Redeclaring a dataseries to use as a trailing stop

April 18th, 2010, 10:15 AM

Hi,

I am trying to create a trailing stop logic (I don't want to use the trailstop method as I don't want my trailing stop to be entered when I initially enter the market, I only want it to kick in when a certain condition becomes true).

But I am finding that once I declare a dataseries, Ninjatrader 7 seems to not allow me to redeclare the dataseries value:.

For example, here is the code I'm looking at:

Code

                            
//NB This is within if (BarsInProgress == 0) {



//Stop Calculations

            Minmove = TickSize*5;

            if (Xtest[0] >= Closes[0][0]) 

//If xTest (trail stop price) is higher than current price, reset it to current price minus Minmove

            {    

            Xtest.Set(Closes[0][0] -Minmove);

            }

//Else if new xTest would be tighter to current price than current xTest, and/or xTest = zero redeclare at tighter value    

            else if (Closes[0][0] -Minmove] > Xtest[1] || Xtest[0] ==0 )

            {

            Xtest.Set(Closes[0][0] -Minmove);

            }

//Else continue to use same xTest value

            else

            {

            Xtest.Set(Xtest[1]);

            }

            Print("Xtest    " + Xtest[0] + "    Price    "+ Closes[0][0]);

The output for this does not behave as expected xTest is revalued both higher and lower, always according to the original declared value (current close minus 5 ticks):

Xtest 10759 Price 10764
Xtest 10763 Price 10768
Xtest 10765 Price 10770
Xtest 10765 Price 10770
Xtest 10765 Price 10770

Is there a way around this please? The current results above means that my "trailing stop" simply follows the market and doesn't "lock in" the profit.

Many thanks in advance,

David

April 18th, 2010, 10:35 AM

This code attempts to do a similar thing but also for some reason the stop retraces, rather than only excepting higher values.

Code

                            
if (Closes[0][0] > Closes[0][1])

                    {

                    ExitLongStop(Position.Quantity,Closes[0][0]-Minmove,"Long Exit","Uptrend");

                    }

                    else

                    {

                    ExitLongStop(Position.Quantity,Closes[0][1]-Minmove,"Long Exit","Uptrend");

                    }

April 18th, 2010, 04:10 PM

Make it simpler.

My first guess as to why it isn't performing as you expect is because of the way NT handles MTF.

I suggest making a new strategy, just make it single time frame only, and test your code there. Then you'll see the differences.

Another way is to put a debug Print() statement right above each of the .Set() for DataSeries so you can see when it is being called and why. Be sure the print includes which BarsInProgress you are currently looping through and the CurrentBar.

Mike

April 26th, 2010, 12:50 PM

here's an idea:
- initialize a secondary bar series as 1-tick
- when you enter your stop, make sure you have a pointer to it

Code

myStopId = ExitLongStop(...);

- then you can check Close[0] inside (BarsInProgress == 1) to see if it has moved up 1-tick in your direction; if so, then adjust your stop accordingly

Code

if (BarsInProgress == 1)
  if (Close[0] > ...logic...)
    myStopId = ExitLongStop(...new_value...);

note: you'll need to code up a stop-threshold and stop-value to use inside that second if() statement ... and you can get as complex as you like -- initial fixed stop that converts to a trailing stop after x ticks in profit, etc.

cheers,
-e

April 26th, 2010, 12:54 PM

...one other thing...

make sure you use the correct overload to submit those stop order modifications to the 1-tick bar array, not 0 (default); otherwise you won't effectively simulate the trailing stop logic.

cheers,
-e

Redeclaring a dataseries to use as a trailing stop

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Redeclaring a dataseries to use as a trailing stop