SetTrailStop & Multi-Time-Frame (MTF)

[tulx2305]

Dear Support,

i have the following problem in the backtesting:

When i use a SetTrailStop without MTF, the trailing stop works fine.
When i add a second timeframe in the strategy, the trailing stop no longer works correct on the primary time frame.

What make i wrong? I note this NT information:
Should you call this method to dynamically change the trail stop price in the strategy OnBarUpdate() method, you should always reset the trail stop price/offset value when your strategy is flat otherwise, the last price/offset value set will be used to generate your trail stop order on your next open position

How can i reset the trail stop price/offset value?


Example trail stop without MTF: - working fine
----------------------------------------------------------------------------------------------------------
protected override void Initialize()
{
CalculateOnBarClose = true;
}
protected override void OnBarUpdate()
{
if(CCI(20)[0] > 200 && Position.MarketPosition == MarketPosition.Flat)
{
EnterLong(DefaultQuantity, "OpenLong");
SetTrailStop("OpenLong", CalculationMode.Ticks, 20, true);
}
}

Example trail stop with MTF: - not work
----------------------------------------------------------------------------------------------------------
protected override void Initialize()
{
CalculateOnBarClose = true;
Add(PeriodeType.Minute, 3);
}
protected override void OnBarUpdate()
{

if (BarsInProgress == 1)
return;

if(CCI(BarsArray[0], 20)[0] > 200 && Positions[0].MarketPosition == MarketPosition.Flat)
{
EnterLong(0, DefaultQuantity, "OpenLong");
SetTrailStop("OpenLong", CalculationMode.Ticks, 20, true);
}
}


Many thanks in advance.

[NinjaTrader_ChelseaB]

Hello tulx2305,

Thank you for your note.

I was able to test your code and verify that the stop loss gets set correctly and does exit the position after 20 ticks of down movement.

Please send me some examples of values the the price hit and the values the stop loss should have exited your position.

If you can, let me know of a reproducible scenario I can test with. Such as a specific date and time in historical data or with the Market Replay.

I look forward to assisting you further.

[NinjaTrader_ChelseaB]

Hello tulx2305,

Thank you for sending the screenshots.

When back testing over historical data, bars will only have Open, High, Low, and Close data. This means some bar types such as renko, a tick based bar type, are not going to have the same fill results.

The solution for this is to use the Market Replay which uses live data or use Intrabar Granularity to add a second data series to your strategy.

Below is a link to another forum thread that discusses Intrabar Granularity. In post #12, Brett goes over Renko bars on Multi-Time Frame in back testing.
http://www.ninjatrader.com/support/f...ad.php?t=49420

Also, here is a link to a working reference sample that demostrates intrabar fill.
http://www.ninjatrader.com/support/f...ead.php?t=6652

How can i reset the trail stop price/offset value?

Calling SetTrailStop will allow you to modify the price or tick offset of the trail. The current distance the trail is at will be reset once the position is flat.

Please let me know if I can be of further assistance.