Intrabar Backtest

[Mike Winfrey]

I'm using SampleIntrabarBacktest.zip as an example but not getting where I need to go.

My primary bar is 5 minute and my secondary is 1 tick.

As a beginning, I want to enter 1 tick above the high of the previous 5 minute bar and reverse for a short when price is 1 tick below the low of the previous 5 minute bar. Please see the attachment. I had to make a couple of assumptions about what happened first on the bars but hopefully you get the idea.

I thought the following would work but it doesn't. The entry occurs at the close of the 5 minute bar. I thought this would produce an intrabar entry of the 5 minute bar. How do I fix this so I get the intrabar entry I want?

if (Closes[1][0] > High[1])
    EnterLong(1,1,"Long");
else if (Closes[1][0] < Low[1])
    EnterShort(1,1,"Short");

[NinjaTrader_Bertrand]

Mike, in which BarsInProgress context are you checking for your condition to enter?

[Mike Winfrey]

I'm a bit confused by your question. Doesn't "if (Closes[1][0] > High[1]) " indicate that I'm comparing the close of the current bar on the 1 tick dataseries with the high of the last bar on the default dataseries which is 5 minute? This is where I'm a bit weak I have to admit.

I also have the following in my OnBarUpdate


if (BarsInProgress != 0) return;

In fact, I attached a simple strat showing what I'm doing in the simplest form.

At the moment it is a stop and reverse. There is no money management at all. What I am trying to do is enter a long 1 tick above the high of the previous bar and reverse to a short when price is 1 tick below the previous bar's low. I hope this makes sense. It does to me. So it should be clear to everyone reading this...yeah right! Kidding.

Thanks, Mike

[sledge]

I'm a bit confused by your question. Doesn't "if (Closes[1][0] > High[1]) " indicate that I'm comparing the close of the current bar on the 1 tick dataseries with the high of the last bar on the default dataseries which is 5 minute? This is where I'm a bit weak I have to admit.

I also have the following in my OnBarUpdate


if (BarsInProgress != 0) return;

In fact, I attached a simple strat showing what I'm doing in the simplest form.

At the moment it is a stop and reverse. There is no money management at all. What I am trying to do is enter a long 1 tick above the high of the previous bar and reverse to a short when price is 1 tick below the previous bar's low. I hope this makes sense. It does to me. So it should be clear to everyone reading this...yeah right! Kidding.

Thanks, Mike

I learned most by using print statements to verify what is going on.

Print ( "Close [0] =" + Close[0] + " Time[0]=" + Time[0] );
Print ( "Closes [0][0] =" + Closes[0][0] + " Times[0][0]=" + Times[0][0] );

add more prints for bars back, and your High[1] statement.



Print ( " Closes[0][0] =" + Closes[0][0] + " Times[0][0]=" + Times[0][0]);
Print ( " Closes[0][1] =" + Closes[0][1] + " Times[0][1]=" + Times[0][1]);
Print ( " Closes[0][2] =" + Closes[0][2] + " Times[0][2]=" + Times[0][2]);
Print ( " Closes[0][3] =" + Closes[0][3] + " Times[0][3]=" + Times[0][3]);
Print ( " Closes[0][4] =" + Closes[0][4] + " Times[0][4]=" + Times[0][4]);

Print ( " Closes[1][0] =" + Closes[1][0] + " Times[1][0]=" + Times[1][0]);
Print ( " Closes[1][1] =" + Closes[1][1] + " Times[1][1]=" + Times[1][1]);
Print ( " Closes[1][2] =" + Closes[1][2] + " Times[1][2]=" + Times[1][2]);
Print ( " Closes[1][3] =" + Closes[1][3] + " Times[1][3]=" + Times[1][3]);
Print ( " Closes[1][4] =" + Closes[1][4] + " Times[1][4]=" + Times[1][4]);

[sledge]

oh yeah, turn on the output window to view

tools->output window

[sledge]

oh yeah, turn on the output window to view

tools->output window

From what I can tell:

your tick series of 1 tick is not necessary. I think you are referring to the latest .. Isn't that the same of latest .. closes[0][0]?

