New at Programming, stuck with a crossover strat

DeadCatBounced · (login for full post details)

Hello

Just getting into programming so I thought I would set myself a challenge of building what I thought would be a fairly simple strategy. I am attempting to create a strategy that does the following: When the price reaches a point that is + or - 5 ticks of it either goes long or short.

Example: my indicator (lets use a SMA just for example) is at 95.05 the price is currently at 94.8. What I would like to have happen is that as the price moves up, at 95.00 it will enter a short position. If the price continues to go up at 95.10 it would reverse and enter a long position. (or vice versa ofc if the price was coming down to my SMA.

I started out using the wizard, and then looking at the view code button of the different sample strategies figured I would need to use an if, then else if statement to effect the reverse.

Here is my code currently.

Code

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// bam
    /// </summary>
    [Description("bam")]
    public class MA2 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int sMAlookback = 50; // Default setting for SMAlookback
        private int offset = 5; // Default setting for Offset
        private int offsetneg = -5; // Default setting for Offsetneg
        // User defined variables (add any user defined variables below)
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            Add(SMA(SMAlookback));
            Add(SMA(SMAlookback));

            CalculateOnBarClose = false;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
			Print("LongCurrentAsk: "+GetCurrentAsk()+" Offset+Tick: "+(Offset * TickSize)+" SMA: "+SMA(SMAlookback)[0]);
			Print("Calculated value: "+(GetCurrentAsk() + Offset * TickSize));
			
			Print("ShortCurrentBid: "+GetCurrentBid()+" Offsetneg+Tick: "+(Offsetneg * TickSize)+" SMA: "+SMA(SMAlookback)[0]);
			Print("Calculated value: "+(GetCurrentBid() + Offsetneg * TickSize));
			
            if (CrossAbove(GetCurrentAsk() + Offset * TickSize, SMA(SMAlookback), 1))
                EnterLong(DefaultQuantity, "");
            else if (CrossBelow(GetCurrentBid() + Offsetneg * TickSize, SMA(SMAlookback), 1))
                EnterShort(DefaultQuantity, "");
        }
		
		

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int SMAlookback
        {
            get { return sMAlookback; }
            set { sMAlookback = Math.Max(50, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int Offset
        {
            get { return offset; }
            set { offset = Math.Max(5, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int Offsetneg
        {
            get { return offsetneg; }
            set { offsetneg = Math.Max(-5, value); }
        }
        #endregion
    }
}

Anyways, currently it does not seem anything is working. Not sure what I am doing wrong - when I hit the compile button it doesn't come up with any logic errors. If someone could help me with this that would be great!

Also, I was looking at purchasing this ebook: Smashwords ? NinjaScript Programmer's Launch Pad ? A book by Scott Daggett to assist me in learning the basics of ninjascript programming - does anyone have experience with this and if it is worth the time?

gregid · (login for full post details)

add brackets in correct places:
change:

Code

GetCurrentAsk() + Offset * TickSize

to:

Code

GetCurrentAsk() + (Offset * TickSize)

Also if you are new to programming always use curly brackets with conditions:

Code

if (condition1)
{
    something;
}
else
{
   somethingelse;
}

this will save you a lot of problems in the near future

DeadCatBounced · (login for full post details)

Thanks for the help.

I added in the brackets so the code now looks like this:

Code

            if (CrossAbove(GetCurrentAsk() + (Offset * TickSize), SMA(SMAlookback), 1))
			{
                EnterShort(DefaultQuantity, "");
			}
            else if (CrossBelow(GetCurrentBid() + (Offsetneg * TickSize), SMA(SMAlookback), 1))
			{
                EnterLong(DefaultQuantity, "");
			}

It is sort of working. For whatever reason it was going long when I meant it to go short and short when I meant it to go long so I switched the short/ long orders and the directions are atleast good.

However it doesnt seem to reverse, it only does the one trade?

Zondor · (login for full post details)

You are not using predefined reusable instances of the external class, which in this case is the SMA class..

Not doing so exacts a huge performance penalty.

Refer to the "Anyone have any hints for Optimizing C# code" thread for a further explanation.

