Prior Trade Date

[richp6]

Hi,

I'm trying to build a filter into my strategy that will stop trading during the current month after xx number of losses. I know how to access the current month using DateTime. My thought was to use a counter for losses during the current month. I need to figure out a way to reset the counter.

Since the first day of the month isn't always a market day, I thought I might be able to just count trades which have a trade date in the current month.

Any thoughts on the best way to accomplish this?

Thanks,

Rich

[NinjaTrader_Bertrand]

Hi Rich, for backtesting the work needed to be done would need to be more involved as you have to setup custom tracking for example in a list / method of holidays influencing the first business day of month tracking via C#. For generally determining business days, those methods published should come in handy - http://businessdaysfunc.blogspot.de/

For currently trading the strategy you could setup a user input simply that would let you set when to do the counter reset in your code.

[richp6]

Is there any way to access the trade date of the last 2 trades? I could compare them and if the months were different, then I could reset the counter.

[Baruch]

Why not:
if (Time[0].Day < Time[1].Day) reset..

[NinjaTrader_Bertrand]

Is there any way to access the trade date of the last 2 trades? I could compare them and if the months were different, then I could reset the counter.

Yes, you could access the entry / exit times from the Performance class for a comparison as well - http://www.ninjatrader.com/support/h.../nt7/trade.htm

[richp6]

I understand how I can access the order information for a trade that happens in real-time, but how would I access the trade information for the past 2 trades?

[NinjaTrader_RyanM1]

Hi richp6,

Trades are put into a collection. The last two trades will be at index position Count - 1 and Count. This sample can help you work with this collection:

http://www.ninjatrader.com/support/forum/showthread.php?t=19289

Here's a useful comment from this sample that may help here:
/* The Performance.AllTrades array stores the most recent trade at the highest index value. If there are a total of 10 trades, this loop will retreive the 10th trade first (at index position 9), then the 9th trade (at 8), then the 8th trade. */

[richp6]

Thanks for your help. I got it working, and I thought I would share the code in case anyone else was interested.

for (int idx = Math.Min(Performance.AllTrades.Count, 10); idx >= 1; idx--)
{
Trade trade = Performance.AllTrades[Performance.AllTrades.Count - idx];
trade_profit = trade_profit + trade.ProfitCurrency;
if (trade.Entry.Time.Month != Time[0].Month)
{
trade_counter = 0;
trade_profit = 0;
}
Print("trade profit is " + trade_profit.ToString());
if (trade.Entry.Time.Month == Time[0].Month && trade.ProfitCurrency < 0)
{
trade_counter++;
Print("trade counter is " + trade_counter.ToString());
}
}

Then for my disqualifier I used:

if(trade_counter >= maxlosscount && trade_profit < maxloss)
{
Print("Maximum Loss for the current month has been reached");
return;
}

Rich
tradethepulse.com