Buy on Close(Today)

March 1st, 2011, 02:55 PM

Hi folks,

I'm pretty new to NT and Mike's forum.
I'm challenged by a actually simple, but with NT seemingly unfeasable aproach.
I want to implement a simple strategy based on daily data that operates on a Close to Close base.
The logic is going to be:

If the Close today is higher than the Close yesterday, buy on today's close and sell at tomorrows close.
Short analog.

The system is always in market and it's backtesting only.
NT Support already told me that this kind of apprach is unpossible at least using the managed approach of ordering.

Does anybody know how to solve that issue, if necessary using the unmanged approach?
One has to force NT somehow to execute the order on the bar where it's generated and to
excecute it at the Close-price of the today's bar..
Using Index -1 within managed approach yields to weird behavior, not all orders are excecuted.

Any ideas or should I forget about NT?

Cheers and thanks in advance!

Stephan

March 1st, 2011, 03:27 PM

The problem is that you have this information:
1#"If the Close today is higher than the Close yesterday"
at the close itself, so it's too late to
2#"buy on today's close"...
An idea is maybe to add another time frame, let's say a 10 seconds bar, and not use the Close for 1# but the Close minus 10 seconds.

March 1st, 2011, 03:58 PM

-Unfurtunately I don't have another timeframe, it's daily data only back to the 70's.
I tried it like this:

if (Close[-1] >Close[0])
{
EnterLongLimit(1, Close[-1], "Long-Entry");
}

short analog,

and to exit on the actual bar with:

if (BarsSinceEntry("Long-Entry") == 0 )
{

ExitLongLimit(Close[-1], "Exit Long", "Long-Entry");
}

In case of a reversion NT generates a close oder by itself and
I used some code to suppress strategy generated exit orders in this case.
But it still doesn't always work. NT suppresses some of the entry orders.
According to support managed orders are not able to deal with [-1].

May be an unmanaged order system helps me out-but I'm totally new to this approach and don't know
if that might work.

March 2nd, 2011, 08:19 PM

It has been pretty well explained here: Buy on Close (Today) - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

and in Sam's comments.

Use Excel or Matlab instead... something that doesn't care if you are violating reality

.

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