Wizard questions - Signal blocks/Continious vs immediate signals

[heikobear]

Hi

I am trying to build strategies with the wizard but the documentation is insufficient.
I use a wizard for MT4 ( EA creator) and it is quite easy to create rather complex strategies.

First, I am not sure about the logical structure of signals.
There are several sets which apparently serves for entry and exit signals.
When creating several conditions, it is not clear at all in what time frame the signals are valid.
I know the concept of continuous and immediate signals. Continuous means as soon as all conditions are true, the signal is valid. Immediate means the conditions have to be true during the current bar.
This distinction is very important. So, how does it work here?

Second, I don't know how to create exit signals. OR better, how to connect the exit with entry signal. For example, I want to use exits based on indicators for the entry signals. Well, I can have several entries. How will I relate specific entries with specific exits?

I also wonder how is it possible to create multiple signals groups with OR conditions.
For example, I could create 3 blocks of signals for long and these blocks are conected wit an OR condition. I don't know whether this common structure is possible in the NT wizard.

[NinjaTrader_RyanM1]

Hello HeikoBear,

Thank you for your post.

Time frame is not specified when you create the strategy. It can be applied to any time frame or interval when you run the strategy.
See here for running a NinjaScript strategy.

Sets are independent and used to define the conditions you want evaluated. When all items within a set evaluate to true, then the actions are executed for that set. Actions can be placing orders as well as alerts or drawing objects.

Continuous versus immediate is controlled with our CalculateOnBarClose setting. When set to false, conditions are evaluated on every tick. Note that when backtesting, this property is always true.

When creating the exit signal, one of the properties you can set is fromEntrySignal. This allows you to tie exits to specific entries. This also requires you set the entry signal when setting your entries as well.
See here for defining exit conditions in the strategy wizard.

Sets are evaluated independenly, so you can define different conditions over multiple sets with the same actions defined over these multiple sets. This isn't exactly the same as combining conditions with C# || operator but will produce similar results in most cases.

[heikobear]

Hello HeikoBear,

Thank you for your post.

Time frame is not specified when you create the strategy. It can be applied to any time frame or interval when you run the strategy.
See here for running a NinjaScript strategy.

Sets are independent and used to define the conditions you want evaluated. When all items within a set evaluate to true, then the actions are executed for that set. Actions can be placing orders as well as alerts or drawing objects.

Continuous versus immediate is controlled with our CalculateOnBarClose setting. When set to false, conditions are evaluated on every tick. Note that when backtesting, this property is always true.

When creating the exit signal, one of the properties you can set is fromEntrySignal. This allows you to tie exits to specific entries. This also requires you set the entry signal when setting your entries as well.
See here for defining exit conditions in the strategy wizard.

Sets are evaluated independenly, so you can define different conditions over multiple sets with the same actions defined over these multiple sets. This isn't exactly the same as combining conditions with C# || operator but will produce similar results in most cases.

Thanks for the reply.
I am not sure whether I understood the continuous issue. Let's use an example:
Time frame 15 min. I want a continious signal, e.g if three indicators return true, I enter long. That means for example it takes 3 bars for all indicators get true, than the system will go long.

Only in the case of immediate signal the 3 conditions must get true during one bar.

OF course one gets less signals when using immediate signals.
Do we talk about the same concept?

[NinjaTrader_RyanM1]

From your last response I'm not sure I understand the continuous versus immediate in relation to NinjaTrader. If you have the MetaTrader docs on this I can look through.

CalculateOnBarClose works like this:
When set to true, conditions are evaluated only at the close of bar. Conditions may have been true while the bar is in progress but actions are only executed if they are true at the close of the bar.

When set to false, conditions are evaluated for every update (trade) that occurs. If conditions evaluate to true they will execute.

[heikobear]

Hi

I checked the EA Creator documentation.
Signals are either continuous or instant. It is especially important when using a combination of conditions.
For example, for the condition RSI>50, continuous means that the signal is active all the time since RSI is above 50. Typically, one uses this signal continuous and some other condition as instant, like MA crossover. I only want that the system goes long when the MA crosses but the RSI must be over 50. Thus, the main trigger is MA cross and RSI only confirmation.

Now, how can this be accomplished within the wizard?

[NinjaTrader_RyanM1]

We don't have this exact concept but the strategy wizard is a front-end to a full featured programming language. It is most likely possible with custom programming.

If you're looking to evaluate condition 2 only after condition 1 is true, you can use user variables for this. See the reference below on sequences with user variables in the strategy wizard:

Using User Variables in the Strategy Wizard

[heikobear]

We don't have this exact concept but the strategy wizard is a front-end to a full featured programming language. It is most likely possible with custom programming.

If you're looking to evaluate condition 2 only after condition 1 is true, you can use user variables for this. See the reference below on sequences with user variables in the strategy wizard:

Using User Variables in the Strategy Wizard

Ryan

After searching here I think the question of immediate vs continuous is actually treated in 'lookback period'.
Cross over has this variable and one can define for how long the conditions is evaluated.
The condition <> do not have this condition and thus are continious.

So I believe if I want to create a series of filters for a main condition, a mix of <> operators and cross over shall be used. Is this correct?

This also avoids opening multiple trades if I am not wrong.

[NinjaTrader_Austin]

heikobear, you should be able to do something like this in one of the condition sets to accomplish what you're looking for:

if (RSI(14) > 50)
if (CrossAbove(SMA(Fast), SMA(Short), 1)

do:
EnterLong(...)

Everything in a single set is AND'ed together and if they are all true, the "do the following" executes.