Absolute beginner here, strategy not working, any help greatly appreciated!

December 11th, 2016, 11:42 AM

So I recently started messing around with automated strategy development using the strategy builder, which I tested out with this super simple bollinger cross strategy.. It's supposed to enter when the ask or bid is above or below the band, and exit if there's an open position when that happens.. But when I backtested it on high resolution (1 tick), there were all these parts where it just totally ignored exits, and that resulted in a lot of losses. I'm confused, not really experienced with any of this.. If anyone can explain what's wrong with this so I can prevent it from happening, or if I'll have to debug it could you please walk me through that as if you were explaining it to a child? Thank you so much, and sorry I'm such a noob.. Here's the code:

namespace NinjaTrader.NinjaScript.Strategies
{
public class MyCustomStrategy : Strategy
{
private Bollinger Bollinger1;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "MyCustomStrategy";
Calculate = Calculate.OnEachTick;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = false;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
Bollinger1 = Bollinger(2, 14);
Bollinger1.Plots[0].Brush = Brushes.SaddleBrown;
Bollinger1.Plots[1].Brush = Brushes.SaddleBrown;
Bollinger1.Plots[2].Brush = Brushes.SaddleBrown;
AddChartIndicator(Bollinger1);
}
}

protected override void OnBarUpdate()
{
if (CurrentBars[0] < 1)
return;

// Set 1
if ((GetCurrentAsk() > Bollinger1.Upper[0])
&& (Time[0].TimeOfDay >= new TimeSpan(7, 0, 0))
&& (Time[0].TimeOfDay < new TimeSpan(14, 30, 0)))
{
EnterShort(Convert.ToInt32(DefaultQuantity), "");
}
// Set 2
if ((GetCurrentBid() < Bollinger1.Lower[0])
&& (Time[0].TimeOfDay >= new TimeSpan(7, 0, 0))
&& (Time[0].TimeOfDay < new TimeSpan(14, 30, 0)))
{
EnterLong(Convert.ToInt32(DefaultQuantity), "");
}
// Set 3
if ((Position.MarketPosition == MarketPosition.Short)
&& (GetCurrentBid() < Bollinger1.Lower[0])
&& (Time[0].TimeOfDay >= new TimeSpan(7, 0, 0))
&& (Time[0].TimeOfDay < new TimeSpan(14, 30, 0)))
{
ExitShort(Convert.ToInt32(DefaultQuantity), "", "");
}
// Set 4
if ((Position.MarketPosition == MarketPosition.Long)
&& (GetCurrentAsk() > Bollinger1.Upper[0])
&& (Time[0].TimeOfDay >= new TimeSpan(7, 0, 0))
&& (Time[0].TimeOfDay < new TimeSpan(14, 30, 0)))
{
ExitLong(Convert.ToInt32(DefaultQuantity), "", "");
}

}
}
}

December 11th, 2016, 06:55 PM

I never use bid and ask in a backtest. I just always look at the closing price.

I think you would have to do Market Replay to test bid/ask values.

December 11th, 2016, 07:27 PM

shodson

I never use bid and ask in a backtest. I just always look at the closing price.

I think you would have to do Market Replay to test bid/ask values.

Not sure why I never tried that, but I'm running a backtest right now to see if that was it. I also tried it with an SMA set to 1, and had the same results... wouldn't that have the same effect as using the closing price?

Edit: backtest came back with the exact same results.

December 11th, 2016, 08:07 PM

alecsaccount

Not sure why I never tried that, but I'm running a backtest right now to see if that was it. I also tried it with an SMA set to 1, and had the same results... wouldn't that have the same effect as using the closing price?

Edit: backtest came back with the exact same results.

Stop using GetCurrentBid() or GetCurrentAsk(), they won't work in a backtest, just use Close[0]. Also you don't need to check the time in every if, make it its own if statement

Code

protected override void OnBarUpdate()
{
	if (CurrentBars[0] < 14)    // this needs to more than 1, the bollinger alone needs 14 bars
		return;

	if (Time[0].TimeOfDay >= new TimeSpan(7, 0, 0) && Time[0].TimeOfDay < new TimeSpan(14, 30, 0))
	{
		if (Close[0] > Bollinger1.Upper[0])
			EnterShort(Convert.ToInt32(DefaultQuantity), "");
		else if (Close[0] < Bollinger1.Lower[0])
			EnterLong(Convert.ToInt32(DefaultQuantity), "");
		else if (Position.MarketPosition == MarketPosition.Short && Close[0] < Bollinger1.Lower[0])
			ExitShort(Convert.ToInt32(DefaultQuantity), "", "");
		else if (Position.MarketPosition == MarketPosition.Long && Close[0] > Bollinger1.Upper[0])
			ExitLong(Convert.ToInt32(DefaultQuantity), "", "");
	}
}

December 11th, 2016, 08:15 PM

shodson

Stop using GetCurrentBid() or GetCurrentAsk(), they won't work in a backtest, just use Close[0].

Thanks, I will from now on.. But I still have the same problem; the backtest with Close[0] was identical to the GetCurrentBid() / GetCurrentAsk() backtest. Still missing exits.

