Multiple Timeframe trading back testing issues

[banach]

I am developing a strategy where I am trading on ranged bars intraday, but want to include an 7 day Average Daily Range indicator that runs on daily bars. I am seeing some odd issues with the calculation of the ADR being left at 0, while other times it calculates fine.

The indicator I am referring to is here:

http://ninjatrader.com/support/forum/showthread.php?t=15122

Then I am using it like this:

 protected override void Initialize()
 {
	Add(PeriodType.Day, 1);
	...
 }
 
 protected override void OnBarUpdate()
 {
	_stopAdr = RangePT(BarsArray[1], .1, 7).RAPT[0];
 }

However the _stopAdr above, or even the regular ADR (if I don't give the .1 percentage), ends up as 0. Is there something wrong with the code, or something with backtesting that I am doing wrong?

[NinjaTrader_MichaelM]

Hello banach,

You may see the following error in your log:
Error on calling 'OnBarUpdate' method for indicator 'YourIndicatorName' on bar 0: You are accessing an index with a value that is invalid since its out of range

Basically you are calling the indicator before the first bar of the secondary series (the 1 day series) has occurred.

Please see this working updated code:

protected override void Initialize()
{
    Overlay				= false;
	Add(PeriodType.Day, 1);
}
protected override void OnBarUpdate()
{
	if(CurrentBars[1] < 1) return;
	Print(RangePT(BarsArray[1], 0.1, 7).RAPT[0]);
}

Please let me know if you continue to experience difficulties or if I may be of further assistance.

[banach]

When I add the Overlay = false to Initialize() it won't even compile. It tells me Overlay doesnt exist in the current context.

Furthermore, when I connect to real-time data and run the strategy, the CurrentBars[1] always has a value of 0 in it, even though I am getting valid values back from the RangePT indicator for BarsArray[1].

[NinjaTrader_MichaelM]

Hello banach,

I apologize for accidentally including Overlay = false. I was testing in a slightly different setup instead and that is not relevant to your situation.

What I was trying to convey is that you have to make sure the BarsArray has at least 1 bar before passing it to the indicator.

I highly recommend reading through our Help Guide document to get better acquainted with how CurrentBars[1] works and how multi-timeframe strategies work in general: http://ninjatrader.com/support/helpG...lightsub=multi

Please make sure to check your Days To Load property in your Data Series window (Right click chart -> Data Series) to verify that you are loading more than 1 day of data, or CurrentBars[1] will never be greater than 0).

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