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Exit on friday - Backtest stops after first friday


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Exit on friday - Backtest stops after first friday
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   #1 (permalink)
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Platform: NinjaTrader
Broker: iqfeed
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cago's Avatar
 
Posts: 8 since Oct 2011
Thanks: 25 given, 41 received

Hi

I have the code attachet below which is supposed to exit on friday. In backtest unfortunately it does exit on the first friday, but then there are no more trades in the following weeks. If I turn off the first part of the code (with /**/), of course it does not exit on friday anymore, but it keeps trading/backtesting.
Can it be, that "backtesting" doesnt work with some of the time-propertys?
Thanks a lot
cago

1. Part
protected override void OnBarUpdate()
{

DateTime dayFromLocal = Bars.GetTradingDayFromLocal(Time[0]);

if (currentDate != dayFromLocal )
{
currentDate = dayFromLocal;
if(currentDate.DayOfWeek == DayOfWeek.Friday)
{
DateTime cacheSessionBegin, cacheSessionEnd;
Bars.Session.GetNextBeginEnd(Time[0], out cacheSessionBegin, out cacheSessionEnd);
dtEntryCancel = cacheSessionEnd.AddMinutes(-60);
}
}


// Entryrule


2. Part (i can keep that active, has no influence)
if( Time[0] >= dtEntryCancel )
{
dtEntryCancel = Cbi.Globals.MaxDate;

{
// entries löschen
if (entryOrder.OrderState == OrderState.Working || entryOrder.OrderState == OrderState.Unknown || entryOrder.OrderState == OrderState.Rejected)
CancelOrder( entryOrder );

// Position schliessen
if( exitOnFriday )
{
switch( Position.MarketPosition )
{
case MarketPosition.Long:
if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
ExitLong(10, "fridayexitlong", "enterlong");
break;
case MarketPosition.Short:
if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
ExitShort(10, "fridayexitshort", "entershort");
break;

}
}
}
}

and those are the variables:
private DateTime currentDate = Cbi.Globals.MinDate;
private DateTime dtEntryCancel = Cbi.Globals.MaxDate;
private bool exitOnFriday = false;

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@cago,
You didn't provide your entry rules - so it is hard to advise you anything as the part in question is missing.
If you could attach stripped down version of your strategy with some dummy rule like: MA crossover this would be the most helpful

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Are you using replay mode ?

I would add some print's in the code and then open the output window
then you can actually print the values and understand and try to debug ...

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Posts: 8 since Oct 2011
Thanks: 25 given, 41 received

hi gregid, thanks for your reply!

I didn't wanna hide the entryrules :-) I just thought that they don't matter, but here the whole code:
 
Code 
public class EntryTest2015 : Strategy
    {
		
        #region Variables      
        private int barsago 			= 5; 
		int adxperiod 					= 20;
		int adxtoplevel 				= 35;
		int adxlowlevel 				= 20;
		int smaLongPeriod 				= 21;
		int smaShortPeriod 				= 7;
		private DateTime currentDate 	= Cbi.Globals.MinDate;	
		private DateTime dtEntryCancel 	= Cbi.Globals.MaxDate;
		private bool exitOnFriday 		= false;
		private IOrder entryOrder		= null;
		private IOrder stopOrder		= null;
		#endregion

   		#region INitialize
        protected override void Initialize()
        {

            CalculateOnBarClose = true;
			ExitOnClose 		= false;	
			TraceOrders      	= true;
        }
		#endregion

       	#region ONBarUpdate
        protected override void OnBarUpdate()
        {
			
			DateTime dayFromLocal = Bars.GetTradingDayFromLocal(Time[0]);
				
				if (currentDate != dayFromLocal )
					{
						currentDate = dayFromLocal;
						if(currentDate.DayOfWeek == DayOfWeek.Friday)
							{
								DateTime cacheSessionBegin, cacheSessionEnd;
								Bars.Session.GetNextBeginEnd(Time[0], out cacheSessionBegin, out cacheSessionEnd);
								dtEntryCancel =  cacheSessionEnd.AddMinutes(-60);
							}
					}	
			
