High within a time range

[strewthmate]

Hi, without code, is it possible to set a strategy that would go long if there is a close higher than the high within a set time window?

The main part of this is displaying the high say between 06.00 and 12.00. Is this possible without code?

I know you can restrict your trading window by time, e.g. only trade if time is between 07 and 0800. What I want is for the variable to be based on time not the trading conditions if that makes sense.

[NinjaTrader_RyanM1]

Hello Strewthmate,

I have attached a screenshot with one approach to this. For the time filter you select Time -> Time Series on the left and Time -> Time Value on the right. The example in the picture checks highs in-between 6 and 7 PM.

You check if High[0] is greater than Variable0 and if so the new High[0] is assigned to this Variable0.

Then on Set2 you can check Close[0] against Variable0 and place orders.

[doniphon]

Hello,
How could I do this but getting the high price from a back time range?
e.g. it is 10 am and I want to check the High from the 5 am to 7 am time range period

Thanks

[NinjaTrader_JessicaP]

Hello doniphon and thank you for your question.

For this you will want to use the output of the MAX indicator instead of a single value from the High series. I am including documentation for the MAX indicator from the Help Guide.

http://ninjatrader.com/support/helpGuides/nt7/?maximum_max.htm

I am attaching a screenshot of the condition builder as an example. You will want to adjust the period to cover the time range. For example, if you had a 5 minute data series, you would want a period of 24 to cover the 2 hour period you mentioned.

You will also want to check to see if the time is 7 AM in your example. Even if the time is currently 10 AM, if you check to see that the time held in Time[0] is currently 7 AM, then this will occur once during historical bar processing.

Please let us know if there are any other ways we can help.

[doniphon]

Hello,
the logic is "everyday from 10 am to 11 am I want to enter long if the price crosses the high from 5 to 7 am period".
The problem is I do not know how to set this high price into a variable. I could not check the time held in Time[0].
And, is it possible to do it without counting bars?
Thanks

[NinjaTrader_JessicaP]

Hello doniphon,

If you would like to do this without counting bars, you can do so following along with the attached images. Please let me know if I can clarify any settings.

Explanation of steps

Steps 1-4 : If it's between 5 and 7, and the current high is greater than the greatest high so far, store it as the greatest high so far

Step 5 : Review to make sure condition set 1 is ok

Steps 6 : We're done with condition set 1. Let's move on to condition set 2.

Steps 7-8 : If it's between 10 and 11...
Steps 9-11 : ... and we cross over the greatest high between 5 and 7...

Note: As true cross overs require two data series, in order to compare a data series to a value, we check to make sure we are rising and have not entered into a trade in the last 10 bars. This is equivalent to checking 10 bars for a crossover condition.

Step 12 : ... and we found a highest value between 5 and 7 this morning (e.g. you didn't turn on Ninja at 8 AM) ...

Step 13 : ... then enter long

Steps 14 - 15 : Ensure our 2nd condition set is ok

[doniphon]

Hello JessicaP,
it does not run a backtest... It does, but no trades are placed.
The Properties region is empty, is it normal?

[NinjaTrader_JessicaP]

Hello doniphon,

This was not intended as a complete strategy, but rather was meant to extend the original post. We can see in the original post, for instance, a variable that is not reset at the end of the day.

You can use a 3rd and fourth condition set to set Variable0 to 0 when the time is less than 5:00 AM or greater than 11:00 AM, and this will then give you trades in the strategy analyzer.

[doniphon]

Hello Jessica,
I finally check the time at 7 am and get the Upper Donchian Channel value from X bars ago (depends on the timeframe). I do this because the High[0] series did not work well by storing the highest high of the time range.
Now I have another problem. I want to enter Long just when the price (Ask price in this case) crosses above the high of the range) but all the combinations I have tried did not work, the trade is always placed on the next bar (at open price). Even when the CalculateOnBarClose method is set to false.

Thanks for your help.

[NinjaTrader_JessicaP]

Hello doniphon,

I would begin by trying a trivial case and building on it. To make further questions and investigations easier, I would highly recommend making a new strategy that is just this :

• If the time is 10 AM
  • Enter a long position

That said, when using historical data or backtesting, Ninja will not calculate intra-bar. Using historical data, orders will always trigger after bars close.