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

[Trader4Life]

Hello Trader17,

OnBarUpdate is a data processing that we regularly use for NinjaScripts. It is controlled by the Calculate setting.

When Calculate is set to OnEachTick or OnPriceChange, the developing bar (BarsAgo 0 I.E. Close[0]) will constantly be updated in OnBarUpdate with each new tick or price change.

When Calculate is set to OnBarClose, the developing bar will not update on each tick/price change, and we will be working with the bar that had just closed instead of the developing bar.

In other words, when using Calculate.OnBarClose, Close[0] will update only when a bar closes. With OnEachTick/OnPriceChange, Close[0] will update with each tick or price change.

Calculating on bar closes can be done with Calculate.OnEachTick/OnPriceChange if you add a check for IsFirstTick of bar and use BarsAgo 1 references within that block.

I encourage you to test the Help Guide example code with prints to observe how OnBarUpdate works using different Calculate modes.

Demo - https://drive.google.com/file/d/1KdV...w?usp=drivesdk

Please let me know if you have any additional questions.

Is it possible to Change the Calculate setting from OnBarClose to OnPriceChange (and vice-versa) on the fly?
For example, initially set it to OnBarClose, then when a trade is opened change to OnPriceChange. Then when the trade is complete/closed revert back to OnBarClose.
And then do a check like if Calculate == OnBarClose do X, else if Calculate == OnPriceChange do Y
Though, this might not be the way to go...

The reason I ask is my current Strategy's code is built on OnBarClose. But, I only need OnPriceChange when in a trade, to see if I need to Flatten ALL open orders (across ALL symbols on an account) the moment Max Account Profit, Max Daily Profit, Max Account Loss or Max Daily Loss is hit. And flag a variable to stop trading for the day.

Basically, if I have a few charts open with different symbols and the Strategy running on each - if the Account Max's are hit on any one of these charts - Flatten ALL open orders on the Account, and stop trading for the Account.

How would you recommend accomplishing this?

[NinjaTrader_ChelseaB]

Hello Trader4Life,

Unfortunately no, it is not supported to change the Calculate setting after the script is running. This should be set in State.Configure or State.SetDefaults only.

You can however, evaluate the logic only when the bar closes when not in a trade by returning from a condition that checks IsFirstTickOfBar.

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

You can use <Account>.Flatten() to flatten an account.

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

[Trader4Life]

Hello Trader4Life,

Unfortunately no, it is not supported to change the Calculate setting after the script is running. This should be set in State.Configure or State.SetDefaults only.

You can however, evaluate the logic only when the bar closes when not in a trade by returning from a condition that checks IsFirstTickOfBar.

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

You can use <Account>.Flatten() to flatten an account.
https://ninjatrader.com/support/help...t8/flatten.htm

Thanks, Chelsea!
I could work around it, then.

Looking at the Flatten Link you sent me, it seems it only closes based on Symbol.
How would I Flatten ALL open positions across 1 account? If Flatten only works by symbol, then how do I gather all the symbols with open positions for an account?

[NinjaTrader_ChelseaB]

Hello Trader4Life,

You would need to make an array of instrument symbols that have a position open.

The <Account>.Positions collection holds the positions.

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

[Trader4Life]

Hello Trader4Life,

You would need to make an array of instrument symbols that have a position open.

The <Account>.Positions collection holds the positions.
https://ninjatrader.com/support/help...ns_account.htm

Perfect, thanks!!!!
I'll check it out this weekend

[NinjaTrader_ChelseaB]

Hello Trader4Life,

I noted shorthand for this I've mentioned on another thread on the forum.

https://forum.ninjatrader.com/forum/ninjatrader-8/add-on-development/1305141-we-are-going-to-create-some-addon-in-the-desktop-app-that-monitors-those-trades?p=1305145#post1305145

[teckedge]

I downloaded and imported this to test but after I enable it ( using bar close), this bot is not taking any trades. Is there a way to automate this?