.ninjatrader.com/support/f...ead.php?t=3627