Exit on session close backwards when Tick Replay

[MatHatter]

Hi,

All I am trying to do is simply buy on same day of candle that opens greater than the day before, but I do not want to buy the next day that is why I had to use Calculate.OnPriceChange or something like that. I have my code below. When I take Tick Replay off it won't be able to work as intended (it will buy the next day but I won't have the Exit on session error). Exit on session close should always be the last candle which is May 3 in my example.

IN OTHER WORDS:

Like lets say we have daily candlesticks from today and 4 days before. now tomorrow the open will have a price. I want to trade on the open tomorrow based on if the open is > the close we had today.



What is going on?

Sry for the confusion, but my followingCandle is really reffering to the day before the current day candle so like the previous

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


namespace NinjaTrader.NinjaScript.Strategies
{
public class CandlestickStrategy : Strategy
{
[NinjaScriptProperty]
public int OrderQuantity { get; set; } = 1;

[NinjaScriptProperty]
public double StopLossPercentage { get; set; } = 0.2;

[NinjaScriptProperty]
public System.TimeSpan TradeTime { get; set; } = new System.TimeSpan(16, 5, 0);

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "CandlestickStrategy";
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 = 5;
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{

Calculate = Calculate.OnPriceChange;

// Add a 1-tick series for intra-bar granularity
AddDataSeries(BarsPeriodType.Tick, 1);

// Set a percentage-based stop loss
SetStopLoss(CalculationMode.Percent, StopLossPercentage);
}
}

protected override void OnBarUpdate()
{
// Only process on the primary bar series and ensure enough bars are loaded
if (BarsInProgress != 0 || CurrentBar < 5)
return;

// Check if the current bar is a new bar
if (IsFirstTickOfBar)
{
// Get the bar index for the current trading day
int currentDayBarIndex = Bars.GetBar(Time[0].Date);
Print("Current Day Bar Index: " + currentDayBarIndex);



// Get the open price of the current trading day
double currentDayOpen = Open[currentDayBarIndex];
Print("Current Day Open: " + currentDayOpen);

// Define necessary variables
double followingCandleOpen = Open[0];

// Conditions for buying
if (followingCandleOpen > currentDayOpen)
{
EnterLong(OrderQuantity, "Buy4"); // Enter a long position with the "Buy4" label
}
}
}







}
}

Thank you,

MatHatter

[ajgauss13]

Don t backtest on Day backtest on 1min

[MatHatter]

ChatGPT pushed me in the right direction after posting this post in it... I was trying to brute force the code to work with [0] for the previous day, but not with OnPriceChange I can probably just use [0] for current day and [1] for day before. sry just the trade the next day logic has messed up this logic that seemingly makes no sense but it does. I don't expect Exit on session close at the gravestone doji 17735.5 so it still seems a wrong. code: region Using declarations
using System;
using NinjaTrader.NinjaScript.Strategies;
using NinjaTrader.Data;

#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
public class ReversalCandlestickStrategy : Strategy
{
[NinjaScriptProperty]
public int OrderQuantity { get; set; } = 1;

[NinjaScriptProperty]
public double StopLossPercentage { get; set; } = 0.2;

[NinjaScriptProperty]
public System.TimeSpan TradeTime { get; set; } = new System.TimeSpan(16, 5, 0);

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "ReversalCandlestickStrategy";
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 = 5;
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
Calculate = Calculate.OnEachTick;

// Add a 1-tick series for intra-bar granularity
AddDataSeries(BarsPeriodType.Tick, 1);

// Set a percentage-based stop loss
SetStopLoss(CalculationMode.Percent, StopLossPercentage);
}
}

protected override void OnBarUpdate()
{
// Only process on the primary bar series and ensure enough bars are loaded
if (BarsInProgress != 0 || CurrentBar < 5)
return;

// Get the open price of the previous day
double previousDayOpen = Open[1];

// Get the open price of the current trading day
double currentDayOpen = Open[0];
Print("Previous Day Open: " + previousDayOpen);
Print("Current Day Open: " + currentDayOpen);

// Conditions for buying
if (currentDayOpen > previousDayOpen)
{
EnterLong(OrderQuantity, "Buy4"); // Enter a long position with the "Buy4" label
}
}
}
}

[MatHatter]

I am running a daily strategy ajgauss13

[MatHatter]

this is not the actual strategy, I am just trying to make sure it works. anyways, this is what I believe the code should look like when working.. like the buys should be there if > day before close and then just exit when last data candle in series which would be at Exit

[NinjaTrader_Gaby]

Hello MattHatter,

Thank you for your post.

If your strategy is running Calculate.OnPriceChange, you'll need to implement 1-tick intrabar granularity in additional to enabling Tick Replay for accuracy in backtest. Have you implemented intrabar granularity?

I'm seeing you added the 1-tick series but aren't actually submitting the orders to the more granular series.

Intra-bar granularity adds a second data series such as a 1 tick series using AddDataSeries() so that the strategy or indicator has the individual ticks in the historical data in between the High and Low of the primary series.

• This allows for more accurate trades by supplying the correct price at the correct time for the order to fill with. The orders placed will need to use the BarsInProgress (BarsArray) index of that finer resolution series.
  • https://drive.google.com/file/d/12F6...C3TgPC3pA/view
  • Help guide link

[MatHatter]

Hi Gaby,

I see now that the buys should only occur at the last to green bars at May 2 and 3 (because the strategy requires at least 5 bars to calculate / implement). I added the 1 to the EntryLong before the OrderQuantity. It seemed to help a lot. However, I am still having Exit on session close errors. Like that should only happen on May 3. (in the video Chelsea was talking about if adding daily the add data series code is 2, but I am really lost there, I just kept as 1).

