Daily loss limit examples

[claudiorrb21]

Hi!

I'm using this to check the profit, but for any reason I disable the strategy and it resets. How can I solve this problem?

SystemPerformance.AllTrades.TradesPerformance.Curr ency.CumProfit

[NinjaTrader_ChelseaB]

Hello claudiorrb21,

This is expected. The SystemPerformance collection holds all trades, historical and real-time, submitted by the strategy since it was enabled.

When the strategy is disabled and re-enabled, the strategy recalculates the historical data and trades.

If you need the strategy to remember something, you would need to write and read that from a text file.

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

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

[zrobfrank]

I have tested this script several times and it behaves as expected. However, when incorporating into my own strategy, it does not work and I cannot figure out for the life of me why not. I've added several prints to debug, and it seems like it doesn't reset the currentPnL to 0 at the proper time. Basically, it will close a trade and draw the correct text on the chart, and then the next time entry conditions are met it will enter again. I have triple checked that I have cut and pasted all the neccessary language from this script. Any advice would be greatly appreciated. Thanks.

[NinjaTrader_ChelseaB]

Hello zrobfrank,

In the DailyLossLimitExample the currentPnL variable is reset on the first bar of a new session on lines 53-54.

Is your script also resetting this variable on the first bar of a new session?

What code is in your script?

[zrobfrank]

I've included a stripped down version of the script below.

private double currentPnL;

protected override void OnStateChange()

{

if (State == State.SetDefaults)

{

Description = @"Enter the description for your new custom Strategy here.";

Name = "zzzzzzzzzzzzrandom2";

Calculate = Calculate.OnEachTick;

EntriesPerDirection = 3;

EntryHandling = EntryHandling.AllEntries;

IsExitOnSessionCloseStrategy = true;

ExitOnSessionCloseSeconds = 30;

IsFillLimitOnTouch = false;

MaximumBarsLookBack = MaximumBarsLookBack.Infinite;

OrderFillResolution       = OrderFillResolution.Standard;              

    // OrderFillResolutionType   = BarsPeriodType.Tick;

    // OrderFillResolutionValue  = 1;      

Slippage = 1;

StartBehavior = StartBehavior.WaitUntilFlatSynchronizeAccount;

IsAdoptAccountPositionAware = true;

IncludeCommission = true;

TimeInForce = TimeInForce.Day;

TraceOrders = true;

RealtimeErrorHandling = RealtimeErrorHandling.StopCancelCloseIgnoreRejects;

StopTargetHandling = StopTargetHandling.ByStrategyPosition;

BarsRequiredToTrade = 20;

// Disable this property for performance gains in Strategy Analyzer optimizations

// See the Help Guide for additional information

IsInstantiatedOnEachOptimizationIteration = true;







LossLimit = 300;

ProfitLimit = 12000;





}

else if (State == State.Configure)

{

AddDataSeries(Data.BarsPeriodType.Tick, 20);


}

else if (State == State.DataLoaded)

{



ClearOutputWindow();





}

}






protected override void OnBarUpdate()

{

if (CurrentBars[0] < 20 )

                return;



// at the start of a new session, reset the currentPnL for a new day of trading

if (Bars.IsFirstBarOfSession && BarsInProgress == 0)

currentPnL = 0;









if(BarsInProgress == 0 && IsFirstTickOfBar == true)





{




SetProfitTarget("Long", CalculationMode.Ticks, 20, false);

SetProfitTarget("Short", CalculationMode.Ticks, 20, false);



}







#region Time

// Time

if (((ToTime(Time[0]) >= 125900

&& ToTime(Time[0]) < 150000))

&& (Position.MarketPosition != MarketPosition.Flat))

//&& BarsInProgress == 0)

{

if (Position.MarketPosition == MarketPosition.Long)

{

ExitLong(0, Position.Quantity, "time", "");

}

else if (Position.MarketPosition == MarketPosition.Short)

{

ExitShort(0, Position.Quantity, "time", "");

}

}

#endregion





if ( ( (ToTime(Time[0]) > 50000



&& ToTime(Time[0]) < 93000))


&& Position.Quantity < 3


&& currentPnL > -LossLimit

&& currentPnL < ProfitLimit

&& BarsInProgress == 0



&&  (BarsSinceEntryExecution(0, "Long", 0) > 5 || BarsSinceEntryExecution(0, "Long", 0) == -1))


{



if(

 Close[1] > Open[1]

)