Any other ideas why it's not working?

Code

protected override void OnBarUpdate()
{
	if (CurrentBars[0] < 14)    // this needs to more than 1, the bollinger alone needs 14 bars
		return;

	if (Time[0].TimeOfDay >= new TimeSpan(7, 0, 0) && Time[0].TimeOfDay < new TimeSpan(14, 30, 0))
	{
		if (Close[0] > Bollinger1.Upper[0])
			EnterShort(Convert.ToInt32(DefaultQuantity), "");
		else if (Close[0] < Bollinger1.Lower[0])
			EnterLong(Convert.ToInt32(DefaultQuantity), "");
		else if (Position.MarketPosition == MarketPosition.Short && Close[0] < Bollinger1.Lower[0])
			ExitShort(Convert.ToInt32(DefaultQuantity), "", "");
		else if (Position.MarketPosition == MarketPosition.Long && Close[0] > Bollinger1.Upper[0])
			ExitLong(Convert.ToInt32(DefaultQuantity), "", "");
	}
}

Wow, thanks haha.. I'm an idiot for copying it to 4 sets.

December 11th, 2016, 08:48 PM

Code

protected override void OnBarUpdate()
{
	if (CurrentBars[0] < 14)    // this needs to more than 1, the bollinger alone needs 14 bars
		return;

	if ((Position.MarketPosition == MarketPosition.Flat) &&
	((Time[0].TimeOfDay < new TimeSpan(7, 0, 0)) || (Time[0].TimeOfDay >= new TimeSpan(14, 30, 0))))
		return;

	if (Position.MarketPosition == MarketPosition.Flat)
	{
		if (Close[0] > Bollinger1.Upper[0])
			EnterShort();
		else if (Close[0] < Bollinger1.Lower[0])
			EnterLong();
	}
	else if ((Position.MarketPosition == MarketPosition.Short) && (Close[0] < Bollinger1.Lower[0]))
		ExitShort();
	else if ((Position.MarketPosition == MarketPosition.Long) && (Close[0] > Bollinger1.Upper[0]))
		ExitLong();
}

December 11th, 2016, 08:58 PM

trendwaves

Code

protected override void OnBarUpdate()
{
	if (CurrentBars[0] < 14)    // this needs to more than 1, the bollinger alone needs 14 bars
		return;

	if ((Position.MarketPosition == MarketPosition.Flat) &&
	((Time[0].TimeOfDay < new TimeSpan(7, 0, 0)) || (Time[0].TimeOfDay >= new TimeSpan(14, 30, 0))))
		return;

	if (Position.MarketPosition == MarketPosition.Flat)
	{
		if (Close[0] > Bollinger1.Upper[0])
			EnterShort();
		else if (Close[0] < Bollinger1.Lower[0])
			EnterLong();
	}
	else if ((Position.MarketPosition == MarketPosition.Short) && (Close[0] < Bollinger1.Lower[0]))
		ExitShort();
	else if ((Position.MarketPosition == MarketPosition.Long) && (Close[0] > Bollinger1.Upper[0]))
		ExitLong();
}

Uhh, so like I said, 'absolute beginner'... You guys are walking me through literally my first time coding.

I'm getting an "Extern alias declarations, using clauses, assembly.." error 2 lines after the "}" at the end of what you posted?

(I'm in way over my head and it's awesome)

Nevermind, I just had to take out a "}"!

Just compiled and backtested, and you fixed it!!! I fucking love you, man!

Also, thanks Shodson!

December 11th, 2016, 09:11 PM

trendwaves

Code

protected override void OnBarUpdate()
{
	if (CurrentBars[0] < 14)    // this needs to more than 1, the bollinger alone needs 14 bars
		return;

	if ((Position.MarketPosition == MarketPosition.Flat) &&
	((Time[0].TimeOfDay < new TimeSpan(7, 0, 0)) || (Time[0].TimeOfDay >= new TimeSpan(14, 30, 0))))
		return;

	if (Position.MarketPosition == MarketPosition.Flat)
	{
		if (Close[0] > Bollinger1.Upper[0])
			EnterShort();
		else if (Close[0] < Bollinger1.Lower[0])
			EnterLong();
	}
	else if ((Position.MarketPosition == MarketPosition.Short) && (Close[0] < Bollinger1.Lower[0]))
		ExitShort();
	else if ((Position.MarketPosition == MarketPosition.Long) && (Close[0] > Bollinger1.Upper[0]))
		ExitLong();
}

Huh.. Okay, wait, so it mostly fixed it, but (and this isn't that much of an issue) it does veery occasionally miss 1 exit.

It was always like 4 or 5 before, and quite often, so this is a massive improvement and I'd be very happy with it even if I can't make it perfect, but..

ah, whatever. I'm so happy I can move on to the rest of the strategy now!

December 11th, 2016, 09:27 PM

Can you please post a chart with the entry and exit markers and text enabled so we can see what is happening on your chart with the missed exits.

Absolute beginner here, strategy not working, any help greatly appreciated!

Discussion in NinjaTrader

Absolute beginner here, strategy not working, any help greatly appreciated!