Profit target and stop loss bracket orders - fill behaviour in backtesting

[adamus]

I coded a strategy to exit positions on close together limit and stop OCO orders.

In backtesting though, it looks like NT7 is choosing to execute only the limit order, when in reality, I'm sure the stop order would get hit frequently.

Can configure NT to backtest on 60mins bars with this OCO pair of exit orders, using the shorter timeframes like 1min bars to check whether the limit or the stop is hit first?

Thanks

PS - thought I'd posted this already, if it is duplicated, sorry but I can't see my first attempt.

[NinjaTrader_Jason]

Hello adamus,

Unfortunatey this is as expected. Please see the link below - 'Exit on close' will function the same.

http://www.ninjatrader-support.com/HelpGuideV6/ClosingAPositionStrategy.html

You see that limit orders will be modified so they will close out your position.

[adamus]

Sorry that was really badly phrased by me.

Please read that question as:

strategy to exit positions with close-together limit and stop OCO orders

Because the target and the stop are close-together, they are usually both enclosed within the next bar - so how does NT decide in backtesting which order to take?

WIth my current backtesting set-up, NT is always executing the target, so my backtest results are way too profitable compared to reality.

Can I configure NT to backtest on 60mins bars with this OCO exit pair, and use a shorter timeframe like 1min bars to check whether the limit or the stop is hit first?

[NinjaTrader_Jason]

Please note that the Strategy Analyzer will calculate your conditions at the end of bars only and not intra-bar.

Unfortunately it is not possibe to backtest on a 60 minute interval and use a shorter timeframe of 1 minute bars.

[adamus]

What about scripting a strategy using two timeframes? Is that not possible?

[NinjaTrader_Jason]

Yes, you can create strategies that use multiple timeframes. Please see the link below for more information.

http://www.ninjatrader-support.com/HelpGuideV6/MultiTimeFrameInstruments.html

[adamus]

Very interesting. You guys must have been busy. Is this a NT7 feature, or was it possible in NT6 as well? (I only used NT6 for about 48 hours).

[NinjaTrader_Jason]

This is supported in NinjaTrader 6.5 as well.

[adamus]

My strategy now uses 1 hour time frame and 1 min time frame.

I submit my orders and let NT cancel them at the end of the bar. From what I can tell looking at the results, NT will cancel all orders at the end of the first bar of the shortest time frame.

I thought that the orders I submit during the 1 hour onBarUpdate would remain active until throughout that bar, but it looks like that isn't happening - the order only lasts a minute. Is this expected?

If it is expected, are the only choices either (1) to resubmit my order every bar on the short timeframe, and (2) to submit with the barsInProgress parameter on the EnterXxxx() methods?

[NinjaTrader_Tim]

Hi adamus,

Yes that is expected, even though the order was submitted against the 1 hour bar, the next OnBarUpdate will be the 1 minute bar, at which the order will be cancelled.

A few options...
1. You can resubmit the order. If the conditions are still satisfied, the order will resubmit automatically, provided it is not getting rejected for any reason.

2. You can use liveUntilCancelled set to true. If this is used, you will need to explicitly cancel the order with CancelOrder()