new entry algo

[Trader.Jon]

Greets!

I am trying to develop a different approach to selecting a target price for EnterLongLimit.

Variables:

 
#region  touch_price
 
private int ifactor1 = 8;
  [Description("value for array matrix multiplier to develop touch price for target on LIT")]
   [GridCategory("Touch_Price")]
  [Gui.Design.DisplayName ("1.a  value for array matrix multiplier to develop touch price 3( 1 8 1)")]
        public int factor1
        { get { return ifactor1; } set { ifactor1 = Math.Max(1, value); }  }
 
  private int ifactor2 = 8;
  [Description("value for array matrix multiplier to develop touch price for target on LIT")]
   [GridCategory("Touch_Price")]
  [Gui.Design.DisplayName ("1.b  value for array matrix multiplier to develop touch price 3( 1 8 1)")]
        public int factor2
        { get { return ifactor2; } set { ifactor2 = Math.Max(1, value); }  }
 
  private int ifactor3 = 8;
  [Description("value for array matrix multiplier to develop touch price for target on LIT")]
   [GridCategory("Touch_Price")]
  [Gui.Design.DisplayName ("1.c  value for array matrix multiplier to develop touch price 3( 1 8 1)")]
        public int factor3
        { get { return ifactor3; } set { ifactor3 = Math.Max(1, value); }  }
  #endregion

a double is used as a limiting factor also:

private double touch_price = 0;
private int total_factor = 10;

and in OnBarUpdate:

double BIP3prc = Typicals[3][0];
double BIP2prc = Lows[2][0];
double BIP1prc = Closes[1][0];
total_factor = factor1 + factor2 + factor3;
touch_price = ( (factor3 * BIP3prc) + (factor2 * BIP2prc) + (factor1 * BIP1prc) )/10;

BUT there are no results at the end of the optimization run, but no errors in compilation or on the log tab. Optimizing without that code is good.

Any ideas what I goofed on to start looking?

Thanks,
Jon

[NinjaTrader_RyanM1]

Hi Jon,

You will have to Print() all values to make sure they're what you expect, and use TraceOrders output to track strategy order submission. If this doesn't provide any clues, then next step is simplifying your code.

One general concern is performing math on mixed types (integer & double). Anytime you do, this cast the integer as a double by adding (double) before the variable name.

myValue = (double) myInt * myDouble;

[Trader.Jon]

Hi Jon,

You will have to Print() all values to make sure they're what you expect, and use TraceOrders output to track strategy order submission. If this doesn't provide any clues, then next step is simplifying your code.

One general concern is performing math on mixed types (integer & double). Anytime you do, this cast the integer as a double by adding (double) before the variable name.

myValue = (double) myInt * myDouble;

Ryan,

Thanks for the insight. The rest of the code is trouble free.

Would changing

private int total_factor = 10;

to

private double total_factor = 10;

cause any obvious issues? I was thinking there might be a trouble if I tried to add those doubles together?!

I also see now what I might be an issue ... trying to always have 10 as total as in

private int total_factor = 10 and (factor1 + factor2 + factor3) = 10 = total_factor

Can you offer some insight .. I am not clear for best solution.

Thanks so much,
Jon

[NinjaTrader_RyanM1]

Changing type to double shouldn't cause issues unless there is an unknown requirement that it's an integer.

There's no shortcut to debugging this, so be sure to print all values and use TraceOrders to get a perspective on what your code is doing.

[Trader.Jon]

Changing type to double shouldn't cause issues unless there is an unknown requirement that it's an integer.

There's no shortcut to debugging this, so be sure to print all values and use TraceOrders to get a perspective on what your code is doing.

Not looking for an actual shortcut, rather what is 'generally accepted'. I havent had much code seen in trying to 'force' added values to always have a specific sum.

Sorry if that (obviously) wasnt clear. Is there anything in the C# math that does that natively? I wasnt able to spot an instance, and my logic thinking something like

(Math.Max(Math.Min(factor1+factor2+factor3 = 10))

while not useful might have an ability to be useful in some way toward a solution?

Jon

[NinjaTrader_RyanM1]

You may want to look into floating point values as a potential issue here. You can use Compare() against 10 to be sure there aren't issues with this:

http://www.ninjatrader.com/support/forum/showthread.php?t=3929

[NinjaTrader_Dexter]

Not looking for an actual shortcut, rather what is 'generally accepted'. I havent had much code seen in trying to 'force' added values to always have a specific sum.

Sorry if that (obviously) wasnt clear. Is there anything in the C# math that does that natively? I wasnt able to spot an instance, and my logic thinking something like

(Math.Max(Math.Min(factor1+factor2+factor3 = 10))

while not useful might have an ability to be useful in some way toward a solution?

Jon

Hi Jon,
Not sure I follow what you are trying to do 100% however, if you want to set all three variables to = 10.0 you can do this:

factor1 = factor2 = factor3 = (10D/3D);

This will set all of the variables to 3.33 of course. If you dont want them all to be completely evenly sized and want to just lop the missing difference into factor3 for example you could try

if(factor1 + factor2 + factor3 < 10D)
    factor3 += (10D - (factor1+factor2+factor3));

this should leave factor1+factor2+factor3 = 10.0. Hope this helps with your strategy logic

[Trader.Jon]

Dexter,

Thanks. The actual need was to have each of the factor1/2/3 to have a whole value between 1 to 8 so that the total would be 10 for all three, with none of them below 1.

Input is alway appreciated!

Jon