Opinions on COBC set to false in strategies - NinjaTrader Programming | futures io social day trading
futures io futures trading


Opinions on COBC set to false in strategies
Updated: Views / Replies:2,847 / 17
Created: by jackyd Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Opinions on COBC set to false in strategies

  #1 (permalink)
Elite Member
Calgary Canada
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
jackyd's Avatar
 
Posts: 47 since Jun 2009
Thanks: 44 given, 18 received

Opinions on COBC set to false in strategies

Hi folks,

Just wondering what others feel about setting Calculate on Bar Close to false in their strategies. I’ve been testing it now and then over the last month or so, but I’m not sold on it yet and wondering if it’s a waste of time.

The thing is, I’m not set up yet the way I want in order to test it effectively. I need a second/third system and I also need to upgrade to the zenfire data feed. But, from what I see right now, it’s almost too much noise to be useful – especially on entries. My testing has been restricted to short timeframes like 3-5 range bar, so maybe its better suited for longer timeframe strategies.

I can imagine if you have it set up just right it could give you a nice edge on your buys and sells, but it would be nice to get some feedback that supports this. If you have thoughts or opinions on how to best use this setting, I’d appreciate hearing them.

For example,

do you use only for adjusting your stop loss and/or profit targets?
do you use it only on 5min + timeframe strategies?
do you use it exclusively on all strategies and would never run one without it?
etc.

Thanks

Reply With Quote
 
  #2 (permalink)
Elite Member
USA
 
Futures Experience: Master
Platform: NinjaTrader
 
caprica's Avatar
 
Posts: 155 since Jul 2009
Thanks: 45 given, 109 received

I never use calculate on bar close set to false. First on backtesting it doesn't work. Second on live charts any possible gain from a few seconds earlier entry is given back ten fold overtime due to the extra false signals or entries where you thought a signal occurred but it turns out it didn't once the bar actually closed.

Reply With Quote
 
  #3 (permalink)
Elite Member
USA
 
Futures Experience: Master
Platform: NinjaTrader
 
caprica's Avatar
 
Posts: 155 since Jul 2009
Thanks: 45 given, 109 received


I forgot to say that in strategies I use a tiny time frame like a 1 bar Range period for adjusting stops, still no calc on bar close. even on my big charts where a bar can take 5 to 10 minutes to form I find no value in cobc false.

Reply With Quote
 
  #4 (permalink)
Elite Member
Calgary Canada
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
jackyd's Avatar
 
Posts: 47 since Jun 2009
Thanks: 44 given, 18 received

Good to know caprica. I'm going to give the 1 bar Period a try, that sounds interesting. I was adding in the Period tick for a while, but I've eliminated that too since it seemed to hurt more than help.

I guess it depends on what setups/strategies you like, and it either works for you or it doesn't.

Reply With Quote
 
  #5 (permalink)
Elite Member
USA
 
Futures Experience: Master
Platform: NinjaTrader
 
caprica's Avatar
 
Posts: 155 since Jul 2009
Thanks: 45 given, 109 received


jackyd View Post
Good to know caprica. I'm going to give the 1 bar Period a try, that sounds interesting. I was adding in the Period tick for a while, but I've eliminated that too since it seemed to hurt more than help.

I guess it depends on what setups/strategies you like, and it either works for you or it doesn't.

Using PeriodType.Range,1 vs PeriodType.Tick,1 is more efficient.

Reply With Quote
 
  #6 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Advanced
Platform: NT/Matlab
Broker/Data: Interactive Brokers
Favorite Futures: FX majors
 
sefstrat's Avatar
 
Posts: 285 since Jun 2009
Thanks: 20 given, 749 received

FWIW, I primarily use COBC = false

Writing a COBC = false strategy is more difficult however due to the issues you mention, mainly 'false signals' which arise temporarily and then revert before the bar close.

Essentially the way to handle that is to monitor for certain events which you want to act on in the middle of a bar, generally you would have some kind of threshold to ensure that only significant events would be acted upon. All other 'normal' event processing is handled on BarClose (FirstTickOfBar == true).

