Mixed time frames

[cherriman]

Hi,

I want to go long the mini-Dow if the Dow Cash closes down today compared with the previous day. Easy - Closes[1][0] < Closes[1][1]. The mini-Dow is the main instrument in the strategy.

If I base the strategy on YM minute bars and wait for after 16:00 EST, the Dow is as of the previous day since Ninja assumes that is the data I want to look at. Obviously, I can't access Closes[1][-1] as the array will not hold that data.

Would this work if I based the strategy on daily DJIA and Add(ed) 1-minute YM bars or would it look to tomorrow ?

Alternatively, could I cheat and create 1-minute DJIA data which was actually the day close -

20080228 160000;12689.28;12713.99;12463.32;12582.18;3938580
20080229 160000;12579.58;12579.58;12210.3;12266.39;4426730

Thanks,
Eric

[NinjaTrader_Ray]

Hi Eric,

Be patient with me as I try to understand what you want to do...

- You want to go long as the Cash index close of today is less than yesterday
- You want to check this condition today after 16:00 EST

Is this correct? If yes, what are your session start/end times going to be?

[cherriman]

Hi Ray,

That was quick !

You have it exactly right; if today's Cash close is below yesterday's, I want to go long the mini-Dow. I want to check this as at the Cash close (i.e. just after 4 o'clock). There are obviously certain other conditions !

I'm not sure what you mean by session start/end times so that is probably a big clue ! The position will be held from 16:00EST until it is either stopped out or hits a profit target - this could be any time throughout the night. Sorry to be a thickie - I hope that answers your question albeit indirectly.

Thanks,
Eric

[NinjaTrader_Ray]

Thanks.

Assuming DOW Mini 1 Minute is the primary series and the Daily series is added in Initialize() can you clarify why this would not work:

if (BarsInProgress == 0)
{
    if (Closes[1][0] < Closes[1][1] && ToTime(Time[0]) > 160000)
        EnterLong();
}

[cherriman]

Ray, I haven't tried your code - mine was within OnBarUpdate() - would that make a difference ?

The condition I had was
if ((Closes[1][0] < Closes[1][1]) && (ToTime(Time[0]) > ToTime(16, 00, 0)) && (ToTime(Time[0]) < ToTime(16, 10, 0))).

When I do a debug PrintWithTimeStamp, I get
03/01/2008 16:01:00 Pos Flat Dow cl 13043.96 prev 13264.82

13043.96 is the closing price of the 2nd of January, not the 3rd.

Thanks,
Eric

[NinjaTrader_Ray]

My code is for OnBarUpdate()

Not sure I follow...

If you do this:

if (BarsInProgress == 0)
    Print(Time[0].ToString() + " " + Closes[1][0])

I would expect that you get the close price of daily bars of the time stamp you printed out. Is this not the case?

[cherriman]

Hi Ray,

Tried driving this from both daily and minute perspective - I suspect that Close[0] for daily is updated at midnight ?

Here it the output from the debug code running the strategy as of 21st Feb 2008 -

29/02/2008 16:01:00 Pos Flat Dow cl 12582.18 prev 12694.28

This is the actual data
20080227;12683.54;12815.59;12527.64;12694.28;3904700
20080228;12689.28;12713.99;12463.32;12582.18;3938580
20080229;12579.58;12579.58;12210.3;12266.39;4426730

As you can see, on the 29th, Ninja assumes day 0 to be yesterday even after 16:00 EST.

I've attached my zipped strategy; I would be grateful if you could help.

Thanks,
Eric

[NinjaTrader_Ray]

Thanks. This is a limitation of NT 6.5 right now. Could you try running the strategy on a daily chart with the secondary series being the 1 minute.

Then in OnBarUpdate() just only process events for the 1 minute.

if (BarsInProgress == 1)
// Process logic

Is the daily bar now pointing to the correct day?

[cherriman]

Ray,

I don't know if I'm doing something wrong but NT is evaluating the YM price in Close[x] using the code you suggested !

I'm running the strategy against ^DJIA.

Close[x] points to YM
Closes[x][y] points to YM !

Eric

[NinjaTrader_Ray]

Right.

Should be:

Close[x]
Closes[y][x]

[cherriman]

Ray,

That refers to data one bar further back so I'm afraid we're going the wrong way !

By the way, I had assumed that Close[0] would refer to Closes[0][0] - is that incorrect ?

Thanks,
Eric

[NinjaTrader_Ray]

To be clear:

- Apply strategy on daily chart
- Strategy has a minute series added via Add() in Initialize()

if (!Historical && BarsInProgress == 1)
    Print(Times[0][0].ToString() + " " + Closes[0][0]);

[cherriman]

If that should be within OnBarUpdate() it produces no output at all.

[NinjaTrader_Ray]

That would be the case if you were backtesting...

I ran a few tests here and I don't think this is the route we should go down. We have internal limitations (which we will change later this year) in when the close of a daily bar is recognized from an intraday time frame.

What you can do is use the GetSessionBar() method which will create a virtual session bar based on your intraday data.

http://www.ninjatrader-support.com/HelpGuideV6/GetSessionBar.html

[cherriman]

Ray,

As far as I can tell from the tests I've run, the close of the daily bar doesn't occur until midnight - 8 hours after I want to test the strategy.

Can I cheat by setting up a set of minute data for the Dow cash which is just the close - e.g.

20080228 160000;12689.28;12713.99;12463.32;12582.18;3938580
20080229 160000;12579.58;12579.58;12210.3;12266.39;4426730

Would that work do you think ?

Eric