Managing the order of trades

[verge]

I am still learning but managed to put a system together that is showing potential.

If certain conditions are met I enter long with EnterLongStop and short with EnterShortstop

If the system was long and the condition to go short was met - the long trade would be closed and a short trade entered automatically

After reading what I could find in the help file I then added SetTrailStop(CalculationMode.Ticks, 80); to the initialize method.

Now all trades are exited only with trailstops.

What do I need to do so that a trade may be exited by a trailstop OR a trade in the opposite direction?

[NinjaTrader_Josh]

Using that line should not prevent you from reversing with an opposite directioned order. You most likely are hitting the stops before you reach the reversal condition. You can verify this for yourself by setting a ridiculously large stop that should theoretically never be triggered. When you do this you should see that your orders are still reversing as expected.

[verge]

Originally Posted by Josh

Using that line should not prevent you from reversing with an opposite directioned order. You most likely are hitting the stops before you reach the reversal condition. You can verify this for yourself by setting a ridiculously large stop that should theoretically never be triggered. When you do this you should see that your orders are still reversing as expected.

Josh

Thanks for the reply

I have done what you suggested. Made it 800 ticks wide. Number of trades reduced from 171 to 4 - all was only exited by trailstop - none by reversal in direction.

To make sure I commented the trailstop line out - system then generated 171 trades again.

Regards

[NinjaTrader_Josh]

Okay verge. Thanks for the information. Would you mind posting a simple as possible strategy that demonstrates the issue you are experiencing so I can play around with it?

[verge]

Originally Posted by Josh

Okay verge. Thanks for the information. Would you mind posting a simple as possible strategy that demonstrates the issue you are experiencing so I can play around with it?

Josh

I thought about what I could do with the least effort to do what you ask - so I inserted the following line in to a copied version of the SimplaMAcrossOver strategy that comes with NT. The line was SetTrailStop(CalculationMode.Ticks, 500);

I then ran the strategy - and it work the way it should - when a trade was entered in the opposite direction the system executed - and did not wait for a trailingstop.

So now I still don't know what I am doing wrong in my own strategy. (could it have something to do with the curly braces - when comparing the two strategies that is about the only thing I can see that differ (except for the conditions themselves of course) . My own strategy has more curly braces.

The simple one is below:

protected override void Initialize()
{
SMA(Fast).Plots[0].Pen.Color = Color.Orange;
SMA(Slow).Plots[0].Pen.Color = Color.Green;

Add(SMA(Fast));
Add(SMA(Slow));

CalculateOnBarClose = true;
SetTrailStop(CalculationMode.Ticks, 500);
}

/// <summary>
/// Called on each bar update event (incoming tick).
/// </summary>
protected override void OnBarUpdate()
{
if (CrossAbove(SMA(Fast), SMA(Slow), 1))
EnterLong();
else if (CrossBelow(SMA(Fast), SMA(Slow), 1))
EnterShort();
}

[NinjaTrader_Josh]

Since it worked in the simple case we know the architecture is fine. That means some debugging on your strategy will need to be done to locate what is messing your strategy up. Please try debugging as per these tips: http://www.ninjatrader-support.com/v...ead.php?t=3418
http://www.ninjatrader-support.com/v...ead.php?t=3627

[verge]

Originally Posted by Josh

Since it worked in the simple case we know the architecture is fine. That means some debugging on your strategy will need to be done to locate what is messing your strategy up. Please try debugging as per these tips: http://www.ninjatrader-support.com/v...ead.php?t=3418
http://www.ninjatrader-support.com/v...ead.php?t=3627

There is another difference between my strategy and the simple one I realised now is that the simple one use EnterLong while mine used EnterLongStop (and same for short)

I could not find any documentation describing the interaction between SetTrailStop and using a stop order. Can you point me to a section that describes how they work together please?

When I changed the order type from EnterLong Stop to EnterLong the SetTrailStop did not prevent a trade in the opposite direction anymore. The problem is that I want to use stop orders and trailstops - and have trade reversals

[NinjaTrader_Josh]

Please see this article on order rules: http://www.ninjatrader-support.com/H...verview36.html

[Sidhartha]

Hi Josh,

I have to say I seemed to be confused about something similar to Verge. And I've studied all the relevant sections I can find on your on-line guide.

My strategy is working fine... I enter named positions using EnterLong() or EnterShort(). I place stops dynamically using ExitLongStop() or ExitShortStop() - obviously tied to the entries by name. All working.

However, I am looking to add another form of exit... which is effectively a reversal into a position in the opposite direction.

If I am currently long 1 contract and my position is named "MyLong"... and I have a working stop attached to that named long position called "MyLongStop"... If I now get a signal to go short, how do I exit my long and short one contract and get all the names right...? i.e. exiting the long called "MyLong" and entering a 1 contract short called "MyShort"...??


Do I have to use ExitLong() first and then on the next line call EnterShort() - named "MyShort"...???

Many Thanks

[Sidhartha]

Guys... not sure if you've seen this post since I didn't post a new thread. Any thoughts...?

[NinjaTrader_Ray]

Since you have been working with Josh, he will respond later on this evening.

[Sidhartha]

Thanks Ray.

[NinjaTrader_Josh]

Hi Sidhartha,

You could try just submitting the EnterShort() order directly. You may need to cancel your ExitLongLimit() order first depending on how you have it setup (see the Internal Order Handling Rules article in my previous post). Bear in mind if you are using market orders (EnterShort and EnterLong) you don't need to worry about the IOHRs.

Alternatively you can go with the approach you outlined. Just ExitLong() and then do an EnterShort and name it however you want.

If you can outline the exact methodology of orders you wish to place I can advise you on that case scenario. It is difficult to talk in generalities due to the order handling rules.