			
            // Entrirule:    
						
				if (entryOrder == null && Position.MarketPosition == MarketPosition.Flat && (ADX (adxperiod)[0] > adxtoplevel))
				{
					if (CrossAbove (SMA(smaShortPeriod), SMA(smaLongPeriod), 1))
					{
                		entryOrder = EnterLong(10, "enterlong");
					}
				}
						
				else 
				{
					if (entryOrder == null && Position.MarketPosition == MarketPosition.Flat &&(ADX(adxperiod)[0] < adxlowlevel) )
					{
						if (CrossBelow (SMA(smaShortPeriod), SMA(smaLongPeriod), 1))
						{
                			entryOrder = EnterShort(10, "entershort");
						}
					}
				}
				
					
					
			// Exitrule:
					
				if (BarsSinceEntry() == barsago)
					{
						ExitLong(10, "exitlong", "enterlong");
						ExitShort(10, "exitshort", "entershort");
						entryOrder = null;
					}
					
												

           		
			//2. part of exitonfriday
				if( Time[0] >= dtEntryCancel ) 								
					{
						dtEntryCancel = Cbi.Globals.MaxDate;					
					
						{
							// delete entries
							if (entryOrder.OrderState == OrderState.Working || entryOrder.OrderState == OrderState.Unknown || entryOrder.OrderState == OrderState.Rejected)
								CancelOrder( entryOrder );
						
							// close positions
							if( exitOnFriday )
							{
								switch( Position.MarketPosition )
								{
									case MarketPosition.Long:
										if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
											ExitLong(10, "fridayexitlong", "enterlong");
										break;
									case MarketPosition.Short:
										if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
											ExitShort(10, "fridayexitshort", "entershort");
										break;
									
								}
							}
						}
					}
        				
		
		
		}
		
		#endregion							
		
				
        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int Barsago_for_Exit
        {
            get { return barsago; }
            set { barsago = Math.Max(1, value); }
        }
		
		[Description("")]
        [GridCategory("Parameters")]
		public int ADXPeriod
        {
            get { return adxperiod; }
            set { adxperiod = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int ADXToplevel
        {
            get { return adxtoplevel; }
            set { adxtoplevel = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int Adxlowlevel
        {
            get { return adxlowlevel; }
            set { adxlowlevel = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int SmaLongPeriod
        {
            get { return smaLongPeriod; }
            set { smaLongPeriod = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int SmaShortPeriod
        {
            get { return smaShortPeriod; }
            set { smaShortPeriod = Math.Max(1, value); }
        }
		
		[Description("Exit on Friday ein/aus")]
		[Category("Order Handling")]
		[Gui.Design.DisplayNameAttribute("Exit on Friday")]
		public bool ExitOnFriday 
		{
			get { return exitOnFriday; }
			set { exitOnFriday = value; }
		}
		
        #endregion
		
    }
}

I basically just want a strategy to test different entrys on theyr "percent profitable" result. But, because I want to backtest currencies and not stocks, I can't use "exitonclose", but I d'like to have the exit on friday.


@rleplae: Thanks for your advice! I will do that tomorrow! the output window I have already used, I'm also using "traceorders" to have more info about whats going on.

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   #6 (permalink)
Elite Member
Gits (Hooglede) Belgium
 
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Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,991 since Sep 2013
Thanks: 2,437 given, 5,801 received


cago View Post
hi gregid, thanks for your reply!

