Backtest a Reversal System

[krofs]

I have been a TradeStation Programmer for over 20 years but I am new to NT. I have a couple of basic questions. I've gone through several posts in the forum regarding reversing a position, but it seems that they all relate to real time trading, not backtesting. At this point I am only interested in backtesting and I am using the Managed Approach.

1) I assume that the Unmanaged Approach can only be used for real time, is this correct?

2) I am trying to backtest a strategy that enters on a stop and always has a stop and limit associated with the entry. I would like to be able to reverse the position if, in a trade that has not been taken out by a stop or limit. I can't get the strategy to reverse. Below is a condensed version of the entry/exit code. Is there anyway to allow reversals under these conditions in the Managed Approach. can I use the unmanaged approach for backtesting?

NOTE- The undefined variables below are defind in the actual code. I used "....." as place holders

protected override void OnBarUpdate()
{
.
.
.

// Long Entry
Condition1 = ......;

if(Condition1 && Position.MarketPosition != MarketPosition.Long )
{
EnterLongStop(ContractsToTrade,FactorBuyPrice,"Fac torBuy");

Factor_LongStopPrice = .....;
Factor_ShortStopPrice = ......;
}

// Short Entry
Condition2 = ........

if(Condition2 && Position.MarketPosition != MarketPosition.Short )
{
EnterShortStop(ContractsToTrade,FactorSellPrice,"F actorSell");

Factor_ShortStopPrice = .......;
Factor_ShortLimitPrice = .......;

}

// Exits
ExitLongStop(ContractsToTrade,Factor_LongStopPrice ,"FactorL_Stop","FactorBuy");
ExitLongLimit(ContractsToTrade,Factor_LongLimitPri ce,"FactorL_Limit","FactorBuy");

ExitShortStop(ContractsToTrade,Factor_ShortStopPri ce,"FactorS_Stop","FactorSell");
ExitShortLimit(ContractsToTrade,Factor_ShortLimitP rice,"FactorS_Limit","FactorSell");
}

[NinjaTrader_PaulH]

Hello,

Thanks for your post and welcome to the forums!

Yes, you can use Unmanaged or managed approach for backtesting or live testing

Yes the managed approach would prevent what you are trying to do. Here are the Internal Order Handling Rules that Reduce Unwanted Positions (for entries)

Methods that generate orders to enter a position will be ignored if:
• A position is open and an order submitted by an exit method (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() 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() for example) is active and the order is used to open a position in the opposite direction
• The entry signal name is not unique

Reference: http://ninjatrader.com/support/helpG...d_approach.htm

[krofs]

Thank you. It wasn't clear in the documenttion that I could use the Unmanaged approach in backtesting. It may be there and I may have missed it. This will sove my problem.