The strategy wizard produces code in a simplistic manner without regard for its operational efficiency.

The examples in the Ninjatrader Help coding tutorials likewise ignore such considerations.

DeadCatBounced · (login for full post details)

Hey Zondor thanks for the reply.

So what I am reading in that other thread is basically the way the SMA is calculated is every tick throughout the bar it is recalculated which obviously takes up computing power.

Looking at the code for the stochastic that you optimized you put in a If statement

if(FirstTickOfBar)

Whereas in Richard Todd's article that I found on the ninjatrader link he uses

a void OnBarUpdate.

im thinking that because I do want every tick to check if it has gotten close to the SMA for my entry conditions I will use the void OnBarUpdate?

DeadCatBounced · (login for full post details)

I still cannot get it to reverse positions for me.

When I looked at the code for the SampleMACrossOver strat that ninja supplies (here is their code)

Code

			if (CrossAbove(SMA(Fast), SMA(Slow), 1))
			    EnterLong();
			else if (CrossBelow(SMA(Fast), SMA(Slow), 1))
			    EnterShort();

It reverses fine.

Yet my code, which I think has the same basic logic:

Code

            if (CrossAbove(GetCurrentAsk() + (Offset * TickSize), SMA(SMAlookback), 1))
			{
                EnterShort(DefaultQuantity, "");
			}
            else if (CrossBelow(GetCurrentBid() + (Offsetneg * TickSize), SMA(SMAlookback), 1))
			{
                EnterLong(DefaultQuantity, "");
			}

Only goes has the one entry and will not reverse on me :/

Any ideas on what I am doing wrong?

gregid · (login for full post details)

Try removing the empty string in your EnterLong and EnterShort:

Code

EnterLong(DefaultQuantity);

Give it a try as (possibly!) the string identifies the order therefore NT waits for you exiting the named order first.

DeadCatBounced · (login for full post details)

Thanks for the help gregid, no luck tho :/

Tasker_182 · (login for full post details)

Trader Chris

I still cannot get it to reverse positions for me.

When I looked at the code for the SampleMACrossOver strat that ninja supplies (here is their code)

Code

			if (CrossAbove(SMA(Fast), SMA(Slow), 1))
			    EnterLong();
			else if (CrossBelow(SMA(Fast), SMA(Slow), 1))
			    EnterShort();

It reverses fine.

Yet my code, which I think has the same basic logic:

Code

            if (CrossAbove(GetCurrentAsk() + (Offset * TickSize), SMA(SMAlookback), 1))
			{
                EnterShort(DefaultQuantity, "");
			}
            else if (CrossBelow(GetCurrentBid() + (Offsetneg * TickSize), SMA(SMAlookback), 1))
			{
                EnterLong(DefaultQuantity, "");
			}

Only goes has the one entry and will not reverse on me :/

Any ideas on what I am doing wrong?

If you haven't already done so, read the NinjaTrader help file and in particular look for the statements you are using and what their requirements are. It takes time to go through the help file but there really is quite a bit of relevant info and examples in there.

In general:
1) When something does not seem to execute check the Ninja Log for any error statements. Also bring up the output window to see if anything is printed there.
2)use Print statements (that output to the Output window) to identify that your code is executing through the logical area in question. For example use a Print statement in your "else if" section to show that the program is going through the "else if" section. If it does then use further print statements perhaps to advise the status of the variables being used to help understand the logic decisions.

It can be frustrating yet rewarding when you make breakthroughs in coding, just keep plugging away.

DeadCatBounced · (login for full post details)

Thanks for your reply Tasker_182!

Yeah I have been working my way through the help file. It is a ton of information to wrap my head around but I am trying!

