BarsSinceNewTradingDay can be NEGATIVE 10,000+ in genetic optimization+etc

[nathanfranke]

Optimization configuration excluding defaults:

Test Param: Does nothing, 100 values to optimize
Instrument: MES, Last 5 minutes
Time frame: 2023-01-01 to 2023-05-01
Optimizer: Genetic
GO Generation size: 5 (CANNOT reproduce when size*generations > optimization value count, same with default optimizer)

IsInstantiatedOnEachOptimizationIteration=false seems to be important (EDIT: Maybe not)

Strategy code:

namespace NinjaTrader.NinjaScript.Strategies
{
    public class MyCustomStrategy : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "MyCustomStrategy";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = true;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = false;
                MaximumBarsLookBack                            = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                StartBehavior                                = StartBehavior.WaitUntilFlat;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = true;
                RealtimeErrorHandling                        = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 20;
                IsInstantiatedOnEachOptimizationIteration    = false;
            }
            else if (State == State.Configure)
            {
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBars[0] < BarsRequiredToTrade)
                return;

            PrintTo = PrintTo.OutputTab2;
            Print(Bars.BarsSinceNewTradingDay);
            PrintTo = PrintTo.OutputTab1;
​
            if (MACD(12, 26, 9).Diff[0] > 0.0)
            {
                EnterLong(1);
            }
            else
            {
                ExitLong(1);
            }
        }

        #region Properties

        [NinjaScriptProperty]
        [Display(Name="Test", Order=1, GroupName="Parameters")]
        public int Test
        { get; set; }

        #endregion
    }
}​

Output:

...
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
-22975
-22974
-22973
-22972
-22971
-22970
-22969
-22968
-22967
-22966
-22965
-22964
-22963
-22962
-22961
-22960
-22959
...​

Workaround:

        private int GetBarsSinceTradingDay(int barsInProgress)
        {
            Bar lastDay = BarsArray[barsInProgress].GetDayBar(1);
            if (lastDay != null)
            {
                return CurrentBars[barsInProgress] - BarsArray[barsInProgress].GetBar(lastDay.Time) - 1;
            }
            else
            {
                return CurrentBars[barsInProgress];
            }
        }
​

Edit: Just use the workaround described by QuantKey_Bruce

[QuantKey_Bruce]

nathanfranke You're absolutely right and I can reproduce this.

NinjaTrader needs to add guard code to check for the situation where there has not been a new trading day yet, or to assume that the first bar of the series is the start of a new trading day.

Good catch.

[QuantKey_Bruce]

nathanfranke Also, I just want to point out that (and I know you're just trying to demonstrate the problem here, but... while you're waiting for a fix...) GetDayBar by a time is absolutely dog slow. I'm sure you have noticed this - it's impossible to miss how much slower the optimizer runs with that in there. What you may want to do instead, while you're waiting for them to fix this, is like this, using IsFirstBarOfSession which is lightning fast:

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
    public class MyCustomStrategy : Strategy
    {
        private int SessionStartBar0 = -1;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "MyCustomStrategy";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = true;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = false;
                MaximumBarsLookBack                            = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                StartBehavior                                = StartBehavior.WaitUntilFlat;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = true;
                RealtimeErrorHandling                        = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 20;
                IsInstantiatedOnEachOptimizationIteration    = false; // Important
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBars[0] < BarsRequiredToTrade)
                return;

            // this way is efficient - GetDayBar is dog slow
            if (SessionStartBar0 < 0 || Bars.IsFirstBarOfSession) SessionStartBar0 = CurrentBars[0];
            int BarsSinceNewTradingDay = CurrentBars[0] - SessionStartBar0;

            PrintTo = PrintTo.OutputTab2;
            Print(Bars.BarsSinceNewTradingDay + "  <-> " + BarsSinceNewTradingDay);
            PrintTo = PrintTo.OutputTab1;
        }

        #region Properties
        [NinjaScriptProperty]
        [Display(Name="Test", Order=1, GroupName="Parameters")]
        public int Test
        { get; set; }
        #endregion
    }
}​​

The problem is in the bar code not the trading code itself so no trades are required to demonstrate.

As an aside, whatever NinjaTrader is doing internally for BarsSinceNewTradingDay should probably be chucked and just replaced with this type of approach if figuring out the right guard takes more time. It's a two-liner and runs in essentially zero time.

[NinjaTrader_BrandonH]

Hello nathanfranke,

Thanks for your post.

I was able to reproduce the behavior you are reporting.

We will be investigating this behavior further and I will reach out to you with more information as soon as it is available.

Thanks for reporting this behavior.

[NinjaTrader_BrandonH]

Hello nathanfranke,

I have reported the issue to the Development team so that they may look into the cause of this behavior.

I will reach back out to you with more information as soon as the Development team gets back to me with their findings.

Thanks for your patience.

[wzgy0920]

Confirming I have faced this issue. Please see https://forum.ninjatrader.com/forum/...18#post1271518

[NinjaTrader_BrandonH]

Hello wzgy0920,

Thanks for your note.

A fix for this behavior will be implemented by the Development team in the next major version release of NinjaTrader 8.

We do not have an ETA for when the next major version will be released at this time.