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Help on one day reversal strategy coding.
Started:June 29th, 2016 (05:54 PM) by Dallasboy Views / Replies:170 / 1
Last Reply:July 20th, 2016 (09:28 AM) Attachments:0

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Help on one day reversal strategy coding.

Old June 29th, 2016, 05:54 PM   #1 (permalink)
Trading Apprentice
dallas texas
Futures Experience: Advanced
Platform: NinjaTrader, Ensign, MC
Favorite Futures: ES
Posts: 12 since Jan 2016
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Help on one day reversal strategy coding.

Hi all,

I am try to code this simple reversal strategy:

If previous day open < close (an up bar), then sellshort the next bar.
Stop is previous bar's high (the up bar) plus say 25% of range.

	StopLoss ((high[1]-low[1])*.25);
if open < close then
	sellshort next bar at open;


SetStopLoss (StopLoss+(high[1]-open));

It tries to use the values from 2 bar back it seems.

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Old July 20th, 2016, 09:28 AM   #2 (permalink)
Hamburg Germany
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
Posts: 1,103 since Apr 2013
Thanks: 186 given, 622 received

Dallasboy View Post
It tries to use the values from 2 bar back it seems.


for what does it seem to use the values from two bars back?
The entries seem exactly where you'd expect them i.e. the next bar after a bar that had an open lower then the close.

For the stop amount this might be caused by your code not using intrabar order generation, which means values are updated at the end of the bar only.



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