I have added print statements to my code so it looks like this:

Code

        {
            if (CrossAbove((GetCurrentAsk() + (Offset * TickSize)), SMA(SMAlookback), 1))
			{
				Print("LongCurrentAsk: "+GetCurrentAsk()+" (Offset+Tick): "+(Offset * TickSize)+" SMA: "+SMA(SMAlookback)[0]);
				Print("Calculated value: "+(GetCurrentAsk() + (Offset * TickSize)));
                EnterShort();
			}
            else if (CrossBelow((GetCurrentAsk() + (Offsetneg * TickSize)), SMA(SMAlookback), 1))
			{
				Print("ShortCurrentAsk: "+GetCurrentAsk()+" (Offsetneg+Tick): "+(Offsetneg * TickSize)+" SMA: "+SMA(SMAlookback)[0]);
				Print("Calculated value: "+(GetCurrentAsk() + (Offsetneg * TickSize)));
                EnterLong();
			}
        }

When I look at the output window as the code works I get this:

Code

ShortCurrentAsk: 92.94 (Offsetneg+Tick): -0.05 SMA: 92.8932
Calculated value: 92.89
2013-06-04 3:37:38 AM Entered internal PlaceOrder() method at 2013-06-04 3:37:38 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
ShortCurrentAsk: 92.94 (Offsetneg+Tick): -0.05 SMA: 92.8932
Calculated value: 92.89
2013-06-04 3:37:39 AM Entered internal PlaceOrder() method at 2013-06-04 3:37:39 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
2013-06-04 3:37:39 AM Ignored PlaceOrder() method at 2013-06-04 3:37:39 AM: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Buy' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
ShortCurrentAsk: 92.94 (Offsetneg+Tick): -0.05 SMA: 92.8932
Calculated value: 92.89
2013-06-04 3:37:39 AM Entered internal PlaceOrder() method at 2013-06-04 3:37:39 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
2013-06-04 3:37:39 AM Ignored PlaceOrder() method at 2013-06-04 3:37:39 AM: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Buy' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'
ShortCurrentAsk: 92.94 (Offsetneg+Tick): -0.05 SMA: 92.8932

So in that instance the price was above the SMA, at 5 ticks above it went long(which is good!) the output window keeps coming up with this over and over again

Code

2013-06-04 3:37:39 AM Entered internal PlaceOrder() method at 2013-06-04 3:37:39 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
2013-06-04 3:37:39 AM Ignored PlaceOrder() method at 2013-06-04 3:37:39 AM: Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Buy' FromEntrySignal='' Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'

Which would mean to me that it keeps getting an order spammed at it that it cannot fill. When in reality all I would like is for it to do nothing until the price moved to 5 ticks below the moving average and have it reverse and go short then.

So basically right now it will do the first entry correctly but it will not reverse for me! :/

Anyways I will keep at it. seems like its a fairly decent sized learning curve but hopefully worth it once I figure it out!

gregid · (login for full post details)

Trader Chris

Code

Reason='Exceeded entry signals limit based on EntryHandling and EntriesPerDirection properties'

Check what are the values for these properties of your strategy in the property grid.

You can change these values in your code as well (in Initialize() ):

Code

EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;

DeadCatBounced · (login for full post details)

I havent changed the entries per direction from the default setting which from the webinars I have seen I believe the default value is 1.

I didn't want to change that because at this time I only want can do the one contract at a time! :P

So because I never played with that variable I do not even see it at all in the initialized() area

shodson · (login for full post details)

First of all, you are using CrossAbove() and CrossBelow() incorrectly. If you look at CrossAbove() for example...

CrossAbove()

You will see that the first parameter needs to be a DataSeries object, not a double. The expression

Code

GetCurrentAsk() + (Offset * TickSize)

evaluates to a double, not a DataSeries. I'm surprised your code even compiles! NT's syntactical leniency is the cause of your headaches.

Personally, I've had problems getting these cross methods to work for me sometimes, maybe I was using them incorrectly, but a long time ago I decided to never use them. Now I do something like "if x > y and x wasn't > y in the last bar" logic to determine crosses above.

So if I was to use the Close instead of the ask (not sure why you're using the asking price) it could be

Code

SMA sma = SMA(Lookback);
double smaNow = sma[0];
double smaLastBar = sma[1];
double priceNow = Close[0];
double priceLastBar = Close[1];

if (priceNow + (Offset * TickSize) > smaNow && priceLastBar + (Offset * TickSize) <= smaLastBar)

...then we have a cross above scenario

New at Programming, stuck with a crossover strat

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New at Programming, stuck with a crossover strat

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