Breakout of previous High/Low

[mlarocco]

I am trying to write a strategy that includes a breakout of a previous High/Low of x bars ago. I am detecting the correct previous bar with the highest high or lowest low but my problem is detecting when the previous High/Low gets broken. I have it looking for a cross above/below but it doesn't work because when a hew high/low is hit, the previous high/low gets reset. I'm sure I'm missing something simple to get this to work. I attached the current code I'm using.....

[NinjaTrader_Jesse]

Hello mlarocco,

I believe in this case you would need to use a class level variable and then find the highest and lowest values after you check the cross condition. That would let you delay reading the new highest/lowest values by 1 bar. That would look like the following:

private int highestBarsAgo;
private int lowestBarsAgo;

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

if (CurrentBars[0] < 60)
return;

//evaluate high price from highest bars ago value
double HighestPrice = High[highestBarsAgo];
double LowestPrice = Low[lowestBarsAgo];

Print ("Highest Bar is " + highestBarsAgo);
Print("Highest price is " + HighestPrice);
Print("Current High is " + High[0]);

// Set 1
if (CrossAbove(High, HighestPrice, 1))
{
BarBrush = Brushes.Blue;
}

// Set 2
if (CrossBelow(Low, LowestPrice, 1))
{
BarBrush = Brushes.Yellow;
}

highestBarsAgo = HighestBar(High, 60);
lowestBarsAgo = LowestBar(Low, 60);

}

[mlarocco]

Hello mlarocco,

I believe in this case you would need to use a class level variable and then find the highest and lowest values after you check the cross condition. That would let you delay reading the new highest/lowest values by 1 bar. That would look like the following:

private int highestBarsAgo;
private int lowestBarsAgo;

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

if (CurrentBars[0] < 60)
return;

//evaluate high price from highest bars ago value
double HighestPrice = High[highestBarsAgo];
double LowestPrice = Low[lowestBarsAgo];

Print ("Highest Bar is " + highestBarsAgo);
Print("Highest price is " + HighestPrice);
Print("Current High is " + High[0]);

// Set 1
if (CrossAbove(High, HighestPrice, 1))
{
BarBrush = Brushes.Blue;
}

// Set 2
if (CrossBelow(Low, LowestPrice, 1))
{
BarBrush = Brushes.Yellow;
}

highestBarsAgo = HighestBar(High, 60);
lowestBarsAgo = LowestBar(Low, 60);

}

Thanks, I will give it a try