I have a strange issue with with a simple crossover strategy based on Trigger Lines and UniRenko bar type. From time to time the strategy misses trades. If I restart the strategy it will mark missed trades in history as if it took them. There is no data in Ninjatrader log related to missed orders. It looks like Ninjatrader only recognizes these trades historically. Did anybody else experience this? Is there some way to avoid this?
Last edited by waver; November 7th, 2013 at 07:25 PM.
Not sure If I understand the question as you intended. But here is my understanding of trading Renko type bars:
Unirenko or Renko type bars in general are a kind of volatility bars. Their size determine a volatility range which I think if reached there will be a breakout in that direction. One determines the bar size based on a volatility that matches one's risk comfort. If 20 tick risk is too much risk, then perhaps something smaller, but targets need to be smaller too. Therefore, it does not make sense to wait for so many bars to enter a trade after the breakout has already occurred.
Case in example; CL tends to move in ranges of 10 ticks. So, a UniRenko of the size 10 or 20 makes sense. The entry will be one tick above or below the close of the bar, simple. Otherwise if one waits and enters after so many bars, each additional bar is another 10 ticks. After 3 bars CL has already moved 30 ticks. Do you really want to enter a position there? That is three times the size of the volatility and the swing move is usually exhausted by then.
All said, I find 20 ticks move in CL (size 20) will more often result in a continuation to over 50 ticks than smaller bar size. A 10 tick size is more prone to whipsaw. But, regardless of the size, the best is to enter right after the close of the signal bar. Otherwise, the volatility range basis for selecting the bar size is totally ignored.
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I don't wait for the bar to be completed when my all conditions are met.
Enter a 3 contracts order at 4 ticks below/above from the signal bar open
with ATM 5 ticks Stop and 8-10 ticks Target for small scalps in T2R13O1 setting.
It is just one of indicators I use along with others.
I've zipped modified UR Close & Reversal Entry with a sound file which works in the fast market.
Last edited by Big Mike; November 20th, 2013 at 02:20 PM.
Reason: removed DLL attachment
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I want to add UniRenko bar type to existing MTF indicator as secondary series, unlike regular tick bar type which require only one period parameter, UniRenko requires three (Trend, Reversal, Offset), and this cannot be done in the regular way.
Any ideas how to solve this issue?
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