Multi time-frame prior highs/lows

[brucelevy]

I want to put the stop loss below the prior days low. However in back testing it does not exit the long position at the prior days low.

protected override void Initialize()
{

Add(PeriodType.Minute, 60);
Add(PeriodType.Minute, 1440);
}

protected override void OnBarUpdate()
{

if (Position.MarketPosition == MarketPosition.Long)
{
SetStopLoss("L1",CalculationMode.Price, Lows[2][1],false);
}
}

[brucelevy]

So it seems Lows[2][1] is taking the low from 2 days ago? I changed it to Lows[2][0] and its taking the prior days low.

Is this due to CalculateOnBarClose = true; ?

[NinjaTrader_ZacharyG]

Hello brucelevy,

Thank you for writing in.

You would be correct here. Because backtests will run with calculate on bar close set to true, the reason why the index value of 0 is obtaining the previous low is because the current bar has not yet closed.

You can see this on a daily chart with a simple indicator that just prints Close[0].

Upon changing the indicator's calculate on bar close to false, you'll see it'll give the Close value of the most recent bar on your chart.