Trailing stops and backtesting

February 29th, 2012, 02:52 AM

I am calling my trailing stop function on each bar. It only moves the stop level if my logic tells it to (i.e. a minimum profit level has been reached). My issue with NinjaTrader on this is that on back test the trailing stops do not seem to kick in. Any suggestions on whether this is by design or something I can change to make my logic work in backtest mode as well?

protected override void OnMarketData(MarketDataEventArgs e){
if (e.MarketDataType == MarketDataType.Last){
lastPrice = e.Price;
}
}

public void adjustStopLoss(){

if ( stopOrder != null )
CancelOrder(stopOrder);

double pointsProfit=Position.GetProfitLoss(lastPrice, PerformanceUnit.Points);
double tickProfit=pointsProfit/TickSize;

if ((tickProfit-TicksMinProfit)<=0)
return; // No need to set trailing stop if level not triggered. Default stop from order entry still remains.

if (Position.MarketPosition == MarketPosition.Short){
double stop = lastPrice+ (TicksTrailingSL*TickSize);
stopOrder=SubmitOrder(0, OrderAction.BuyToCover, OrderType.Stop, DefaultQuantity, stop, stop, "Exit", "ShortTrailStop");
}
if (Position.MarketPosition == MarketPosition.Long){
double stop = lastPrice - (TicksTrailingSL*TickSize);
stopOrder=SubmitOrder(0, OrderAction.Sell, OrderType.Stop, DefaultQuantity, stop, stop, "Exit", "LongTrailStop");
}
}

February 29th, 2012, 07:08 AM

I may have figured this out myself. It seems to be the event

protected override void OnMarketData(MarketDataEventArgs e){
if (e.MarketDataType == MarketDataType.Last){
lastPrice = e.Price;
}
}
that is not triggered in back test, so lastPrice was not set. The strange thing was that for sell orders it seemed to work. Using latest Close does give the expected result however.

February 29th, 2012, 10:36 PM

You are correct. The OnMarketData event does not fire in backtest, only on live data.

Trailing stops and backtesting

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Trailing stops and backtesting