PnL max loss per day & Exit delay.

[zachj]

Backtesting purposes. I'm using the script below from the Sample script for Halt Processing. I have a condition to exit by 3:55 each day and limit daily loss to 1500. Near to the last day of the backtest run period(which is a month long) a bunch of trades do not exit by the end of the day and do not exit until 2 days later on a Friday at 4pm. Any idea why it might be doing this?

 protected override void OnBarUpdate()
        { 
// At the start of a new session
if (Bars.FirstBarOfSession && FirstTickOfBar)
{
priorTradesCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
}
//// After our strategy has a PnL less than -$1500 we will stop our strategy
if (Performance.AllTrades.TradesPerformance.Currency.CumProfit - priorTradesCumProfit <= -1500)

{
/* A custom method designed to close all open positions and cancel all working orders will be called.
This will ensure we do not have an unmanaged position left after we halt our strategy. */
StopStrategy();

// Halt further processing of our strategy
return;
}
 
//Conditions for Entry here...

 
if(ToTime(Time[0]) >= 155000)
{
ExitLong(200);
}

if (Positions.MarketPosition == MarketPosition.Flat && entrySubmit)
{
// Reset our bool to false to allow for submission of our entry order
entrySubmit = false;
}
}

 
private void StopStrategy()
{
// If our Long Limit order is still active we will need to cancel it.
CancelOrder(myEntryOrder);

// If we have a position we will need to close the position
if (Position.MarketPosition == MarketPosition.Long)
ExitLong(200); 

}

[NinjaTrader_CalH]

Hi Zachj,

Thank you for posting.

What time interval are you using for the backtest?

Would you be willing to share the whole script so that I may test on my end? You may post it here or email me at Support[at]ninjatrader[dot]com if that is more comfortable.

[zachj]

Ok I just emailed it. Main timeframe is 5min with a 1min secondary. Multi-instrument, nearly 300 instruments.