CrossAbove() seemingly not working right in some instance

[cmarkb]

Hi,

We're using CrossAbove() with stochastics in our strategy in backtesting and observed that sometimes it doesn't return true when it should have (based on visuals) and in one instance it seems to have gotten triggered twice.

Here is the settings:




These two I thought it should've returned true. I use the values in Crossed Above 1.






--------------------------------------------------------------
--------------------------------------------------------------


In this one Crossed Above 1 appears to return true twice in succession but visually it shouldn't have.




------------------------------------------------------------------
------------------------------------------------------------------


Here is the test strategy that prints out log of CrossAbove() and CrossBelow() results along with stochastics D and K values for bars ago 0, 1, and 2.

namespace NinjaTrader.NinjaScript.Strategies
{
public class TestCrossAbove : Strategy
{
private Stochastics stochastics;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"TestCrossAbove";
Name = "TestCrossAbove";
Calculate = Calculate.OnEachTick;
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;
IsUnmanaged = true;
}
else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Minute, 1);
AddDataSeries(Data.BarsPeriodType.Tick, 1);
}
else if (State == State.DataLoaded)
{
stochastics = Stochastics(BarsArray[0], 10, 10, 6);
stochastics.Lines[0].Value = 30;
stochastics.Lines[1].Value = 70;
stochastics.Plots[0].Brush = Brushes.DodgerBlue;
stochastics.Plots[1].Brush = Brushes.Goldenrod;
AddChartIndicator(stochastics);
}
}

protected override void OnBarUpdate()
{
if (BarsInProgress == 0 && CurrentBar < 10) return;

if (BarsInProgress == 0 && IsFirstTickOfBar)
{
bool crossedAbove0 = CrossAbove(stochastics.K, stochastics.D, 0);
bool crossedAbove1 = CrossAbove(stochastics.K, stochastics.D, 1);
bool crossedBelow0 = CrossBelow(stochastics.K, stochastics.D, 0);
bool crossedBelow1 = CrossBelow(stochastics.K, stochastics.D, 1);
Print(String.Format("{0:dd/MM/yyyy HH:mm:ss.ffffff}", Bars.GetTime(CurrentBar)) + " >>> " +
", Crossed Above 0: " + crossedAbove0 +
", Crossed Above 1: " + crossedAbove1 +
", Crossed Below 0: " + crossedBelow0 +
", Crossed Below 1: " + crossedBelow1 +
", Stochs.D[0]=" + stochastics.D[0] + ", Stochs.D[1]=" + stochastics.D[1] + ", Stochs.D[2]=" + stochastics.D[2] +
", Stochs.K[0]=" + stochastics.K[0] + ", Stochs.K[1]=" + stochastics.K[1] + ", Stochs.K[2]=" + stochastics.K[2]);
}
}
}
} 

[NinjaTrader_ChelseaB]

Hello cmarkb,

Below is a link to a forum post that demonstrates how to print the previous bar values for two series and the current bars values for two series to see if these have crossed.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

To save the output from the NinjaScript Output window so that you can share this, right-click the output window -> select Save As -> give the file a name -> click Save.

To export a NinjaTrader 8 NinjaScript so this can be shared and imported by the recipient do the following:

1. Click Tools -> Export -> NinjaScript...
2. Click the 'add' link -> check the box(es) for the script(s) and reference(s) you want to include
3. Click the 'Export' button
4. Enter a unique name for the file in the value for 'File name:'
5. Choose a save location -> click Save
6. Click OK to clear the export location message

By default your exported file will be in the following location:

• (My) Documents/NinjaTrader 8/bin/Custom/ExportNinjaScript/<export_file_name.zip>

Below is a link to the help guide on Exporting NinjaScripts.
http://ninjatrader.com/support/helpG...-us/export.htm


Are you certain this is the code you are running?

Are you using 8.0.24.2?

If you print just the Time, BarsInProgress, and IsFirstTickOfBar without anything else, are you seeing IsFirstTickOfBar is true twice for the same BarsInProgress on the same bar?

