Simple SL, TP, Breakeven don't work

[kucharek]

Hi,

I have prepared simple code based on below sample:

http://www.ninjatrader.com/support/f...ead.php?t=3222

The code is as follows:

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// 
    /// </summary>
    [Description("Stop Loss, Breakeven, Take Profit")]
    public class SLBETP : Strategy
    {
        #region Variables
        // Wizard generated variables
        // User defined variables (add any user defined variables below)
		
		private int		ryzyko = 100;
					
		private double 	Psize;
		
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            // !!! SetStopLoss(CalculationMode.Ticks, stoplossticks);
			SetStopLoss(100);
			SetProfitTarget(300);
			
			CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
        // Resets the stop loss to the original value when all positions are closed
			if (Position.MarketPosition == MarketPosition.Flat)
			{
				SetStopLoss(100);
			}
			
			// If a long position is open, allow for stop loss modification to breakeven
			else if (Position.MarketPosition == MarketPosition.Short)
			{
				// Once the price is greater than entry price+50 ticks, set stop loss to breakeven
				if (Close[0] > Position.AvgPrice + 100)
				{
					SetStopLoss(100);
				}
			}
			
			// Entry Condition
			if (DonchianChannel(2).Upper[0] == DonchianChannel(2).Upper[1]
                && Close[0] < Close[1]
                && High[1] == DonchianChannel(2).Upper[1])
			{
                Pozycja();
				EnterShort((int)Psize, "PKU-Open");
			}	
			
			// Exit Condition
            if (DonchianChannel(2).Upper[0] > DonchianChannel(2).Upper[1])
            {
                ExitShort("PKU-Close", "PKU-Open");
            }
			
		}

		#region PozycjaFunction	
		void Pozycja()
		{

			Psize = (ryzyko/((DonchianChannel(2).Upper[0]-Close[0])*10000))/10*100000;
		
		}
	#endregion
				
        #region Properties
		
		/// <summary>
		/// </summary>
		[Description("Ryzyko w USD - 1R")]
		[Category("Parameters")]
		public int Ryzyko
		{
			get { return ryzyko; }
			set { ryzyko = Math.Max(0, value); }
		}
		#endregion
    }
}

The strategy open and close every position in the same moment. Please find attached image as an example.



Please support.

[NinjaTrader_AdamP]

kucharek,

I am happy to assist you.

I believe your SetStopLoss() is to blame for this issue. You are using it as follows :

SetStopLoss(double currency)

Please use the following format :

SetStopLoss(CalculationMode mode, double value)

For more information, please see the following link : http://www.ninjatrader.com/support/h...etstoploss.htm

Please let me know if I may assist further.

[kucharek]

Ok, thanks for that. I will work on that.

I am wondering why I can not use SetStopLoss(double currency) syntax here.

[NinjaTrader_AdamP]

kucharek,

You can use this, but depending on your order size 100$ may be small swings. I also noticed your lot size is quite large when I tested on forex. If you use ticks you can guarantee you give it enough room to move as expected on your chart.

Please let me know if I may assist further.

[kucharek]

Hi,

Ticks mode is giving me what I wanted. Thanks a lot.

Stop Loss and Take Profit are working fine. One thing that doesn't work and I do not know how to resolve is "breakeven". Please support what is wrong with my coding regarding breakeven.

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// 
    /// </summary>
    [Description("Stop Loss, Breakeven, Take Profit")]
    public class SLBETP : Strategy
    {
        #region Variables
        // Wizard generated variables
        // User defined variables (add any user defined variables below)
		
		private int		ryzyko = 100;
					
		private double 	Psize;
		private double 	Stoploss;
		
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {	
			CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {        			
		// If a short position is open, allow for stop loss modification to breakeven
		if (Position.MarketPosition == MarketPosition.Short)
			{
				// Once the price is greater than entry price - SLpips, set stop loss to breakeven
				if (Close[0] < Position.AvgPrice - (double)Stoploss * TickSize)
				{
					SetStopLoss(CalculationMode.Price, Position.AvgPrice);
				}
			}
			
			// Entry Condition
			if (DonchianChannel(2).Upper[0] == DonchianChannel(2).Upper[1]
                && Close[0] < Close[1]
                && High[1] == DonchianChannel(2).Upper[1])
			{
                Pozycja();
				EnterShort((int)Psize, "PKU-Open");
				
				SLpips();
				SetStopLoss("PKU-Open", CalculationMode.Ticks, (double)Stoploss, false);
				SetProfitTarget("PKU-Open", CalculationMode.Ticks, (double)Stoploss * 3);
			}	
			
			// Exit Condition
            if (DonchianChannel(2).Upper[0] > DonchianChannel(2).Upper[1])
            {
               ExitShort("PKU-Close", "PKU-Open");
            }
			
		}

		#region PozycjaFunction	
		void Pozycja()
		{

			Psize = (ryzyko/((DonchianChannel(2).Upper[0]-Close[0])*10000))/10*100000;
					
		}
		
		void SLpips()
		{	
			Stoploss = (DonchianChannel(2).Upper[0]-Close[0])*10000;
		}
	#endregion
				
        #region Properties
		
		/// <summary>
		/// </summary>
		[Description("Ryzyko w USD - 1R")]
		[Category("Parameters")]
		public int Ryzyko
		{
			get { return ryzyko; }
			set { ryzyko = Math.Max(0, value); }
		}
		#endregion
    }
}

[NinjaTrader_AdamP]

kucharek,

You are using a breakeven of Position.AvgPrice, which is the average price of your position, not the break even point. You will want to keep track of your entrance price and use this for breakeven.

Please let me know if I may assist further.

[kucharek]

Hi,

I don't understand. Shall I change Position.AvgPrice to other command?

Please note that I did that way:

SetStopLoss(CalculationMode.Price, Position.AvgPrice);

according to Price Modification Sample.

Please explain in more details what you mean by entrance price.

[NinjaTrader_Brett]

Hello,

Can you please clarify what exactly about the break even is not working correctly. As you may or may not be having any issue with Position.AvgPrice.

If it not activating or is it moving it to an incorrect price?

What Print() and tracing have you done to narrow down whats going on?

-Brett

[kucharek]

Hi,

I have implemented print and tracing, tested it and found an issue. Thanks for your support.