I didn't wanna hide the entryrules :-) I just thought that they don't matter, but here the whole code:
 
Code 
public class EntryTest2015 : Strategy
    {
		
        #region Variables      
        private int barsago 			= 5; 
		int adxperiod 					= 20;
		int adxtoplevel 				= 35;
		int adxlowlevel 				= 20;
		int smaLongPeriod 				= 21;
		int smaShortPeriod 				= 7;
		private DateTime currentDate 	= Cbi.Globals.MinDate;	
		private DateTime dtEntryCancel 	= Cbi.Globals.MaxDate;
		private bool exitOnFriday 		= false;
		private IOrder entryOrder		= null;
		private IOrder stopOrder		= null;
		#endregion

   		#region INitialize
        protected override void Initialize()
        {

            CalculateOnBarClose = true;
			ExitOnClose 		= false;	
			TraceOrders      	= true;
        }
		#endregion

       	#region ONBarUpdate
        protected override void OnBarUpdate()
        {
			
			DateTime dayFromLocal = Bars.GetTradingDayFromLocal(Time[0]);
				
				if (currentDate != dayFromLocal )
					{
						currentDate = dayFromLocal;
						if(currentDate.DayOfWeek == DayOfWeek.Friday)
							{
								DateTime cacheSessionBegin, cacheSessionEnd;
								Bars.Session.GetNextBeginEnd(Time[0], out cacheSessionBegin, out cacheSessionEnd);
								dtEntryCancel =  cacheSessionEnd.AddMinutes(-60);
							}
					}	
			
			
            // Entrirule:    
						
				if (entryOrder == null && Position.MarketPosition == MarketPosition.Flat && (ADX (adxperiod)[0] > adxtoplevel))
				{
					if (CrossAbove (SMA(smaShortPeriod), SMA(smaLongPeriod), 1))
					{
                		entryOrder = EnterLong(10, "enterlong");
					}
				}
						
				else 
				{
					if (entryOrder == null && Position.MarketPosition == MarketPosition.Flat &&(ADX(adxperiod)[0] < adxlowlevel) )
					{
						if (CrossBelow (SMA(smaShortPeriod), SMA(smaLongPeriod), 1))
						{
                			entryOrder = EnterShort(10, "entershort");
						}
					}
				}
				
					
					
			// Exitrule:
					
				if (BarsSinceEntry() == barsago)
					{
						ExitLong(10, "exitlong", "enterlong");
						ExitShort(10, "exitshort", "entershort");
						entryOrder = null;
					}
					
												

           		
			//2. part of exitonfriday
				if( Time[0] >= dtEntryCancel ) 								
					{
						dtEntryCancel = Cbi.Globals.MaxDate;					
					
						{
							// delete entries
							if (entryOrder.OrderState == OrderState.Working || entryOrder.OrderState == OrderState.Unknown || entryOrder.OrderState == OrderState.Rejected)
								CancelOrder( entryOrder );
						
							// close positions
							if( exitOnFriday )
							{
								switch( Position.MarketPosition )
								{
									case MarketPosition.Long:
										if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
											ExitLong(10, "fridayexitlong", "enterlong");
										break;
									case MarketPosition.Short:
										if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
											ExitShort(10, "fridayexitshort", "entershort");
										break;
									
								}
							}
						}
					}
        				
		
		
		}
		
		#endregion							
		
				
        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int Barsago_for_Exit
        {
            get { return barsago; }
            set { barsago = Math.Max(1, value); }
        }
		
		[Description("")]
        [GridCategory("Parameters")]
		public int ADXPeriod
        {
            get { return adxperiod; }
            set { adxperiod = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int ADXToplevel
        {
            get { return adxtoplevel; }
            set { adxtoplevel = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int Adxlowlevel
        {
            get { return adxlowlevel; }
            set { adxlowlevel = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int SmaLongPeriod
        {
            get { return smaLongPeriod; }
            set { smaLongPeriod = Math.Max(1, value); }
        }
		[Description("")]
        [GridCategory("Parameters")]
		public int SmaShortPeriod
        {
            get { return smaShortPeriod; }
            set { smaShortPeriod = Math.Max(1, value); }
        }
		
		[Description("Exit on Friday ein/aus")]
		[Category("Order Handling")]
		[Gui.Design.DisplayNameAttribute("Exit on Friday")]
		public bool ExitOnFriday 
		{
			get { return exitOnFriday; }
			set { exitOnFriday = value; }
		}
		
        #endregion
		
    }
}

I basically just want a strategy to test different entrys on theyr "percent profitable" result. But, because I want to backtest currencies and not stocks, I can't use "exitonclose", but I d'like to have the exit on friday.


