Entry not triggering at the MACD Crossover

[pyraxic]

I'm trying to enter a trade as soon as the MACD Crossover occurs but the strategy is entering a bar later see attached screenshots. I have set MACD at bars 0 and crossover is happening between MACD and Avg. Is there a way to set it so I am able to enter the long position as soon as the crossover happens?

[s.kinra]

Hello pyraxic,
It seems you're using Calculate = Calculate.OnBarClose in your strategy, change it to Calculate = OnEachTick or OnPriceChange. It should work as expected.
Hope it helps!

[pyraxic]

Thank you. I tried using OnPriceChange and OnEachTick but it's still entering the trade 1 bar late.

[s.kinra]

Hello pyraxic,
Here you get a sample macd cross strategy, it will plot arrow up / down on your chart @ macd cross signal. For me I can't see the lag as you're getting, you can test this with your parameters & confirm. I've used standard parameters which you can change as per your need. Also attaching the snapshot for reference.
[ATTACH]n1127583[/ATTACH]

[pyraxic]

Can you share the strategy you are using? I see the long/short at the correct bar. I would like to see what you are using in your strategy that I may not be using.

[s.kinra]

Hello pyraxic,
I attached it but it seems some issue, let me attach it again. Here you get it.
SampleMACDcross.zip

[s.kinra]

Hello pyraxic,
Just one thing I am suspecting is that after making the change to Calculate = Calculate.OnEachTick you must reset your strategy or you can remove it & add again on your charts. Any changes made to State.SetDefaults don't reflect by refresh (F5).

[pyraxic]

Odd. I am using your strategy and it still enters long one bar late (see attached)

[NinjaTrader_ChelseaB]

Hello pyraxic,

s.kinra would be correct in that Calculate would need to be .OnEachTick.

Below is a link to a forum post that discusses this.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/96317-enterlong-is-delayed-by-1-bar?p=782992#post782992

I would expect that in real-time data, orders would appear on the same bar the cross occurred on.

In your screenshot are these real-time orders or historical orders?

That said, in historical data, TickReplay (using historical tick data) would also be required for the historical orders to also be placed intra-bar.

[s.kinra]

Hello pyraxic,
Can you share your strategy? Also, I would like to know when you used my sample strategy are you facing any issue like lag ?

[pyraxic]

I'm probably doing something terribly wrong. I am apparently taking a lot of trades using OnEachTick (see attached)

[pyraxic]

Hello pyraxic,
Can you share your strategy? Also, I would like to know when you used my sample strategy are you facing any issue like lag ?

I'm not seeing the lag anymore. It seems that I am taking a lot of trades I mentioned above.

[s.kinra]

It seems you're able to get rid of lag. You can place orders within a condition to avoid this. Use if loop is first tick of bar & place orders in this loop so your order is placed only once per bar.

[pyraxic]

If I wrap it inside the IsFirstTickOfBar, it doesn't trigger buy orders every time it crosses. The strategy entered 4 trades in past 15 days.

protected override void OnBarUpdate()
{
  if (BarsInProgress != 0)
    return;

  if (CurrentBars[0] < 1)
    return;

  if(IsFirstTickOfBar) {
    if (CrossAbove(MACD1.Default, MACD1.Avg, 1))
    {
      EnterLong(Convert.ToInt32(DefaultQuantity), @"Long");
    }
  }
}

[s.kinra]

Hello,
You need to loop as below:

if (CrossAbove(MACD1.Default, MACD1.Avg, 1))
{[INDENT]if(IsFirstTickOfBar)
{[/INDENT][INDENT=2]EnterLong(Convert.ToInt32(DefaultQuantity), @"Long");[/INDENT][INDENT]}[/INDENT]
 }