Multi Time Frame

[algospoke]

I currently have a strategy that works on one data series. See below code:

#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 InsideBar : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "InsideBar";
                Calculate                                    = Calculate.OnBarClose;
                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;
                Barssinceentry = 2;
            }
            else if (State == State.Configure)
            {
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < BarsRequiredToTrade)
                return;
            //Long Entry
            if(High[2]>High[1] && Low[2]<Low[1] && Close[0]>High[1] && Low[0]>Low[1])
                EnterLong();
            if(BarsSinceEntryExecution()>Barssinceentry)
                ExitLong();
        }
        
        #region Properties
        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "Bars Since Entry", GroupName = "NinjaScriptStrategyParameters", Order = 0)]
        public int Barssinceentry
        { get; set; }
        #endregion
    }
}

​

I now what to only execute this trade when the current weekly bar is green but can't seem to get it to work. What am I doing wrong? See below updated code:

#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 InsideBar : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "InsideBar";
                Calculate                                    = Calculate.OnBarClose;
                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;
                Barssinceentry = 2;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Week,1);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < BarsRequiredToTrade)
                return;
            if(Close[1][0]>Open[1][0])
            {
                //Long Entry
                if(High[0][2]>High[0][1] && Low[0][2]<Low[0][1] && Close[0][0]>High[0][1] && Low[0][0]>Low[0][1])
                    EnterLong();
                if(BarsSinceEntryExecution()>Barssinceentry)
                    ExitLong();
            }
        }
        
        #region Properties
        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "Bars Since Entry", GroupName = "NinjaScriptStrategyParameters", Order = 0)]
        public int Barssinceentry
        { get; set; }
        #endregion
    }
}

​

[NinjaTrader_Gaby]

Hello algospoke,

Thank you for your post.

You should use Closes, Highs, and Lows to check these values for a specific bars object. You will get a compile error about applying indexing to a double using Close[1][0] or High[0][1].

https://ninjatrader.com/support/helpguides/nt8/closes.htm

https://ninjatrader.com/support/helpguides/nt8/highs.htm

https://ninjatrader.com/support/helpguides/nt8/lows.htm

Make sure to also add a CurrentBars check for all added data series.

https://ninjatrader.com/support/helpGuides/nt8/currentbars.htm

In order to better understand how the code is working, it will be necessary to use Print to see how the conditions are evaluating and enable TraceOrders to see if orders are being submitted, ignored, rejected, or cancelled.

Below is a link to a forum post that demonstrates using prints to understand behavior and includes a link to a video recorded using the Strategy Builder to add prints.

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

Enable TraceOrders, print the time of the bar and all values used in the conditions that submit entry orders. Include labels for all values and comparison operators.

Let me know if you need any assistance creating a print or enabling TraceOrders.

Save the output from the output window to a text file and provide this with your reply.

I'll be happy to assist with analyzing the output.

[algospoke]

Gaby,

Thanks for your help. I was able to fix the code and get it to compile correctly however now I am getting an error on my Control Center saying: "Startegy 'InsideBar' on calling 'OnBarUpdate' method on bar 20: You are accessing an index with a value that is invalid since it is out-of-range.IE accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart".

I am using a 5 min ES chart display 1 years worth of data. I believe this error is related to not having enough data on the chart to execute the strategy but I think i do have enough. I have more than 20 5min bars and and I have more than 20 1wk bars (secondary data). I am only looking to execute this long trade if weekly candle is wrong. Not sure why I would be getting this error. Below is my code:

#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 InsideBar : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "InsideBar";
                Calculate                                    = Calculate.OnBarClose;
                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;
                Barssinceentry = 2;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Week,1);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < BarsRequiredToTrade)
                return;
            if(Closes[1][0]>Opens[1][0])
            {
                //Long Entry
            if(Highs[0][2]>Highs[0][1] && Lows[0][2]<Lows[0][1] && Closes[0][0]>Highs[0][1] && Lows[0][0]>Lows[0][1])
                EnterLong();
            if(BarsSinceEntryExecution()>Barssinceentry)
                ExitLong();
            }
            
        }
        
        #region Properties
        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "Bars Since Entry", GroupName = "NinjaScriptStrategyParameters", Order = 0)]
        public int Barssinceentry
        { get; set; }
        #endregion
    }
}

​

[NinjaTrader_Gaby]

Hello algospoke,

Make sure to also add a CurrentBars check for all added data series. You are currently only checking CurrentBar for the primary data series but are accessing values on the secondary series as well.

https://ninjatrader.com/support/helpGuides/nt8/currentbars.htm