Entry and exit on the same day backtest

[Peppo]

Hi all,

I would be interested in backtesting a very simple strategy consisting in taking the trade at the open and exiting at close on daily bars.

I had a look to this thread:

https://ninjatrader.com/support/forum/forum/ninjatrader-7/general-development/62753-entering-and-exiting-on-the-same-day#post588227

and it looks like it is possible to enter and exit the same day by using the unmanaged approach in NinjaTrader 7.

I have tried to follow the same method in NinjaTrader 8 with unmanaged strategy but I didn't get the expected results.The exit is always at next day open.

I know that it is needed to add intraday bar granularity to implement it properly but as preliminary test I would like to have a rough idea if it worths to implement the strategy or not.

Do we have something similar in NinjaTrader 8? Or the only way is to use SetStopLoss or SetProfitTarget?

Thanks and Regards.

[NinjaTrader_Jim]

Hello Peppo,

Thanks for your post.

This gets into unsupported area since we are looking ahead of prices with a backtest, but when I test on my end, I see the enter occur at the next bar's open, and the exit occurring on the close of the same bar. (I am using GetValueAt to avoid negative Series references.)

if (CrossAbove(SMA(7),SMA(14),1) && State == State.Historical)
{
    SubmitOrderUnmanaged(0,OrderAction.Buy, OrderType.Market,1,0,0,"","Long");

    //Make sure there is a bar to see the close price of
    if(CurrentBar < BarsArray[0].Count)
    {
        SubmitOrderUnmanaged(0,OrderAction.Sell,OrderType. Limit, 1,Close.GetValueAt(CurrentBar+1),0,"","Exit Long");
    }
}

I hope this helps.

[Peppo]

Hi Jim,

Perfect. This is exactly what I was looking for.

Thanks a lot!

Regards.

[Peppo]

Hi Jim,

sorry to come back on this topic but I found a weird problem when applying the same strategy on the 1440 minute chart instead of daily.

With this configuration no one order is executed. Do I need to use a different configuration? Is that expected?

Thanks.

[NinjaTrader_BrandonH]

Hello Peppo,

Thanks for your note.

This likely has to do with how the end-of-session handling is done for 1440-Minute bars compared to Daily bars. Daily bars do not have the granularity to support Exit On Session Close behavior for Historical data.

1440-Minute bars do have the granularity to support Exit On Session Close and the orders are ignored because the 1440-Min is the entire session. If you say 1300-Minute bars instead, the orders would be placed because that interval allows the Exit On Session Close to trigger. Or, you could disable the Exit On Session Close property when testing the strategy.

Let me know if I may assist further.

[Peppo]

Hi BrandonH,

thank you.

It worked by disabling the Exit On Session Close.

Regards.