Tweaking a Strategy

[mikeghen]

Hello,

This is my first time posting a question so you'll have to excuse me if I accidentally leave out some relevant information.

I have a strategy that is essentially a simple stochastic cross over strategy. I'd like to preface the code by saying that it might look goofy. That is because I was really hacking around trying to get it to behave as desired. Here is some code:

/// <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;
			ExitOnClose = false;                       // We do not want to exit on close
			Add(Stochastics(periodD, periodK, smooth));// We want to see the Stochastics on the chart  	
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
			// If we're flat, just get us in the market
			if(Position.MarketPosition == MarketPosition.Flat)
			{
				EnterShort();
			}
			
			// If the D value of the stochastic has crossed above our topThrs
			if( CrossAbove(Stochastics(periodD,periodK,smooth).D,(double) topThrs, 1))
			{	
				// Next amount to long by will be 1
				j=1;
				// Trigger OnPositionUpdate
				Position.Close();
				// Next amount to short will be the current amount + 1
				i++;	
			}
			// If the D value of the stochastic has crossed below our botThrs
			if( CrossBelow(Stochastics(periodD,periodK,smooth).D, (double) botThrs,1))
			{	
				// Next amount to short by will be 1
				i=1;
				// Trigger OnPositionUpdate
				Position.Close();
				// Next amount to loong will be the current amount + 1
				j++;
			}
			
        }
		
		// When our position updates, enter a long or short at the desired position value
		protected override void OnPositionUpdate(IPosition position)
		{
			if(Position.MarketPosition == MarketPosition.Flat)
			{
				// If the D value of the stochastic has crossed above our topThrs
				if( CrossAbove(Stochastics(periodD,periodK,smooth).D,(double) topThrs, 1))
				{
					EnterShort(i);
				}
				// If the D value of the stochastic has crossed below our botThrs
				if( CrossBelow(Stochastics(periodD,periodK,smooth).D, (double) botThrs,1))
				{
					EnterLong(j);
				}
			}
			
		}

This strategy uses

Position.Close()

to trigger

OnPositionUpdate()

. It is from inside this function that I was able to enter the market at the position and quantity I wanted. However, this produced a negative side effect.

Attached is a photo of how this strategy trades. I would like to NOT have to close my positions to put myself in a new position. I'd like to be able to enter a +1 position at the first cross below, then at another cross below, enter +2, then at the next cross below +3 and finally, at the cross ABOVE, enter -1.

I hope that this text and attached photo is enough but please ask for more information if needed. Thank you in advanced!

[mikeghen]

Point of Clarification

Attached is a photo of how this strategy trades. I would like to NOT have to close my positions to put myself in a new position. I'd like to be able to enter a +1 position at the first cross below, then at another cross below, enter +2, then at the next cross below +3 and finally, at the cross ABOVE, enter -1.

To clarify, I simply want to add one "Long" to my position every time it Crosses Below the Bottom Threshold in a row, uninterrupted by a Cross Above of the top Threshold. This would mean on the third consecutive cross below I would own 3 Long positions.

Thanks again.

[NinjaTrader_Lance]

Hello and welcome to the forum!

First thing I wanted to point out is a common misunderstanding about how Initialize() can be called at times when you might not expect. Because of this we do not support the dynamic adding to a chart like this

Add(Stochastics(periodD, periodK, smooth));

Instead you'll want to hard code these values. It can still work but we don't support it because unexpected results can arise when using inputs for values in Initialize()

In terms of order handling, if you're wanting to have multiple entries in the same direction you will need to change the EntriesPerDerection (can be done through the strategy interface, the default can be hard coded)

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?entryhandling.htm

Calling EnterLong() or EnterShort() will first check to see if the position is currently flat. If its not flat and is in the oposite direction it will first close the position with a market order and then re-enter the opposite direction with the market order.

From the sounds of it you could set entries per direction to 3

Use EnterLong() on each cross below and EnterShort() on each cross above.

I don't see any reason to use OnPositionUpdate() in this example and it sounds like everything could be contained within OnBarUpdate()

If you're looking to get into more advanced order handling I'd suggest looking at this example: http://www.ninjatrader.com/support/f...ead.php?t=7499

Let me know if I can be of further assistance.