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THREE SET UPS
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Created: by Jeff Castille Attachments:243

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THREE SET UPS

  #291 (permalink)
 Vendor: www.ezcolortrading.com 
Cambridge, Ontario
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Zen-Fire
Favorite Futures: 6E
 
Posts: 1,773 since Dec 2009
Thanks: 1,258 given, 1,196 received

For the record, I have been creating my strategies using NJ Wizard (learn how to modify the code to meet my needs) and cut-and-paste from other sample strategies. Am not in a position to share them though the Inside Bar ones seem so far working normal.

Here they come my Entry codes if they may help some of you (though I doubt it) ..

The following for the InsideBarLong strategy:

 
Code
 
protectedoverridevoid OnBarUpdate()
{ 
// put at top of OnBarUpdate()
if (Historical && !BackTestEnable) 
return;
 
//Definition of Inside Bar Entry
int bo = CurrentBar < Bars.Count - 1 ? 0 : (CalculateOnBarClose ? 0 : 1);
if (CurrentBar == 0) return;
 

// Resets the stop loss to the original value when all positions are closed
if (Position.MarketPosition == MarketPosition.Flat)
{
debug ("Reset Stops");
SetStopLoss("", CalculationMode.Ticks, stoplossticks, false);

 
//Condition set 1 Go Long
if (High[1 + bo] >= High[bo] && Low[1 + bo] <= Low[bo])
{
debug ("Entering LongStop");
EnterLongStop(DefaultQuantity, High[0]+1*TickSize,"");
DrawArrowUp("Long" + CurrentBar, true, 0, Low[0] - (4*TickSize), Color.Lime);
}
Replace the Go Long condition for the InsideBarShort strategy:

 
Code
 
//Condition set 2 Go Short
if (High[1 + bo] >= High[bo] && Low[1 + bo] <= Low[bo])
{
debug ("Entering ShortLimit");
EnterShortStop(DefaultQuantity, Low[0]-1*TickSize,"");
DrawArrowDown("Short" + CurrentBar, true, 0, High[0] + (4*TickSize), Color.Red);
}
Note: Both Outside Bar and Reversal Bar strategies are too advanced for me. Will focus on the Inside Bar one LOL!

Beth

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  #292 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


wgreenie View Post
For the record, I have been creating my strategies using NJ Wizard (learn how to modify the code to meet my needs) and cut-and-paste from other sample strategies. Am not in a position to share them though the Inside Bar ones seem so far working normal.

I tried creating an OCO-type order set once the inside bar forms, but I kept getting errors, so now I just use a 1-range bar and if the high or low of the inside bar is exceeded I place a market order, so I'm going to live with the slippage.

Another approach would be to look at how close to the boundaries of the bar are and if it is close to the top of the inside bar then you place your buy stop order, but then if it moves down towards the bottom then cancel the buy stop order and enter a sell stop order. Basically, you're playing pickle with price until it exceeds one side of the inside bar.

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  #293 (permalink)
 Vendor: www.ezcolortrading.com 
Cambridge, Ontario
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Zen-Fire
Favorite Futures: 6E
 
Posts: 1,773 since Dec 2009
Thanks: 1,258 given, 1,196 received



shodson View Post
I tried creating an OCO-type order set once the inside bar forms, but I kept getting errors, so now I just use a 1-range bar and if the high or low of the inside bar is exceeded I place a market order, so I'm going to live with the slippage.

Another approach would be to look at how close to the boundaries of the bar are and if it is close to the top of the inside bar then you place your buy stop order, but then if it moves down towards the bottom then cancel the buy stop order and enter a sell stop order. Basically, you're playing pickle with price until it exceeds one side of the inside bar.

Hi Shodson

I emailed NJ on how to code a pair of breakout orders in a 6.5 strategy. Here it comes his response:

Quote

This isn't possible with our managed order system in 6.5. You would run into our internal order handling rules. (Overview)

Methods that generate orders (excluding market orders) to *enter* a position will be ignored if:
* A position is open and an order submitted by an exit method (_ExitLongLimit()_ (ExitLongLimit()) for example) is active and the order is used to open a position in the opposite direction
* A position is open and an order submitted by a set method (_SetStopLoss()_ (SetStopLoss()) for example) is active and the order is used to open a position in the opposite direction
* *The strategy position is flat and an order submitted by an enter method (*_*EnterLongLimit()*_ (EnterLongLimit())* for example) is active and the order is used to open a position in the opposite direction*

This is possible with unmanaged order submission that we introduced in version 7. See here for an introduction to unmanaged orders. (Unmanaged Approach)

Unquote

I will continue sim-trading both Long and Short strategies and manage them manually.

Beth

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  #294 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,563 since Jun 2009
Thanks: 1,157 given, 2,032 received

Tradestation had an inside bar while IQFeed on market delta & ninja did not. Shame on tradestation. Pretty rare for minute bars to be so far off.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #295 (permalink)
Elite Member
Northern California
 
Futures Experience: Intermediate
Platform: Ninja Trader
Broker/Data: Amp Futures/ Zen-Fire
Favorite Futures: YM and CL
 
Jeff Castille's Avatar
 
Posts: 2,119 since Jun 2009
Thanks: 1,785 given, 3,279 received

Today trades

A couple of nice inside bar winners.........NO losers !!

As far as the "testing" goes.........I'm NOT going to pay ANY attention to it UNTIL a way is found to incorporate news.

Jeff

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THREE SET UPS-cl-08-10-6_28_2010-15-min-.jpg  
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  #296 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


Jeff Castille View Post
A couple of nice inside bar winners.........NO losers !!

As far as the "testing" goes.........I'm NOT going to pay ANY attention to it UNTIL a way is found to incorporate news.

Jeff

Yeah I missed those

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  #297 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received


Jeff Castille View Post
As far as the "testing" goes.........I'm NOT going to pay ANY attention to it UNTIL a way is found to incorporate news.

Jeff

As a discretionary trader, that easy. You simply don't trade around news, but I wouldn't believe any discretionary (as opposed to mathematical) backtesting.

For an ATS, code a parameter to carve out news time or simply use a button indicator. Super easy.

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  #298 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
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Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


Jeff Castille View Post
As far as the "testing" goes.........I'm NOT going to pay ANY attention to it UNTIL a way is found to incorporate news.

How far in front of and after a news event do you wait before trading again? What if an inside bar formed inside of the news window, ignore it right? Or you would take it and you just avoid entering trades during the news window, but don't necessarily avoid their candles, right?

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  #299 (permalink)
Membership Revoked
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Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received


shodson View Post
How far in front of and after a news event do you wait before trading again? What if an inside bar formed inside of the news window, ignore it right? Or you would take it and you just avoid entering trades during the news window, but don't necessarily avoid their candles, right?

If I'm in a trade and it's in my favor or I've moved my stop to entry, I will trade through news. If not, I close out the trade and would wait 5-10 minutes after dissemination.

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  #300 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
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Also checked my Interactive Brokers feed, is in line with IQFeed, so definitely a data bug on tradestation.


cunparis View Post
Tradestation had an inside bar while IQFeed on market delta & ninja did not. Shame on tradestation. Pretty rare for minute bars to be so far off.


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