Help with simple strategy - break of previous daily close

[omermirza]

Hi all,

I have a simple strategy that compiles successfully however it does not show entry and exits on my chart.

The strategy goes long after the break of the previous close to the up side and exits at 4:55 pm.

Any idea what could be causing this?

Code is below:

#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 BreakofClose : Strategy
{
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "BreakofClose";
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 = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
}
}

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

if (CurrentBars[0] < 1)
return;

// Set 1
if (CrossAbove(Close, Close, 1))
{
EnterLong(Convert.ToInt32(DefaultQuantity), "");
}

// Set 2
if (Times[0][0].TimeOfDay == new TimeSpan(16, 55, 0))
{
ExitLong(Convert.ToInt32(DefaultQuantity), "", "");
}

}
}
}

[NinjaTrader_ChrisL]

Hello omermirza, thanks for writing in.

Your entry condition is never getting reached: CrossAbove(Close, Close, 1)

The CrossAbove method needs two distinct series because it checks for the following: Series1[0] > Series2[0] && Series1[1] < Series2[1]

Consider checking the Close against a different series, like the High or Low series. E.g. to check if the Close went above the High of last bar:

if(CurrentBar < 1) return;

if (Close[0] > High[1] && Position.MarketPosition == MarketPosition.Flat)
{
Print("Condition True");
EnterLong(Convert.ToInt32(DefaultQuantity), "");
}

When you get unexpected results like this, always use the Print method to print data from your script to see if the entry conditions are becoming true or not.

Please let me know if any further questions come up.

[omermirza]

Hello omermirza, thanks for writing in.

Your entry condition is never getting reached: CrossAbove(Close, Close, 1)

The CrossAbove method needs two distinct series because it checks for the following: Series1[0] > Series2[0] && Series1[1] < Series2[1]

Consider checking the Close against a different series, like the High or Low series. E.g. to check if the Close went above the High of last bar:

if(CurrentBar < 1) return;

if (Close[0] > High[1] && Position.MarketPosition == MarketPosition.Flat)
{
Print("Condition True");
EnterLong(Convert.ToInt32(DefaultQuantity), "");
}

When you get unexpected results like this, always use the Print method to print data from your script to see if the entry conditions are becoming true or not.

Please let me know if any further questions come up.

HI Chris,

There's no way to check if the current price crossed above the close of the previous bar?

-Omer

[NinjaTrader_ChrisL]

Hello Omer, thanks for your reply.

That would look like this:

if(Close[0] > Close[1])
{ //... }