Sometimes Order Not Closign in Strategy Analyzer

[tkaboris]

Hi When i run strategy in market replay everything closes alright. However when in strategy analyzer sometimes orders dont get close and wait until session close. How can this be prevented?

[NinjaTrader_ChrisL]

Hello, thanks for writing in. The order may be missed due to lack of intrabar grainularity. We have a guide and an example on implementing this here:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?backtesting_ninjascript_strate.htm

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live

Also, add a print() method to make sure the order is actually submitted in the historical backtests.

[tkaboris]

So you mean add 1 tick data for better results as a secondary series? That way i can expect more accurate results in backtesting historical data?

[QuantKey_Bruce]

You don't mention what kind of order this is (limit? market? stop market? stop limit?) and in the screenshot these are renko bars which don't necessarily represent the prices that traded during that time period - there might also be an issue there that Strategy Analyzer is making more apparent.

[Trader17]

Yes. Renko bars are the worst type for back testing.

[tkaboris]

I am intering like this and i am seeing similar with tick based too.
EnterLong(PositionSize, "34B Long");
ExitLongStopMarket(0, true, Position.Quantity, stopLong, "SLL", "34B Long");

[QuantKey_Bruce]

Perhaps the order is being rejected because the price is already beyond the stopLong price. You could check if low <= stopLong and if so ExitLong() instead of placing an exit long stop market order. There are other possibilities, but given only these two lines of code that is what comes to mind.

[tkaboris]

ok.
Can you also advice on how i can make sure i wait 2 bars after recent take profit, stop loss or parabolic stop loss.. Am I doing it right?
For some reason. if i enter short with parabolic stop, parabolic stop hits, then another valid signal and on next bar i open order. I want to wait at least two bars.


&& (BarsSinceExitExecution("34B Short") > 1 || BarsSinceExitExecution("34B Short") == -1)
&& (BarsSinceExitExecution("34B Long") > 1 || BarsSinceExitExecution("34B Long") == -1)

EnterShort(PositionSize, "34B Short");
SetParabolicStop("34B Short", CalculationMode.Ticks, ParabolilcSarSL, false, 0.02, 0.2, 0.02);

https://prnt.sc/J97hz0t_87ou

[tkaboris]

HI i am adding AddDataSeries(Data.BarsPeriodType.Tick, 1);
for more accurate backtesting and following above example that was posted in #2Forum
So i added that tick data and my entry is
EnterLong(PositionSize, "StochFL");


if(stopLong <= bid){
ExitLongStopMarket(0, true, Position.Quantity, stopLong, "SLL", "StochFL");
ExitLongLimit(0, true, Position.Quantity, Position.AveragePrice + (TickSize * tpByATR), "PTL", "StochFL");
}

However I am still getting many orders that dont get TP or SL set in strategy analyzer... What else can i check?

[tkaboris]

ok i changed some of the entries

else if (State == State.Configure)
{
Calculate = Calculate.OnPriceChange;
AddDataSeries(Data.BarsPeriodType.Tick, 1);
}
TickReplay is enabled

if (UseParabolicStop){
SetParabolicStop("StochFS", CalculationMode.Ticks, ParabolilcSarSL, false, Acc, AccStep, AccMax);
}
EnterShort(PositionSize, "StochFS");


I still get this unfulifled stops in strategy analyzer


Also i understand that If i choose rather regular stoploss i need to change from 0 to 1.
if(stopShort >= ask){
ExitShortStopMarket(1, true, Position.Quantity, stopShort, "SLS", "StochFS");
ExitShortLimit(1, true, Position.Quantity, Position.AveragePrice - (TickSize * tpByATR), "PTS", "StochFS");
}

[tkaboris]

NinjaTrader_ChrisL I entered short with
if(ParabolilcSarSL >= ask){
SetParabolicStop("StochFS", CalculationMode.Ticks, ParabolilcSarSL, false, Acc, AccStep, AccMax);
EnterShort(PositionSize, "StochFS");
}

its strategy analyzer with tick data. Parabolic stop loss didnt trigger. My longs seem to work ok but short parabolic is not