SetStopLoss

[kaywai]

Hi,

All I did was change my code from:

[FONT=Courier New][SIZE=2][COLOR=#008000][FONT=Courier New][SIZE=2][COLOR=#008000][FONT=Courier New][SIZE=2][COLOR=#008000]
[COLOR=black][COLOR=blue]if[/COLOR] (Close[0] > ShortStopLoss)[/COLOR]
[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=black]{[/COLOR]
[/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=black] Print("Close > ShortStopLoss");[/COLOR]
[/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=black] ExitShort();[/COLOR]
[/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#008000][FONT=Courier New][SIZE=2][COLOR=#008000][FONT=Courier New][SIZE=2][COLOR=#008000][COLOR=black]}[/COLOR]
[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT]

to

[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]
if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000] (((ShortStopLoss-Position.AvgPrice)*[/COLOR][/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]100000[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000]) < ShortStopLossAlt)[/COLOR]
{
SetStopLoss(CalculationMode.Price, ShortStopLoss);
}
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]else
[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]{
SetStopLoss(CalculationMode.Ticks, [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]12[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
}
[/SIZE][/FONT][/SIZE][/FONT]

and my strategy went haywire! There are many occasions now where I get stopped out as soon as I enter the trade and at the same price. Could someone please help?

Regards

Kay Wai

[NinjaTrader_Bertrand]

Hi Kay, are you sure you attempt this when you would have a position, so the Position.AvgPrice would have a meaningful value to calculate with?

[kaywai]

Hi Bertrand,

Well before I introduced the SetStopLoss, I had a value for every Position.AvgPrice. I even had a value for my LongStopLoss and ShortStopLoss.

But once I changed the code as per below, this didn't happen anymore. There are occassions where I am unable to get a price for Position.AvgPrice but a value is nevertheless reflected on the chart and that position is stopped out immediately and I am unable to print the value....

It is truly frustrating especially when you feel you are getting somewhere and this happens.

Regards

Kay Wai

[kaywai]

I just realised that I added a flag after EnterLong() and changed the code after "else if (Oisition.Market.Position == MarketPosition.Long" from

if (Position.AvgPrice >0)
{
Do something
}

to

if (flag)
{
Do Something
}

The "Do Something" in both cases are the same.

Regards

Kay Wai

[NinjaTrader_Bertrand]

Kay, I'm sorry I do not follow you 100% here - what would be needed is printing the variables involved to understand what you would need to change in your code structure, there would be only a Position Price as the MarketPosition updated to the new value.

Here are helpful guidelines how to debug your NinjaScript code with Print() statements :

http://www.ninjatrader.com/support/forum/showthread.php?t=3418

[kaywai]

Hi Bertrand,

Printing the variables is to help me debug. But I can't figure out why it is getting stopped out at the same bar when there are occasions where a trade is working properly for the same set of instructions.

And there is no suggestion from the code that something is wrong. What other ways are they to debug?

Regards

Kay Wai

[kaywai]

Hi Bertrand,

I took my code apart and attempted to put it piece by piece together again. I even removed the condition to determine the stoploss value and replaced it with SetStopLoss(CalculationMode.Ticks, 12). Everything was working fine.

So I re-inserted the following code:-

[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]
if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000] (PotentialShortLoss < ShortStopLossAlt)[/COLOR]
{
SetStopLoss(CalculationMode.Price, ShortStopLoss);
}
[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]else
[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]{
SetStopLoss(ShortStopLossAlt);
}
[/SIZE][/FONT][/SIZE][/FONT]

And my problems surfaced again. Some positions get stopped out immediately and there was also 50% more trades! Any thoughts on what could be wrong?

