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Strategy creating 95%-100% winning trades
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Strategy creating 95%-100% winning trades

  #61 (permalink)
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But only one option: to check all the results of trading strategies for real money (micro lots). Everything else is very often leads to loss of money.

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  #62 (permalink)
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monpere View Post
Crap! Now I have to go back and retest every strategy I ever wrote on Ninja with a multi bar series. Who knows? I may have scrapped a couple of million dollar a year strategies ! But seriously people, it's 2011, how hard could it be to write a tick based backtester? Am I missing something here? We need to force the issue with our vendors. I say we boycott all of them!

Can't speak to why NT is unable to do this, but MultiCharts does it fine. You simply click a button and it will use "bar magnifier" (tick data) on non-tick data series to give you accurate OHLC. The other nice thing is it automatically assumes the worst OHLC order, whereas it seems to me that NT assumes the best. Even if NT would just assume the worst it would be a huge improvement in the "don't get your hopes up" department, but obviously the best choice would be a bar magnifier type feature.

But seriously, if NT does what you need - stick with it. If it doesn't, just switch. There are good alternatives. No need to beat yourself up.

Mike

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  #63 (permalink)
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Big Mike View Post
Can't speak to why NT is unable to do this, but MultiCharts does it fine. You simply click a button and it will use "bar magnifier" (tick data) on non-tick data series to give you accurate OHLC. The other nice thing is it automatically assumes the worst OHLC order, whereas it seems to me that NT assumes the best. Even if NT would just assume the worst it would be a huge improvement in the "don't get your hopes up" department, but obviously the best choice would be a bar magnifier type feature.

But seriously, if NT does what you need - stick with it. If it doesn't, just switch. There are good alternatives. No need to beat yourself up.

Mike

Well, they have Historical Fill Processing you can toggle between 'Default' and 'Liberal', It should be very easy to implement that similar toggle best/worst processing for OHLC order, at the very least. Probably 10 lines of code, including comment lines .

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  #64 (permalink)
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monpere View Post
Well, they have Historical Fill Processing you can toggle between 'Default' and 'Liberal', It should be very easy to implement that similar toggle best/worst processing for OHLC order, at the very least. Probably 10 lines of code, including comment lines .

Hi: I think most of us will be really happy if you could share with us these 10 lines of code ;-)

Thanks,
Pak

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  #65 (permalink)
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Before giving up on NT and its ability to use worst case scenario doing backtesting, I followed the instructions at http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?FillTypes and created a WorstCaseFillType.cs

The problem I'm facing now is ignorance

I'm trying to understand how it should work but I'm getting lost. maybe someone with more neurons (or with better connexions) is able to show some light.

Question:
NextLow, NextHigh, etc variables, where are they filled? What do they REALLY mean with "Next"?

let's suppose an order is filled at bar X (can be controlled by CurrentBar)
Now Target and Stop Loss (OCO) are on the market (state == working).

If Target (or StopLoss) price is reached, will be filled on the same bar X if and only if it "follows the colour of the bar".
IF bar X is red and we are processing a long order, we will not fill the target, but will fill the stopLoss
IF bar X is red and we are processing a short order, we will not fill the stopLoss, but will fill the Target
IF bar X is green and we are processing a short order, we will not fill the target, but will fill the stopLoss
IF bar X is gree and we are processing a long order, we will not fill the stopLoss, but will fill the Target

Can I get the "red" and "green" values from Strategy.Open[0] and Strategy.Close[0]?

Does it makes any sense?

Any help will be highly appreciated

Pak

Attached Files
Register to download File Type: cs WorstCaseFillType.cs (4.5 KB, 84 views)
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  #66 (permalink)
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Quoting 
Before giving up on NT and its ability to use worst case scenario

Why don't you instead use tick granularity?

Baruch

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  #67 (permalink)
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baruchs View Post
Why don't you instead use tick granularity?

Baruch

Hi Baruch:

I think it's also a good idea before changing platform ;-)

BTW, do you know any link where I could see a good, simple example of multitime frame, so I can use tick granularity?

Thanks,
pak

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  #68 (permalink)
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Hi Pak,
You can search in NT forum.
But its easy:
1. In Initialize - Add new time frame
2. In OnBarUpdate - now ninja runs twice through it. Once on BarsInProgress == 0 and once on BaesInProgress == 1.
Just put the code in the right place.
Like entries in "0" and stop and profit in "1".

Baruch
p.s.
You do it with EnterLong(0, true.....)
or EnterLong(1, true.....)

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  #69 (permalink)
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baruchs View Post
Hi Pak,
You can search in NT forum.
But its easy:
1. In Initialize - Add new time frame
2. In OnBarUpdate - now ninja runs twice through it. Once on BarsInProgress == 0 and once on BaesInProgress == 1.
Just put the code in the right place.
Like entries in "0" and stop and profit in "1".

Baruch
p.s.
You do it with EnterLong(0, true.....)
or EnterLong(1, true.....)

EnterLong() has a BarsInProgress parameter, but SetStopLoss() and SetProfitTarget() do not. So, do you have to do the following?

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...SetStopLoss();
...SetProfitTarget();
}

or do I have to code the stop/target logic myself like:

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...if ( Close[0] == myStopPrice ) {...}
...if ( Close[0] == myTargetPrice ) {...}
}

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  #70 (permalink)
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Israel
 
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Quoting 
EnterLong() has a BarsInProgress parameter, but SetStopLoss() and SetProfitTarget() do not. So, do you have to do the following?

I never use SetStopLoss() and SetProfitTarget(). Don't understand what they are good for.
I use Exit...
Baruch

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