[cmarkb]

Hi ChelseaB,

> Are you certain this is the code you are running?
Yes. I reran it today and checked the areas I had in screenshot in my last post and the issue is still there.

> Are you using 8.0.24.2?
Currently using 8.0.23.2. Will try updating and retesting after this submitting this reply.

> If you print just the Time, BarsInProgress, and IsFirstTickOfBar without anything else, are you seeing IsFirstTickOfBar is true twice for the same BarsInProgress on the same bar?
Are you referring to my 3rd screenshot, the on on 2021/03/19 22:05 and 22:10? Not on the same bar. Just on two bars right next to each other.
I've edited the script to just print Time, IsFirstTickOfBar and BarsInProgress and both 22:05 and 22:10 only had IsFirstTickOfBar=Yes once at the very first one.
But in the chart though K% only crossed once so shouldn't in only be true for only one of them? Or am I wrong about this?

I've attached the script and both logs -- one with the CrossAbove,CrossBelow, stochastic values and the one with just Time,IsFirstTickOfBar, and BarsInProgress.

Thanks.

[cmarkb]

I've updated to NT 8.0.24.2 and reran the script. The result is the same.

[NinjaTrader_ChelseaB]

Hello cmarkb,

Your code has bool crossedBelow1 = CrossBelow(stochastics.K, stochastics.D, 1);.

Do note that you are looking at the first tick of a new bar. This means the plot on that bar is going to have a different value once that bar closes.

To confirm you inquiry is with the specific output at 22:

19/03/2021 22:05:00.000000 >>> , Crossed Above 0: False, Crossed Above 1: True, Crossed Below 0: False, Crossed Below 1: False, Stochs.D[0]=15.2438931391159, Stochs.D[1]=19.4992271681041, Stochs.D[2]=25.5415744126917, Stochs.K[0]=16.0744857371373, Stochs.K[1]=11.5305030064304, Stochs.K[2]=7.38843823634629
19/03/2021 22:10:00.000000 >>> , Crossed Above 0: False, Crossed Above 1: True, Crossed Below 0: False, Crossed Below 1: False, Stochs.D[0]=11.914744385461, Stochs.D[1]=14.9686637813177, Stochs.D[2]=19.4992271681041, Stochs.K[0]=15.1997431795639, Stochs.K[1]=13.3221921591557, Stochs.K[2]=11.5305030064304

22:05:00 - Stochs.D[0]: 15.2438931391159 < Stochs.K[0]: 16.0744857371373 && Stochs.D: 19.4992271681041 > Stochs.K[1]: 11.5305030064304

15.24 is less than 16.07 and 19.49 is greater than 11.53

22:10:00 - Stochs.D[0]: 11.914744385461 < Stochs.K[0]: 15.1997431795639 && Stochs.D: 14.9686637813177 > Stochs.K[1]: 13.3221921591557

11.91 is less than 15.19 and 14.96 is greater than 13.32.

As far as I can tell, on the very first tick of this bar, there was a cross on both bars right when the bar was opening. Later while that bar was open it may have reversed and longer been a cross.

[cmarkb]

Hi ChelseaB,

Thanks for the reply.

> Do note that you are looking at the first tick of a new bar. This means the plot on that bar is going to have a different value once that bar closes.
> As far as I can tell, on the very first tick of this bar, there was a cross on both bars right when the bar was opening. Later while that bar was open it may have reversed and longer been a cross.

I see now that the current forming bar [0] shouldn't be include in the CrossAbove() call. So my solution is to add two Series<double> for the K% and D% and do something like:

stochsK[0] = stochastics.K[1];
stochsD[0] = stochastics.D[1];
bool crossedAbove = CrossAbove(stochsK, stochsD, 1); 

This seems to solve my issues. The parts that weren't triggered were now triggering and that one instance with two successive bar triggers now only does it once.

Thanks again.