{

EnterLong(1,Convert.ToInt32(DefaultQuantity),"Long");
Draw.Diamond(this, "tag1" + CurrentBar, true, 0, Low[0] - TickSize, Brushes.Green);

Print(currentPnL);

}



}



if (Position.MarketPosition == MarketPosition.Long

&& (currentPnL + Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0])) <= -LossLimit)

{

//Print((currentPnL+Position.GetProfitLoss(Close[0], PerformanceUnit.Currency)) + " - " + -LossLimit);

// print to the output window if the daily limit is hit in the middle of a trade

Print("daily limit hit, exiting order " + Time[0].ToString());

Print(currentPnL);

 ExitLong("Daily Limit Exit", "Long");

}

if (Position.Quantity > 1

&& BarsInProgress == 0

&& Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0]) > 0

&& Close[0] < Open[0]

&& Close[1] < Open[1]

)

{

ExitLong("Long");

}



if ( ( (ToTime(Time[0]) > 50000



&& ToTime(Time[0]) < 93000))


&& Position.Quantity < 3

&& currentPnL > -LossLimit

&& currentPnL < ProfitLimit

&& BarsInProgress == 0

&&  (BarsSinceEntryExecution(0, "Short", 0) > 5 || BarsSinceEntryExecution(0, "Short", 0) == -1))


{



if( Close[1] < Open[1]







)



{

// SetStopLoss("Long", CalculationMode.Price, Low[2] - .5, false);

// EnterShortStopLimit(0,false, Convert.ToInt32(DefaultQuantity) , Low[0] + (5 * TickSize),  Low[0] + (2 * TickSize), "Short");

EnterShort(1,Convert.ToInt32(DefaultQuantity),"Short");

// entryOrder = EnterLong(Convert.ToInt32(Quant),"Long");

// Draw.Diamond(this,"tag" + CurrentBar, true, 0, High[0] + TickSize, Brushes.Red);



}



}



if (Position.MarketPosition == MarketPosition.Short

&& (currentPnL + Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0])) <= -LossLimit)

{

//Print((currentPnL+Position.GetProfitLoss(Close[0], PerformanceUnit.Currency)) + " - " + -LossLimit);

// print to the output window if the daily limit is hit in the middle of a trade

Print("daily limit hit, exiting order " + Time[0].ToString());

Print(currentPnL);

LongTradeSwitch = false;

ShortTradeSwitch = false;

// ExitShort("Daily Limit Exit", "Short");

}



if (Position.Quantity > 1

&& BarsInProgress == 0

&& Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0]) > 0

&& Close[0] > Open[0]

&& Close[1] > Open[1]

)

{

ExitShort("Short");

}





}



protected override void OnPositionUpdate(Position position, double averagePrice, int quantity, MarketPosition marketPosition)

{

if (SystemPerformance.AllTrades.Count > 0)

{

// when a position is closed, add the last trade's Profit to the currentPnL

currentPnL += SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1].ProfitCurrency;




// print to output window if the daily limit is hit

if (currentPnL <= -LossLimit)

{

Print("daily limit hit, no new orders" + Time[0].ToString());

Print(currentPnL);

}

}

}
​

[NinjaTrader_ChelseaB]

Hello zrobfrank,

How do you know this variable is not being reset when the primary series is the first bar of a new session?

Print the bar time and the value of this variable after resetting it to confirm when and if it is being reset.

https://support.ninjatrader.com/s/article/Developer-Guide-Debugging-using-Print-and-TraceOrders

Save the output to a text file (right-click the output window select Save as) and attach this to your next post.

[zrobfrank]

ChelseaB,
Thank you for your help, and sorry it took a bit to get back to you. What I found through using prints was that it was resetting the currentPnL constantly, and through trial and error I figured out that even thought the script was copied exactly from the example, adding braces {} around "currentPnL = 0" seemed to solve that problem. I have attached a text as you suggested in the previous post, because I noticed that on 3/19 for example, the currentPnL was definitely reset to 0, but a trade was exited right after entry because it appeared to be adding the unrealized PL to the previous currentPnL. Let me know you thoughts for fixing that. Thanks.

Rob NinjaScript Output 4_21_2024 1_31 PM.txt

[zrobfrank]

ChelseaB,

Scratch that last reply. I realized that while tinkering with the script I had removed the Marketposition.Flat criteria for adding the last trade to the currentPnL, and so as soon as a trade was entered it was adding the last trade's PL. Sorry about that. Thanks again for the help.
Rob