Secondly when running this the 1 week 9 period ATR comes out to 184.25? Seems a bit high. I'm converting from Thinkorswim and seeing 103.5
Lastly I noted the bar array values at the AddDataSeries, just want to verify that's the correct way to call them out? I thought they started at Array[0] being the primary data series.
Edit: changed the value of the regression channel width to Math.SQRT(std_deviation) and the strategy won't run citing Error on calling 'OnStateChange' method: Object reference not set to an instance of an object. But I'm not seeing where something's not set?
Commenting out the RegressionChannel1 variable then results in
#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 SupportingFuzzy : Strategy { private Indicators.RegressionChannel RegressionChannel1; private ATR ATR1; private ATR ATR2; private ATR ATR3; private ATR ATR4; private ATR ATR5; private Indicators.VWAP8 VWAP; private Indicators.StdDev std_deviation; protected override void OnStateChange() { if (State == State.SetDefaults) { Description = @"SupportingFuzzy"; Name = "SupportingFuzzy"; Calculate = Calculate.OnBarClose; EntriesPerDirection = 1; EntryHandling = EntryHandling.AllEntries; IsExitOnSessionCloseStrategy = true; ExitOnSessionCloseSeconds = 30; IsFillLimitOnTouch = false; MaximumBarsLookBack = MaximumBarsLookBack.Infinite; OrderFillResolution = OrderFillResolution.Standard; Slippage = 0.25; StartBehavior = StartBehavior.WaitUntilFlat; TimeInForce = TimeInForce.Gtc; TraceOrders = false; RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose; StopTargetHandling = StopTargetHandling.PerEntryExecution; BarsRequiredToTrade = 75000; // Disable this property for performance gains in Strategy Analyzer optimizations // See the Help Guide for additional information IsInstantiatedOnEachOptimizationIteration = true; } else if (State == State.Configure) { AddDataSeries(Data.BarsPeriodType.Minute, 1); // Array[1] AddDataSeries("ES 09-21", Data.BarsPeriodType.Minute, 15, Data.MarketDataType.Last); // Array[2] AddDataSeries("ES 09-21", Data.BarsPeriodType.Minute, 60, Data.MarketDataType.Last); // Array[3] AddDataSeries("ES 09-21", Data.BarsPeriodType.Minute, 240, Data.MarketDataType.Last); // Array[4] AddDataSeries("ES 09-21", Data.BarsPeriodType.Week, 1, Data.MarketDataType.Last); // Array[5] } else if (State == State.DataLoaded) { int std_period = 6900; ATR1 = ATR(Closes[1], 9); ATR2 = ATR(Closes[2], 9); ATR3 = ATR(Closes[3], 9); ATR4 = ATR(Closes[4], 9); ATR5 = ATR(Closes[5], 9); VWAP =VWAP8(Closes[0]); std_deviation =StdDev(BarsArray[0],std_period); RegressionChannel1 = RegressionChannel(Closes[1], std_period, Math.Sqrt(std_deviation[0])); } } int i = 0; protected override void OnBarUpdate() { if (CurrentBars[0] < BarsRequiredToTrade) return; if (CurrentBars[0] < 1 || CurrentBars[1] < 0 || CurrentBars[2] < 0 || CurrentBars[3] < 0 || CurrentBars[4] < 0 || CurrentBars[5] < 0) return; // Set 1 i = i++; Print(Time[0]); Print("iteration: " +i); Print("1 min ATR: " + ATR1[0]); Print("15 min ATR: " + ATR2[0]); Print("60 min ATR: " + ATR3[0]); Print("4 hr ATR: " + ATR4[0]); Print("1 week ATR: " + ATR5[0]); Print("Close 1 bar ago - min: " + Close[1]); Print("Close 1 bar ago - 15m: " + Closes[1][1]); Print("Close 1 bar ago - hour: " + Closes[2][1]); Print("Close 1 bar ago - 4 hr: " + Closes[3][1]); Print("Close 1 bar ago - week: " + Closes[4][1]); Print("VWAP: " + VWAP[0]); Print("STD Dev: " +std_deviation[0]); Print("Regression Channel Upper: " + RegressionChannel1.Upper[0]); Print("Regression Channel Lower: " + RegressionChannel1.Lower[0]); // if ((RegressionChannel1.Lower[0] == Low[0]) // && (ATR1[0] != Low[0]) // && (ATR2[0] == Highs[2][0]) // && (ATR3[0] == Closes[4][0]) // && (ATR4[0] == Lows[3][0]) // && (ATR5[0] == Lows[5][0])) // { // EnterLongLimit(Convert.ToInt32(DefaultQuantity), RegressionChannel1.Lower[0], ""); // } } } } }
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