the onbarupdate fires when the 5 minute bar is finished then the check is made

on friday es-03-11 friday 2/18...,,,

Closes[0][0] =1339.25 Times[0][0]=2/18/2011 10:35:00 AM
Closes[1][0] =1339.25 Times[1][0]=2/18/2011 10:34:59 AM
High[1] = 1339.75 Low[1] = 1338.5
Closes[0][0] =1339 Times[0][0]=2/18/2011 10:40:00 AM
Closes[1][0] =1339 Times[1][0]=2/18/2011 10:39:59 AM
High[1] = 1339.5 Low[1] = 1338.75
Closes[0][0] =1340 Times[0][0]=2/18/2011 10:45:00 AM
Closes[1][0] =1340 Times[1][0]=2/18/2011 10:44:59 AM
High[1] = 1339.25 Low[1] = 1338.75
EnterLong(1,1,"Long")
Closes[0][0] =1340 Times[0][0]=2/18/2011 10:50:00 AM
Closes[1][0] =1340 Times[1][0]=2/18/2011 10:49:59 AM
High[1] = 1340.25 Low[1] = 1339
Closes[0][0] =1340 Times[0][0]=2/18/2011 10:55:00 AM
Closes[1][0] =1340 Times[1][0]=2/18/2011 10:54:59 AM
High[1] = 1340.25 Low[1] = 1339.5
Closes[0][0] =1338.75 Times[0][0]=2/18/2011 11:00:00 AM
Closes[1][0] =1338.75 Times[1][0]=2/18/2011 10:59:59 AM
High[1] = 1340.25 Low[1] = 1339.5
EnterShort(1,1,"Short")
Closes[0][0] =1339 Times[0][0]=2/18/2011 11:05:00 AM
Closes[1][0] =1339 Times[1][0]=2/18/2011 11:04:57 AM
High[1] = 1340.25 Low[1] = 1338.75
Closes[0][0] =1340 Times[0][0]=2/18/2011 11:10:00 AM
Closes[1][0] =1340 Times[1][0]=2/18/2011 11:09:59 AM
High[1] = 1339.5 Low[1] = 1338.5
EnterLong(1,1,"Long")
Closes[0][0] =1340 Times[0][0]=2/18/2011 11:15:00 AM
Closes[1][0] =1340 Times[1][0]=2/18/2011 11:14:59 AM
High[1] = 1340.25 Low[1] = 1339
Closes[0][0] =1340 Times[0][0]=2/18/2011 11:20:00 AM
Closes[1][0] =1340 Times[1][0]=2/18/2011 11:19:59 AM
High[1] = 1340.25 Low[1] = 1339.5

            if (BarsInProgress != 0)
                return;

            
            
            Print ( " Closes[0][0] =" + Closes[0][0] + " Times[0][0]=" + Times[0][0]);
             Print ( " Closes[1][0] =" + Closes[1][0] + " Times[1][0]=" + Times[1][0]);
             Print ( " High[1] = " + High[1] + "  Low[1] = " + Low[1]  );
            
            if (Closes[1][0] > High[1])
                Print ( "EnterLong(1,1,\"Long\")" );
            else if (Closes[1][0] < Low[1])
                Print ( "EnterShort(1,1,\"Short\")");

[NinjaTrader_Bertrand]

Correct, if you work from BarsInProgress 0 (which is what you do if you return out of OBU if it's not from BIP 0) the conditions will trigger at the close of the 5 min bar and then submit to the tick series.

[Mike Winfrey]

Thanks sledge. I use prints a lot as well. Just didn't think about using them the way you describe. thanks again

I learned most by using print statements to verify what is going on.

Print ( "Close [0] =" + Close[0] + " Time[0]=" + Time[0] );
Print ( "Closes [0][0] =" + Closes[0][0] + " Times[0][0]=" + Times[0][0] );

add more prints for bars back, and your High[1] statement.



Print ( " Closes[0][0] =" + Closes[0][0] + " Times[0][0]=" + Times[0][0]);
Print ( " Closes[0][1] =" + Closes[0][1] + " Times[0][1]=" + Times[0][1]);
Print ( " Closes[0][2] =" + Closes[0][2] + " Times[0][2]=" + Times[0][2]);
Print ( " Closes[0][3] =" + Closes[0][3] + " Times[0][3]=" + Times[0][3]);
Print ( " Closes[0][4] =" + Closes[0][4] + " Times[0][4]=" + Times[0][4]);

Print ( " Closes[1][0] =" + Closes[1][0] + " Times[1][0]=" + Times[1][0]);
Print ( " Closes[1][1] =" + Closes[1][1] + " Times[1][1]=" + Times[1][1]);
Print ( " Closes[1][2] =" + Closes[1][2] + " Times[1][2]=" + Times[1][2]);
Print ( " Closes[1][3] =" + Closes[1][3] + " Times[1][3]=" + Times[1][3]);
Print ( " Closes[1][4] =" + Closes[1][4] + " Times[1][4]=" + Times[1][4]);

[Mike Winfrey]

Look at the picture I attached. I want the entry to be where I have the blue arrow. That is 1 tick above the previous bar high. So, how do I make the strategy produce an entry where I show the blue arrow? I attached a "MyCustomStrategy" in an earlier post that is a good point of reference.

[NinjaTrader_Bertrand]

You will need to formulate your entry conditions with the finer tick based series, just submitting orders to it is not enough to achieve this behavior.

[Trader.Jon]

Market Orders are in motion!

Mike,

My attempts at doing similar required the use of EnterLongLimit(), your 'MyCustomStrategy' is using a market order [ie 'EnterLong'] which (AFAIK) can be filled at the next price, not your specific price attempt. Your intent AIUI is to enter 1 tick above the high of the previous BA0 ...

iOrderL2 = EnterLongLimit(0, true, iQuantity2, (Highs[0][0]+(1*TickSize)), sENTRY2L);

As per the F1 help:

The following method variation is for experienced programmers who fully understand Advanced Order Handling concepts.

EnterLongLimit(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double limitPrice, string signalName)

Jon