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MTF trouble with EntriesPerDirection
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MTF trouble with EntriesPerDirection

  #1 (permalink)
Elite Member
Mobile, Alabama
Futures Experience: Beginner
Platform: NinjaTrader, TOS
Favorite Futures: Stocks
Posts: 29 since Sep 2011
Thanks: 6 given, 3 received

MTF trouble with EntriesPerDirection

OK, so I've got an mtf strategy that looks for a condition to be met on a 5 minute indicator, once that condition is met the strategy looks for another condition to be met on a 1 minute indicator. When both of these are true, the strategy begins entering trades once per minute until either condition is no longer met.

This much of it works just fine.

Well, after exporting 12 years worth of trades to excel and running many hours of low-tech, excel-based analysis, I have come to the conclusion that after a certain number of entries in one direction (ie. # of trades entered with the 5 minute condition being met) the odds of profit/success rapidly fall off a cliff (<50%). So, what I want to do is to limit my number of entries to a fixed amount under the 5 minute condition. Once the max entries has been reached, I want to wait until the 5 minute condition resets and is met again.

With what I have so far I am accidentally only limiting my EntriesPerDirection for the 1 minute time frame. This means that if the 5 minute condition stays met and the 1 minute condition cycles on and off I keep entering into trades in blocks of my maximum EntriesPerDirection. I guess what I'm really doing is setting EntriesPerDirection on the 1 minute scale and not the 5 minute scale.

So, can anyone possibly help me figure out what I need to do to limit my EntriesPerDirection under the 5 minute time frame condition instead of the 1 minute?

Below are the basic bones of my code.

protected override void Initialize()
		EntriesPerDirection = 5; // So I'm guessing this isn't where I need to set my EntriesPerDirection
     		EntryHandling = EntryHandling.AllEntries; 
		Add(PeriodType.Minute, 5); 
		CalculateOnBarClose = true;

        protected override void OnBarUpdate()
	    //trades are opened and closed on the primary time frame, which is 1 minute		
            if (BarsInProgress == 0)
                //Exit all trades after a fixed amount of time.
            	ExitLong("c"+Time[-1], "long"+Time[10]);
		ExitShort("c"+Time[-1], "short"+Time[10]);
            //This part is the stripped down version of my code to enter long positions. 
              if (5 minute condition)
		if(1 minute condition)

                    EnterLong(DefaultQuantity, "long"+Time[0]);
		    SetStopLoss("long"+Time[0], CalculationMode.Percent, stopLoss , true);					
        }	}
	}        // This part is the stripped down version of my code to enter short positions.
		 if (5 minute condition)
                    if(1 minute condition)

                    EnterShort(DefaultQuantity, "short"+Time[0]); 
		    SetStopLoss("short"+Time[0], CalculationMode.Percent, stopLoss , true);

I appreciate the help,

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  #2 (permalink)
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  #3 (permalink)
Elite Member
las vegas
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: Velocity/IB
Favorite Futures: 6E
Posts: 1,147 since Feb 2010
Thanks: 304 given, 835 received

Maybe create a counter, something like

if (5 minute condition)
counter[0] = 0
if(1 minute condition && counter[0]<=5)
EnterLong(DefaultQuantity, "long"+Time[0]);
SetStopLoss("long"+Time[0], CalculationMode.Percent, stopLoss , true);
counter[0] = counter[1]+1;

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