I've been sim trading a strategy that calls an ATM when getting buy or sell signals, and last night copied it and took out the buy/sell actions and replaced them with playsound and drawarrow commands so it was a "signal only" strat.
I then ran both on live ES data, using signals generated by the "signal only" strat to manually enter trades in one of my brokerage accounts. All in a days work.
BUT... the "signal only" strat was generating calls that the sim trader never took, and in some cases sim trader kicked in a few bars later. The "signal only" strat appeared to follow the conditions in the strat perfectly, while the one that does the buy/sell was less predictable.
Any ideas on where I should look for errors?
FWIW the ATM call strategy is cut-and-paste from the factory example.
Can you help answer these questions from other members on futures io?
The call ATM one has this instead of the drawarrowup, etc:
{
// ATM Strategy code cut-and-paste from NT
// Make sure this strategy does not execute against historical data
if (Historical)
return;
// Submits an entry limit order at the current low price to initiate an ATM Strategy if both order id and strategy id are in a reset state
// **** YOU MUST HAVE AN ATM STRATEGY TEMPLATE NAMED 'ES 2 w BE and Trail' CREATED IN NINJATRADER (SUPERDOM FOR EXAMPLE) FOR THIS TO WORK ****
if (orderId.Length == 0 && atmStrategyId.Length == 0 && Close[0] > Open[0])
{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Action.Buy, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "ES 2 w BE and Trail", atmStrategyId);
}
// Check for a pending entry order
if (orderId.Length > 0)
{
string[] status = GetAtmStrategyEntryOrderStatus(orderId);
// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
if (status.GetLength(0) > 0)
{
// Print out some information about the order to the output window
Print("The entry order average fill price is: " + status[0]);
Print("The entry order filled amount is: " + status[1]);
Print("The entry order order state is: " + status[2]);
// If the order state is terminal, reset the order id value
if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
orderId = string.Empty;
}
} // If the strategy has terminated reset the strategy id
elseif (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
atmStrategyId = string.Empty;
if (atmStrategyId.Length > 0)
{
// You can change the stop price
if (GetAtmStrategyMarketPosition(atmStrategyId) != MarketPosition.Flat)
AtmStrategyChangeStopTarget(0, Low[0] - 3 * TickSize, "STOP1", atmStrategyId);
// Print some information about the strategy to the output window
Print("The current ATM Strategy market position is: " + GetAtmStrategyMarketPosition(atmStrategyId));
Print("The current ATM Strategy position quantity is: " + GetAtmStrategyPositionQuantity(atmStrategyId));
Print("The current ATM Strategy average price is: " + GetAtmStrategyPositionAveragePrice(atmStrategyId));
Print("The current ATM Strategy Unrealized PnL is: " + GetAtmStrategyUnrealizedProfitLoss(atmStrategyId));
}
i know from some examples where the printed values of indicators hasnt been the same as the values using this indicator in a strategy - always because of a special + unique coding-problem.
so your arrow+sound is a plotting-thing + order-execution is a strategy-thing.
i see you use the ADXVMA -- thats one of the examples i am talking about -- i had trouble too with that some time ago.
here is a link -- have a look + test it .
RJay, is that by specifying the same number of bars or the same number of days or either? (in the Format Data Series Dialogue Box) or am I totally on the wrong track?
Well its not quite there yet. Attached two photos... one of the strat executing the ATM and one of the strat executing draw arrow. There are four instances where the strat with the ATM "missed" buy signals and one instance where it did a "buy" when it should not have.
When those two strats run live against incoming data, the indicators look exactly the same.
In a way it was good to be out of some of that chop... I just need to figure out why the code does not work the same between both strats.
