Automated trading for Futures

[dorony]

Hello I am trying to convert my equities strategy for futures.

When I try to run a back test it doesn't work. Can you tell me what is wrong with my code. To me it should work.

	// See the Help Guide for additional information
				IsInstantiatedOnEachOptimizationIteration	= true;
				
				AddPlot(Brushes.Orange, "PLOTA");
				AddPlot(Brushes.Green, "PLOTB");
			}
			else if (State == State.Configure)
			{
				//SetProfitTarget(CalculationMode.Currency, 5000);
				//SetStopLoss(CalculationMode.Currency, 1500);
				AddDataSeries(BarsPeriodType.Month, 1);
				AddDataSeries(BarsPeriodType.Day, 1);
			}
			else if (State == State.DataLoaded)
			{
				midbb = Bollinger(Close, 2, 20);
				SMAmonth = SMA(BarsArray[1], 5);
				DMI = DM(Close, 14);
				ATRdaily = ATR(Close, 14);
				ADXweek = ADX(BarsArray[2], 14);
				StoConfirmWeek = Stochastics(5, 15, 3);
				StoConfirmMonth = Stochastics(BarsArray[1], 5, 15, 3);
				RSIweek = RSI(Close, 5, 3);
				RSIdaily = RSI(BarsArray[2], 5, 3);
				
				
			}
		}

		protected override void OnBarUpdate()
		{
			if (CurrentBars[0] < 5 || CurrentBars[1] < 5)
				return;
			
			Values[0][0] = midbb.Middle[0];
			Values[1][0] = SMAmonth[0];
			
			if (holdValue == 0
			&& (Highs[0][4] < Highs[0][3])
			&& (Lows[0][4] > midbb.Middle[4])
			&& (Lows[0][3] > midbb.Middle[3])
			&& (Lows[0][2] > midbb.Middle[2])
			&& (Lows[0][1] > midbb.Middle[1])
			&& (Highs[0][3] > Highs[0][2])
			&& (Highs[0][3] > Highs[0][1]))
			{
				holdValue = Highs[0][3];
			}
			
	
			
			if (holdValue != 0 && Lows[0][0] < midbb.Middle[0])
			{
				holdValue = 0;
				Print("Reset of holdValue " + holdValue);
			}
			
		
			
			if (holdValue != 0)
			{
				Print("High price at last condition was " + holdValue);
			}
			
			if ((holdValue > midbb.Middle[0])
			&& (Lows[1][2] >= SMAmonth[2])
			&& (Lows[1][1] >= SMAmonth[1])
			&& (Lows[1][0] >= SMAmonth[0])
			&& (holdValue != 0)
			//&& (ATRdaily[0] >= .75)
			&& (RSIweek[0] >= 75)
			//&& (RSIdaily[0] >= 75)
			//&& (Slope(DMI.DiPlus, 1, 0) > 1)
			//&& (Slope(DMI.DiMinus, 1, 0) < -1)
			//&& (DMI.DiPlus[0] >= 50)
			//&& (StoConfirmWeek.K[0] > StoConfirmWeek.D[0])
			//&& (StoConfirmMonth.K[0] > StoConfirmMonth.D[0])
			&& (Highs[0][0] > holdValue))
			{
				int myQuantity = (int) ((1200)/(holdValue - midbb.Middle[0]));
				EnterLong(1, @"");
				holdValue = 0;
			} else if (holdValue != 0 && Highs[0][0] > holdValue + .02)
			{
				holdValue = 0;
				Print("Reset of holdValue" + holdValue);
			}
			
			if (Lows[0][0] < SMAmonth[0])
			{
				ExitLong();
			}
			
			if (holdValueShort == 0
			&& (Lows[0][4] > Lows[0][3])
			&& (Highs[0][4] < midbb.Middle[4])
			&& (Highs[0][3] < midbb.Middle[3])
			&& (Highs[0][2] < midbb.Middle[2])
			&& (Highs[0][1] < midbb.Middle[1])
			&& (Lows[0][3] < Lows[0][2])
			&& (Lows[0][3] < Lows[0][1]))
			{
				holdValueShort = Lows[0][3];
			}
			
			if (holdValueShort != 0 && Highs[0][0] > midbb.Middle[0])
			{
				holdValueShort = 0;
				Print("Reset of holdValueShort " + holdValueShort);
			}
			
			
			if (holdValueShort != 0)
			{
				Print("Low price at last condition was " + holdValueShort);
			}
			
			if ((holdValueShort < midbb.Middle[0])
			&& (Highs[1][2] <= SMAmonth[2])
			&& (Highs[1][1] <= SMAmonth[1])
			&& (Highs[1][0] <= SMAmonth[0])
			&& (holdValueShort != 0)
			//&& (ATRdaily[0] >= .75)
			&& (RSIweek[0] <= 25)
			//&& (RSIdaily[0] <= 25)
			//&& (Slope(DMI.DiPlus, 1, 0) < -1)
			//&& (Slope(DMI.DiMinus, 1, 0) > 1)
			//&& (DMI.DiMinus[0] >= 50)
			//&& (StoConfirmWeek.K[0] < StoConfirmWeek.D[0])
			//&& (StoConfirmMonth.K[0] < StoConfirmMonth.D[0])
			&& (Lows[0][0] < holdValueShort))
			{
				int myQuantity = (int) ((1200)/(midbb.Middle[0]) - holdValue);
				EnterShort(1, @"");
				holdValueShort = 0;
			} else if (holdValueShort != 0 && Lows[0][0] < holdValueShort - .02)
			{
				holdValueShort = 0;
				Print("Reset of holdValueShort" + holdValueShort);
			}
			
			if (Highs[0][0] > SMAmonth[0])
			{
				ExitShort();
			}
		}
	}
}

[NinjaTrader_PaulH]

Hello dorony,

Thanks for your post.

As a check of your data, please run the strategy SampleMACrossover on the same data and the same period. If the strategy places orders then that would confirm you have the data for the instrument.

When you run the strategy in the analyzer, do you see any error messages listed in the "log" tab of the control center related to the strategy?

It appears the strategy is adding Monthly bars and daily bars, what bars are you setting the strategy on in the analyzer (I'm referencing these as chart bars)?

Does your analysis period exceed the current bars check considering whatever the chart bars are and the 5 months of monthly bars?

You have a few print statements, do you see any print output?