Stop loss backtesting not working

[Mario1983]

Good evening,

i'm trying to backtest a MACD crossover strategy created with the strategy wizard.
The strategy works but the stop loss doesn't seem to function.
Can anyone help me, I'm using Ninjatrader 7.
This is the generated code from the wizard:


// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class MACDCrossing : Strategy
{
#region Variables
// Wizard generated variables
private int myInput0 = 1; // Default setting for MyInput0
// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
SetStopLoss("CrossoverLong", CalculationMode.Percent, 5, false);

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (CrossAbove(MACD(12, 26, 9), MACD(12, 26, 9).Avg, 1))
{
EnterLong(DefaultQuantity, "CrossoverLong");
}

// Condition set 2
if (CrossBelow(MACD(12, 26, 9), MACD(12, 26, 9).Avg, 1))
{
ExitLong("", "");
}
}
ecc.

[NinjaTrader_PaulH]

Hello Mario1983,

Thanks for your post and welcome to the forums!

As you are using the CalculationMode.Percent, the input value should be 0.05 for 5%.

[Mario1983]

Good evening,

I have changed the value from 5 to 0.05 but it doesn't work.
Can you help me?
Perhaps I have set something wrong in the entry signal.

[NinjaTrader_PaulH]

Hello Mario1983,

Thanks for your reply.

Can you clarify that you are or are not seeing entries?

What instrument are you testing the strategy on?

I see that you are using the signal name of CrossoverLong but you are not using that signal name for your ExitLong().

Can you provide a screenshot of your strategy on a chart that shows an entry (and any exits)?

[Mario1983]

Good morning,

1)I can observe entry and exit on the chart, only the stop loss doesn't work properly.
2)I am testing the strategy on some yahoo finance imported stocks from FTSEMIB.
In the afternoon I will post the chart with entry and exit points.

Regards

[Mario1983]

Backtesting stop loss

Good afternoon,

I've fixed the problem. Here the new code:
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class MACDCrossing : Strategy
{
#region Variables
// Wizard generated variables
private double stopLoss = 0.05; // Default setting for StopLoss
// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
SetStopLoss("CrossoverLong", CalculationMode.Percent, StopLoss, false);

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (CrossAbove(MACD(12, 26, 9), MACD(12, 26, 9).Avg, 1))
{
EnterLong(DefaultQuantity, "CrossoverLong");
}

// Condition set 2
if (CrossBelow(MACD(12, 26, 9), MACD(12, 26, 9).Avg, 1))
{
ExitLong("ExitLong", "CrossoverLong");
}
}

#region Properties
[Description("")]
[GridCategory("Parameters")]
public double StopLoss
{
get { return stopLoss; }
set { stopLoss = Math.Max(0.001, value); }
}
#endregion

Regards