Go Long ATM:
// ATM Strategy code cut-and-paste from NT
// Make sure this strategy does not execute against historical data
if (Historical)
return;
// Submits an entry limit order at the current low price to initiate an ATM Strategy if both order id and strategy id are in a reset state
// **** YOU MUST HAVE AN ATM STRATEGY TEMPLATE NAMED 'ES 2 w BE and Trail' CREATED IN NINJATRADER (SUPERDOM FOR EXAMPLE) FOR THIS TO WORK ****
// in the line below I've deleted && Close[0] > Open[0] from the default sampleATMstrategy code
if (orderId.Length == 0 && atmStrategyId.Length == 0 )
{
atmStrategyId = GetAtmStrategyUniqueId();
orderId = GetAtmStrategyUniqueId();
AtmStrategyCreate(Action.Buy, OrderType.Market, 0, 0, TimeInForce.Day, orderId, "ES 2 w BE and Trail", atmStrategyId);
}
// Check for a pending entry order
if (orderId.Length > 0)
{
string[] status = GetAtmStrategyEntryOrderStatus(orderId);
// If the status call can't find the order specified, the return array length will be zero otherwise it will hold elements
if (status.GetLength(0) > 0)
{
// Print out some information about the order to the output window
Print("The entry order average fill price is: " + status[0]);
Print("The entry order filled amount is: " + status[1]);
Print("The entry order order state is: " + status[2]);
// If the order state is terminal, reset the order id value
if (status[2] == "Filled" || status[2] == "Cancelled" || status[2] == "Rejected")
orderId = string.Empty;
}
} // If the strategy has terminated reset the strategy id
elseif (atmStrategyId.Length > 0 && GetAtmStrategyMarketPosition(atmStrategyId) == Cbi.MarketPosition.Flat)
atmStrategyId = string.Empty;
if (atmStrategyId.Length > 0)
{
// You can change the stop price
if (GetAtmStrategyMarketPosition(atmStrategyId) != MarketPosition.Flat)
AtmStrategyChangeStopTarget(0, Low[0] - 3 * TickSize, "STOP1", atmStrategyId);
// Print some information about the strategy to the output window
Print("The current ATM Strategy market position is: " + GetAtmStrategyMarketPosition(atmStrategyId));
Print("The current ATM Strategy position quantity is: " + GetAtmStrategyPositionQuantity(atmStrategyId));
Print("The current ATM Strategy average price is: " + GetAtmStrategyPositionAveragePrice(atmStrategyId));
Print("The current ATM Strategy Unrealized PnL is: " + GetAtm
1. Compare each strat's code once again, line by line.
2. Run both on the same chart using Market Replay 1x speed.
3. Work on hard coding an "ATM like" exit strategy as Mike suggested weeks ago . I've started that already on a strat I use on FESX, but struggling with how to "tighten" stops after trailing for a while.
It's 9am where I live, which gives me 5 hours until FESX opens. Let the Games begin!
Just to update this thread. My problem was solved with Action #1 above. A single typo in my strat code had it trading against an indicator parameter that was different than the plotted parameter.
I've found the bug, and it was me.
On the ATM-like hard code, I'm still playing around with it. To be honest the only reason for it seems to be the issue of backtesting using data from different time frames. Important, but I need to prioritize what I need to do in NT.
Platform: NinjaTrader, TOS, Multicharts, Open Source various
Trading: FDAX, cable/yen, FX, options on commodities
Posts: 67 since Jun 2009
Thanks: 16 given,
10
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Hi MXASJ - Any chance you could post the code from the completed strategy? I'm trying to make one work with long and short entry conditions but I keep getting errors in the log, then it stops running. I've added in TraceOrders = true ; and print () statements everywhere then viewed the output window but it doesn't show where it falls down as the errors all happen at once. I keep getting method errors that say orderid and strategy id don't exist. Am working on it now but have spent a long time at it.
If you could put up the code with an entry condtion calling on an ATM I'd really appreciate it.
Man that seems like a long time ago... I actually don't have that strat any more and I've moved all my development over to NT7. Also, I haven't been using strats to fire ATM strategies in quite some time.
Where are you stuck?
The basic logic was like this pseudo code:
//Go long
If (Its going up!
&& marketposition is flat)
Launch MyLongAtm
//Go short
If (Its tanking!
&& marketposition is flat)
Launch MyShortATM
My thing was based on the sample ATM strategy code at the Ninja site.
. I've started that already on a strat I use on FESX, but struggling with how to "tighten" stops after trailing for a while.