Here are a few situations where you would want to consider using COBC = false:

Monitor volume and DOM in real time
Monitoring Bid/Ask spread (very important if trading spot forex IMHO)
Advanced use of IOrder interface (ie modifying limit orders, scaling in or out, chasing targets etc)
MTF or MultiInstrument strategies
Pattern classification techniques (monitoring divergence formation, CCI patterns)

Reply With Quote
 
  #7 (permalink)
Elite Member
Calgary Canada
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
jackyd's Avatar
 
Posts: 47 since Jun 2009
Thanks: 44 given, 18 received

Hi sef,

Thanks for sharing that. What you describe is the direction I was going in with my tests, so that’s encouraging. I was also coding it so that I could run with cobc set to either true or false, so that I could at least use the backtest for most of the strategy – which seemed to work pretty well. But, I think I’ll put it aside for now until I have a better platform for testing and more time to spend on it.

I don’t trade the forex, but monitoring volume and bid/ask spreads sounds like something I’d like to try at some point. There seems to be lots of games played with bid/ask volume when you watch the way it behaves. Some nice fakeouts.

There’s just so many cool things to try that it’s a challenge to stay focused on the ones that have potential to add the most value. I think I need to hire some assistants!

Reply With Quote
 
  #8 (permalink)
Member
Chicago
 
Futures Experience: Advanced
Platform: X_Trader, Ninja
Broker/Data: Advantage/TT and Mirus/ZenFire
Favorite Futures: ES
 
Posts: 60 since Jun 2009
Thanks: 0 given, 16 received

trying working limit orders with COBC=false... you should get better results

Reply With Quote
 
  #9 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Advanced
Platform: NT/Matlab
Broker/Data: Interactive Brokers
Favorite Futures: FX majors
 
sefstrat's Avatar
 
Posts: 285 since Jun 2009
Thanks: 20 given, 749 received


jackyd View Post
I was also coding it so that I could run with cobc set to either true or false, so that I could at least use the backtest for most of the strategy

BTW I wouldn't put much faith in the NT backtester, even if you are using COBC = true. NT Market replay is better but really you have to run it live before you know what will happen.

I have mentioned before on NT forums that my most profitable strategy fails horribly in backtesting. It fares slightly better in market replay, usually breaking even or making a small profit at the end of the day. Luckily I had enough faith in the idea to test it live despite the poor backtest/replay results because it works quite well in real trading =)

One thing to note about market replay, I have observed that the results are much more accurate if you run it at low speed, ie 2x-8x speed or thereabouts. But as you said there are way too many interesting ideas to try and not enough time, so I normally run it on 200-500x speed just to get a feel for the strategy then if the results are close to my expectations I will run it in live simulation for a few days.

Reply With Quote
 
  #10 (permalink)
Elite Member
Calgary Canada
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
jackyd's Avatar
 
Posts: 47 since Jun 2009
Thanks: 44 given, 18 received



sefstrat View Post
I have mentioned before on NT forums that my most profitable strategy fails horribly in backtesting.

That's funny. I hadn't come across that tidbit on the forums, but somehow I'm not surprised.

I have a love/hate relationship with the backtester, but right now we're on good terms. I found a couple things I was doing that were causing it to be flakey on me. Not all the time, but just enough to drive you crazy. So, knock on wood, I'm going to continue with it for the time being.

But there's no substitue for the real thing I guess. I like testing in sim mode, but I just wish there was a way to get the output into a log file instead of that stupid window. I'll start using market replay more once I have my second system built, but right it just isn't practical with my setup.

It's nice to hear how people like yourself that are having success approach things, and how you utilize the tools.

Reply With Quote

Reply



futures io > > > > > Opinions on COBC set to false in strategies

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
UPS opinions? Poocher Tech Support 45 July 4th, 2017 12:28 PM
Denise Shull/Trader Psyches - Any opinions? Zen Trader Trading Reviews and Vendors 8 September 5th, 2014 07:23 AM
Bar End Result diifferent based on COBC? LostTrader NinjaTrader Programming 8 June 15th, 2011 08:50 PM
Quick COBC NinjaTrader Question Fat Tails NinjaTrader Programming 6 December 6th, 2010 01:29 PM
Opinions anyone on Zen-Fire 64-bit using NT7b22? nanobiotech Reviews of Brokers and Data Feeds 10 October 18th, 2010 10:35 PM


All times are GMT -4. The time now is 07:03 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-13 in 0.14 seconds with 19 queries on phoenix via your IP 54.90.92.204