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Help on one day reversal strategy coding.
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Created: by Dallasboy Attachments:0

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Help on one day reversal strategy coding.

  #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.

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


SetStopShare;

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

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

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,320 since Apr 2013
Thanks: 208 given, 745 received


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

Dallasboy,

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.

Regards,

ABCTG

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