I believe it is working as far as where the orders are applied, but now the Exit on session close is still posing an issue. It almost seems like it is running backwards... Besides, I see why Buy4 comes up twice in that May2 candle, it is because it dipped below the open of the day before and went above it during the day. How can if Exit on session a day before on May1 it doesn't make any sense. I provided the code so you can try yourself. I am using NQ 09-24 and Last Day 1 Tick Replay Start 4/25/2024 End 5/3/2024 Break EOD Bars min 5.

I've tried setting exit on session to false just to see if I got any different results, but same.

Please help.

Thank you for your help insofar!

Best regards,

MatHatter


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


namespace NinjaTrader.NinjaScript.Strategies
{
public class ReversalCandlestickStrategy : Strategy
{
[NinjaScriptProperty]
public int OrderQuantity { get; set; } = 1;

[NinjaScriptProperty]
public double StopLossPercentage { get; set; } = 0.2;

[NinjaScriptProperty]
public System.TimeSpan TradeTime { get; set; } = new System.TimeSpan(16, 5, 0);

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "ReversalCandlestickStrategy";
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 = 5;
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
Calculate = Calculate.OnPriceChange;

// Add a 1-tick series for intra-bar granularity
AddDataSeries(BarsPeriodType.Tick, 1);

// Set a percentage-based stop loss
SetStopLoss(CalculationMode.Percent, StopLossPercentage);
}
}

protected override void OnBarUpdate()
{
// Only process on the primary bar series and ensure enough bars are loaded
if (BarsInProgress != 0 || CurrentBar < 5)
return;

// Get the open price of the previous day
double previousDayOpen = Open[1];

// Get the open price of the current trading day
double currentDayOpen = Open[0];
Print("Previous Day Open: " + previousDayOpen);
Print("Current Day Open: " + currentDayOpen);

// Conditions for buying
if (currentDayOpen > previousDayOpen)
{
EnterLong(1, OrderQuantity, "Buy4"); // Enter a long position with the "Buy4" label
}
}
}
}

[NinjaTrader_Gaby]

Hello,

Are you testing on daily bars? This property is designed to be only used on intraday strategies. It's not intended to be used on daily bars.

This is noted in the Help Guide.

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

[MatHatter]

Hello,

So you are saying Exit on session close doesn't work for Daily candlesticks at all? It seemed to work before when not using Tick Replay BarsInProgress stuff. What is the proper way to go about closing out all trades at the last candle in the series for Daily strategies? I've tried setting IsExitOnSessionCloseStrategy = false; but doesn't seem to do anything.

Thank you

[NinjaTrader_Gaby]

What are you referring to as the last candle in the series? There is no "last daily bar", bars are going to keep coming as the days progress.

If there is a specific criteria you want to use to identify what the last bar you want to exit all trades on, you'll need to add logic in your script to identify on exactly which bar you want to exit.

[MatHatter]

Hi Gaby,

Ok, with the code below, how do I get Exit on session close to be removed? It keeps coming up on the chart/executions even after setting IsExitOnSessionCloseStrategy = false;

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


namespace NinjaTrader.NinjaScript.Strategies
{
public class ReversalCandlestickStrategy : Strategy
{
[NinjaScriptProperty]
public int OrderQuantity { get; set; } = 1;

[NinjaScriptProperty]
public double StopLossPercentage { get; set; } = 0.2;

[NinjaScriptProperty]
public System.TimeSpan TradeTime { get; set; } = new System.TimeSpan(16, 5, 0);

[NinjaScriptProperty]
[Display(Name = "End Date", Order = 4, GroupName = "Parameters")]
public DateTime EndDate { get; set; } = DateTime.Now;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "ReversalCandlestickStrategy";
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = false; // Ensure this is set to false
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 = 5;
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
Calculate = Calculate.OnPriceChange;

// Add a 1-tick series for intra-bar granularity
AddDataSeries(BarsPeriodType.Tick, 1);

// Set a percentage-based stop loss
SetStopLoss(CalculationMode.Percent, StopLossPercentage);
}
}

protected override void OnBarUpdate()
{
// Only process on the primary bar series and ensure enough bars are loaded
if (BarsInProgress != 0 || CurrentBar < 5)
return;

// Get the open price of the previous day
double previousDayOpen = Open[1];

// Get the open price of the current trading day
double currentDayOpen = Open[0];
Print("Previous Day Open: " + previousDayOpen);
Print("Current Day Open: " + currentDayOpen);

// Conditions for buying
if (currentDayOpen > previousDayOpen)
{
EnterLong(1, OrderQuantity, "Buy4"); // Enter a long position with the "Buy4" label
}

// Exit all trades at the end of the specified date
if (Time[0].Date == EndDate.Date)
{
ExitLong("Exit at end of date");
}
}
}
}



Thanks

[MatHatter]

I am afraid you are going to say I can't buy the open price based on logic for that current day based on Ninja Trader, but that is only for intraday. Like is it possible to buy at open on the new day for that day and not the next with the open price integrated into some logic?

[NinjaTrader_Gaby]

Hello,

After setting IsExitOnSessionCloseStrategy = false within State.SetDefaults, you'll need to remove the old strategy instance and add a new instance to any chart or from the Strategies tab to pull the new defaults.

Like is it possible to buy at open on the new day for that day and not the next with the open price integrated into some logic?

Yes, it is possible implement your own custom logic to buy at the open of a daily bar and not the next bar.

[MatHatter]

holy cow, I think I got it to work!!! I put IsExitOnSessionCloseStrategy = false; inside else if (State == State.Configure) as well and it worked

[MatHatter]

I think maybe I should have a buy at May 3 as well based on the logic because that candle is > the day befores close. I am content for now though because I see a lot better results. Maybe it has something to do with the End Date.