@rleplae: Thanks for your advice! I will do that tomorrow! the output window I have already used, I'm also using "traceorders" to have more info about whats going on.


I think your entryOrder is not put to null in the Friday part of your code
that is why it does not take new trades
would that be possible ?

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Thanks: 320 given, 620 received


rleplae View Post
I think your entryOrder is not put to null in the Friday part of your code
that is why it does not take new trades
would that be possible ?

I concur with this assessment

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Posts: 8 since Oct 2011
Thanks: 25 given, 41 received

Hi guys, thank you so much for your help.

Unfortunately that didn't help, I placed the entryOrder = null on three positions.

 
Code 
// delete entries
if (entryOrder.OrderState == OrderState.Working || entryOrder.OrderState == OrderState.Unknown || entryOrder.OrderState == OrderState.Rejected)
CancelOrder( entryOrder );
entryOrder = null;
						
// close positions
if( exitOnFriday )
{
switch( Position.MarketPosition )
    {
	case MarketPosition.Long:
if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
ExitLong(10, "fridayexitlong", "enterlong");
entryOrder = null;
break;
case MarketPosition.Short:
if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
ExitShort(10, "fridayexitshort", "entershort");
entryOrder = null;
break;
The output window has it's last entry on the first friday and says:
**NT** Error on calling 'OnBarUpdate' method for strategy 'EntryTest2015/f810438ca706453ebbe8e0757e71a03d': Object reference not set to an object instance.

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Trading: Ockham's razor
 
gregid's Avatar
 
Posts: 651 since Aug 2009
Thanks: 320 given, 620 received


cago View Post
The output window has it's last entry on the first friday and says:
**NT** Error on calling 'OnBarUpdate' method for strategy 'EntryTest2015/f810438ca706453ebbe8e0757e71a03d': Object reference not set to an object instance.

Since you have now set entryOrder to null in the right places, you need to ensure that every time you check for for entryOrder, eg. here:
 
Code 
if( entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled )
You need to make sure you first ask if entryOrder != null, only then you can ask for the following conditions, eg.:
 
Code 
if(entryOrder != null && (entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled ))
The error simply says that you are checking for a condition of the null object which is not possible (conditions are checked left to right so if the first one is true the following are ignored)

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Posts: 651 since Aug 2009
Thanks: 320 given, 620 received


To make it even simpler you can add the following before your "//2. part of exitonfriday"
 
Code 
if (entryOrder == null) return;
//2. part of exitonfriday
This will ignore the remaining code if there is nothing to manage (ie: entryOrder is null)

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Platform: NinjaTrader
Broker: iqfeed
Trading: Stocks, Forex
 
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Posts: 8 since Oct 2011
Thanks: 25 given, 41 received

OK guys, thank you so much aganin for your help!
It exits now on friday. But that function is triggered very rarely. So it doesn't really have an influence on the result.

Nevertheless, I attached this code for backtesting entries on their "percent profitable". For those who wanna use it.

-> For Forex, turn "exit on close" off and "exit on friday" on.
-> The entry rule is of course just an example.
-> "Bars since Entry" is there for the exit since we just wanna compare how good the entry rule is. If you have a similar result on several values (like exit after 2, 4 and 6 bars) thats a good sign.

Attached Files
Register to download File Type: cs EntryTest 3.cs (5.3 KB, 4 views)
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