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Buy on Close(Today)
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Buy on Close(Today)

  #1 (permalink)
Trading Apprentice
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Posts: 24 since Feb 2011
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Buy on Close(Today)

Hi folks,

I'm pretty new to NT and Mike's forum.
I'm challenged by a actually simple, but with NT seemingly unfeasable aproach.
I want to implement a simple strategy based on daily data that operates on a Close to Close base.
The logic is going to be:

If the Close today is higher than the Close yesterday, buy on today's close and sell at tomorrows close.
Short analog.

The system is always in market and it's backtesting only.
NT Support already told me that this kind of apprach is unpossible at least using the managed approach of ordering.

Does anybody know how to solve that issue, if necessary using the unmanged approach?
One has to force NT somehow to execute the order on the bar where it's generated and to
excecute it at the Close-price of the today's bar..
Using Index -1 within managed approach yields to weird behavior, not all orders are excecuted.

Any ideas or should I forget about NT?

Cheers and thanks in advance!


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  #2 (permalink)
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  #3 (permalink)
Administrator: Retired Backtester
Rennes France
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sam028's Avatar
Posts: 3,424 since Jun 2009
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The problem is that you have this information:
1#"If the Close today is higher than the Close yesterday"
at the close itself, so it's too late to
2#"buy on today's close"...
An idea is maybe to add another time frame, let's say a 10 seconds bar, and not use the Close for 1# but the Close minus 10 seconds.

Success requires no deodorant! (Sun Tzu)
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  #4 (permalink)
Trading Apprentice
Futures Experience: Beginner
Platform: Ninja Trader
Favorite Futures: Stocks
Posts: 24 since Feb 2011
Thanks: 1 given, 0 received

-Unfurtunately I don't have another timeframe, it's daily data only back to the 70's.
I tried it like this:

if (Close[-1] >Close[0])
EnterLongLimit(1, Close[-1], "Long-Entry");

short analog,

and to exit on the actual bar with:

if (BarsSinceEntry("Long-Entry") == 0 )

ExitLongLimit(Close[-1], "Exit Long", "Long-Entry");

In case of a reversion NT generates a close oder by itself and
I used some code to suppress strategy generated exit orders in this case.
But it still doesn't always work. NT suppresses some of the entry orders.
According to support managed orders are not able to deal with [-1].

May be an unmanaged order system helps me out-but I'm totally new to this approach and don't know
if that might work.

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  #5 (permalink)
Elite Member
Futures Experience: Beginner
Platform: NinjaTrader, TOS
Posts: 798 since Jun 2009
Thanks: 109 given, 790 received

It has been pretty well explained here: Buy on Close (Today) - NinjaTrader Support Forum

and in Sam's comments.

Use Excel or Matlab instead... something that doesn't care if you are violating reality .

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