Regards

Kay Wai

[kaywai]

Just to follow on from the previous thread, I get these printouts when my position is flat and about to initiate a position:-

5/18/2009 8:15:00 PM
hhssbar = 1
myHHShortSignal = True
5/18/2009 8:15:00 PM
1.3509
1.348
0.0029
1.3495
5/18/2009 8:15:00 PM Entered internal PlaceOrder() method at 5/18/2009 8:15:00 PM: BarsInProgress=0 Action=SellShort OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='MyHHShort' FromEntrySignal=''
justenteredshort = True

And when my position is filled, these values are printed:-

5/18/2009 8:18:00 PM
1.3495
0.483
1.3504
justenteredshort = False
PSL = 90.00
ShortStopLossAlt =120

When the "issue" occurs, I am only getting the part when I am about to enter a position. The printout ends here:-

5/18/2009 11:42:00 PM
hhssbar = 4
mySPLongSignal = True
1.3517
1.3495
0.0022
1.3496
5/18/2009 11:42:00 PM Entered internal PlaceOrder() method at 5/18/2009 11:42:00 PM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='MySpecialLong' FromEntrySignal=''
justenteredlong = True

From the output window, it would seem that the trade has been initiated. But there is no indication of an exit at all.

Regards

Kay Wai

[kaywai]

Attached is the chart of the first 3 trades...all got stopped out.

The first 2 at the correct spots but the 3 at the point of entry.

[NinjaTrader_Bertrand]

Kay, is there any stripped down example we could give a run here and check into? I'm not sure why you would see no set / exit order related traces here - are you resetting the stop-loss then in your script to a default value when you're flat?

[kaywai]

Hi Bertrand,

1) Doesn't the stop loss reset itself once the position is exited?
2) How do I reset a stop loss? I do not have SetStopLoss in Initialize()
3) If I have positions which go from long straight to short and vice versa, how would I reset the stop loss?

This might be just the reason!

Regards

Kay Wai

[NinjaTrader_Bertrand]

Kay, even on a reverse there's a short 'flat' state so the reset could trigger, it would be detailed in this reference sample here - http://www.ninjatrader.com/support/f...ead.php?t=3222

[kaywai]

Hi Bertrand,

From what I see from the script in the provided link, I need to place a SetStopLoss instruction where it is unlikely to be hit upon entering a new position and that I need to place it inside this block of code.

if (Position.MarketPosition == MarketPosition.Flat)
{

}

Is that correct?

Regards

Kay Wai

[NinjaTrader_Bertrand]

Correct, just put it before the other order logic at the OnBarUpdate() start setting the stoploss to a default tick offset when you're flat.

[kaywai]

Hi Bertrand,

I've included the code as per below as I intend to only trade from 19:57 to 00:03:-

[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]
[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT]if (Position.MarketPosition == MarketPosition.Flat)
{
[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] (ToTime(Time[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]]) >= [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]195700[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] || ToTime(Time[[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]]) <= [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]00300[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2])[/SIZE][/FONT]
[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]SetStopLoss(CalculationMode.Ticks, [/FONT][/SIZE][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]12[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);[/SIZE][/FONT]
[SIZE=2][FONT=Courier New]}[/FONT][/SIZE]
[/SIZE][/FONT]}

It works fine except when I'm going from a Long to Short position like

if[FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][COLOR=#000000] (Position.MarketPosition == MarketPosition.Long)[/COLOR][/SIZE][/FONT]
[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]if (xx condition is true)[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]EnterShort();[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]}[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]}[/FONT][/SIZE]
[/SIZE][/FONT]

I get stopped out at the same price.

Here is an excerpt from the output window:-

5/25/2009 11:30:00 PM Entered internal PlaceOrder() method at 5/25/2009 11:30:00 PM: BarsInProgress=0 Action=SellShort OrderType=Market Quantity=0.1M LimitPrice=0 StopPrice=0 SignalName='MyHHXShort' FromEntrySignal=''
justenteredshort = True
5/25/2009 11:30:00 PM Cancelled pending exit order, since associated position is closed: Order='NT-00025/Backtest' Name='Stop loss' State=Working Instrument='$EUUS' Action=Sell Limit price=0 Stop price=1.3984 Quantity=0.1M Strategy='MyCustomFXStrategy2v7alt' Type=Stop Tif=Gtc Oco='NT-00022-1225' Filled=0 Fill price=0 Token='3fe8ae70973b425d8ca7b231e63236ec' Gtd='12/1/2099

How do I resolve this? I've also attached a chart for your reference

Regards

Kay Wai