Attention!

sharpie · 08-12-2009, 05:45 PM

If a crossover occurs one way in a bar and then reverses and crosses the other way in the same bar, what test is true if checking OnBarUpdate for both conditions?

NinjaTrader_Bertrand · 08-13-2009, 05:37 AM

sharpie, which CalculateOnBarClose setting do you use in realtime trading? In backtesting it would always be evalutated on the Close of the bar, as the intrabar tick formation is not known.

sharpie · 08-13-2009, 07:16 AM

I ran 2 parallel tests against reat time data. On one, CalculateOnBarClose was set to "true" and on the other "false". On the "false" one, nothing happened. On the case presented, it was set to "true".

NinjaTrader_Josh · 08-13-2009, 07:30 AM

sharpie,

There is no test for both of these. If you want to know what happens intrabar you have to use CalculateOnBarClose = false. CrossAbove/Below conditions do not check current tick versus previous tick though. It checks last tick versus previous bar or whichever bar the lookback period is set to.

You would need to keep track of the previous tick yourself to be able to check current tick versus last tick for crosses.

sharpie · 08-13-2009, 07:53 AM

Back to my original question. OnBarClose, I tested first for CrossBelow and exited any long position I may have had (I didn't have one). Then I tested for CrossAbove and triggered a buy. This morning I reversed the order of the two tests. On that basis, the CrossAbove should still trigger a buy, but the test for CrossBelow should also be positive (was the last crossover to occur) and cancel the long entry. Y/N?

NinjaTrader_Josh · 08-13-2009, 07:57 AM

No. CrossAbove/Below checks current bar versus previous bar. It does NOT check current tick vs previous tick. There is no way you can be true on cross above and below for the same bar.

sharpie · 08-13-2009, 08:11 AM

Many thanks. I'll look into testing on tick vs previous tick.

08-13-2009, 05:37 AM	#2
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,420 Thanks: 252 Thanked 981 times in 963 posts	sharpie, which CalculateOnBarClose setting do you use in realtime trading? In backtesting it would always be evalutated on the Close of the bar, as the intrabar tick formation is not known. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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08-13-2009, 07:16 AM	#3
sharpie Member Join Date: Jul 2009 Location: Victoria BC Posts: 57 Thanks: 0 Thanked 0 times in 0 posts	I ran 2 parallel tests against reat time data. On one, CalculateOnBarClose was set to "true" and on the other "false". On the "false" one, nothing happened. On the case presented, it was set to "true".
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08-13-2009, 07:30 AM	#4
NinjaTrader_Josh NinjaTrader Product Manager Join Date: May 2007 Location: Denver, CO Posts: 17,458 Thanks: 1 Thanked 106 times in 70 posts	sharpie, There is no test for both of these. If you want to know what happens intrabar you have to use CalculateOnBarClose = false. CrossAbove/Below conditions do not check current tick versus previous tick though. It checks last tick versus previous bar or whichever bar the lookback period is set to. You would need to keep track of the previous tick yourself to be able to check current tick versus last tick for crosses. Josh NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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08-13-2009, 07:53 AM	#5
sharpie Member Join Date: Jul 2009 Location: Victoria BC Posts: 57 Thanks: 0 Thanked 0 times in 0 posts	Back to my original question. OnBarClose, I tested first for CrossBelow and exited any long position I may have had (I didn't have one). Then I tested for CrossAbove and triggered a buy. This morning I reversed the order of the two tests. On that basis, the CrossAbove should still trigger a buy, but the test for CrossBelow should also be positive (was the last crossover to occur) and cancel the long entry. Y/N?
	Facebook Twitter YouTube

08-13-2009, 07:57 AM	#6
NinjaTrader_Josh NinjaTrader Product Manager Join Date: May 2007 Location: Denver, CO Posts: 17,458 Thanks: 1 Thanked 106 times in 70 posts	No. CrossAbove/Below checks current bar versus previous bar. It does NOT check current tick vs previous tick. There is no way you can be true on cross above and below for the same bar. Josh NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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08-13-2009, 08:11 AM	#7
sharpie Member Join Date: Jul 2009 Location: Victoria BC Posts: 57 Thanks: 0 Thanked 0 times in 0 posts	Many thanks. I'll look into testing on tick vs previous tick.
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