Trailing stop not working on backtest

[eDon1]

I have a strategy that includes
SetProfitTarget
SetStopLoss
SetTrailStop
set in the "Stops and targets" page of the Strategy Wizzard

In backtesting this strategy, the Trailing Stop does not cause an exit, but rather the initial stop always triggers if the target is not hit.

What am I doing wrong?

I have not had this strategyh trigger Real-Time yet, so I cannot say if it works live.

[NinjaTrader_JoshP]

eDon1,

You cannot use a SetStopLoss in conjunction with a SetTrailStop for the same order. You will need to pick and choose one that you want to use.

[eDon1]

OK - I cannot set both an Initial Stop and a Trailing Stop in the Strategy Wizzard - seems to me that this would be a basic requirement, but guess not.

Is there anyway to do this programatically?

[NinjaTrader_JoshP]

eDon1,

No, you cannot have simultaneous stop loss and trailing stop. You can have one or the other, it does not make sense to have both. A trailing stop always starts out as a stop loss, then just moves up as price moves up. A stop loss just stays at the submitted price. There should never be a need to have both at the same time.

[eDon1]

Sorry Josh - I must vehemently dissagree that there is no need for both an initial fixed stop and a trailing stop. I think that most folks who trade futures for a living would agree.

The ATM strategies provide for this, with up to 3 differing trailing values, so someone at NT thought it was a good idea.

My strategy calls for a very tight stop when the order is placed and for the stop to start trailing when the price moves away from entry. In this way my risk is small and I can capture a profit even if I do not reach my target.

Perhaps I was not clear in my question.
I need to set an initial stop of 3 ticks and then have my stop start moving up as price moves to greater than +7 ticks then trail -10 ticks from there - up to my profit target of +20 ticks. In this way, I lock in a profit of 1 tick if the price moves to +11 and this locked in profit increases tick by tick until either my target or the trailing stop is hit.

[NinjaTrader_JoshP]

eDon1,

There is a misunderstanding. You should only attach one SetStopLoss/TrailStop() to one entry order. If you want a multi-step, you need to use multiple entries.

[eDon1]

What we've got here is a failure to communicate. (Cool Hand Luke)

Josh: It's apparent that the NT Script Wizzard cannot do what I want - I get it. Thanks for trying.

Have any of my fellow Ninja Traders solved this challange with a simple bit of code? I have looked back a hundred or more posts without finding a solution - does anyone have one they can point me to?

I simply want to have an initial stop that becomes a trailing stop at the appropriate level.
Not multi-step trailing
Not multiple targets

This is what the simplest ATM strategy does with a single target and single trailing stop.

Wouldn't it be great if a Script could just trigger an ATM strategy!
How about it NT development - can you implement this as a feature?

[NinjaTrader_Austin]

eDon1, NinjaTrader is fully capable of triggering an ATM strategy. Please see the reference that comes installed with NinjaTrader at Tools -> Edit NinjaScript -> Strategy -> SampleAtmStrategy.

[stephenszpak]

Hi

I also am interested in having a stop loss and a trailing stop in a strategy.

I checked out SampleAtmStrategy (which is a nightmare) and
SamplePriceModification. In SamplePriceModification it seems like
setting the stop loss to breakeven isn't too hard after x ticks of profit.

I might have to go this route, if SampleAtmStrategy in the only way to
get a trailing stop to work within a strategy.

When I read page 468 (below) I got the impression that adding a
trailing stop only took a few lines of code.


The Pdf says this on pg.468:

The SetTrailStop() method can NOT be used concurrently with the SetStopLoss() method
for the same position, if both methods are called for the same position (fromEntrySignal)
the SetStopLoss() will always take precedence. You can however, use both methods in the
same strategy if they reference different signal names.


QUESTION: To have a strategy that goes long(or short) with a stoploss
and trailing stop do I have to do it similar to the SampleAtmStrategy
coding or am I just mistaken?

- Stephen

[Baruch]

Hi,
As Ninja support stated you don't need both. I have in my strategies stop loss, break even and trailing stop, but I do it on the same order.
First I put a stop loss, then if price moves in my direction X tick I change the stop loss order to break even price (the emphasis is on change), then after it goes more in my favor I change the stop order to trail the price on each bar. All is done with the same stop order.

Baruch

[stephenszpak]

Baruch

Thanks. In SamplePriceModification I sort of understand how to move the
stoploss up to breakeven. I am trying to do that in my own strategy now.


This is their code below. The code is about setting a breakeven stop (from stoploss)
and a target stop. I would be interested now in setting a breakeven stop (from stoploss)
which changes into a trailing stop.

It seems I need to have a loop of some sort once the breakeven stop is first set
(from stoploss)
so that if the price moves up (ie. if long) the strategy thinks the breakeven is now
at a higher level. I guess this is what you are saying.

If you (or support) has any hints that would be nice. I will re-post if I come
up with anything ahead of anyone.

-Stephen


================================================== ==================
================================================== ==================
================================================== ==================
================================================== ==================
protected override void Initialize()
{
/* There are several ways you can use SetStopLoss and SetProfitTarget. You can have them set to a currency value
or some sort of calculation mode. Calculation modes available are by percent, price, and ticks. SetStopLoss and
SetProfitTarget will submit real working orders unless you decide to simulate the orders. */
SetStopLoss(CalculationMode.Ticks, stoplossticks);
SetProfitTarget(CalculationMode.Ticks, profittargetticks);

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Resets the stop loss to the original value when all positions are closed
if (Position.MarketPosition == MarketPosition.Flat)
{
SetStopLoss(CalculationMode.Ticks, stoplossticks);
}

// If a long position is open, allow for stop loss modification to breakeven
else if (Position.MarketPosition == MarketPosition.Long)
{
// Once the price is greater than entry price+50 ticks, set stop loss to breakeven
if (Close[0] > Position.AvgPrice + 50 * TickSize)
{
SetStopLoss(CalculationMode.Price, Position.AvgPrice);
}
}

// Entry Condition: Increasing price along with RSI oversold condition
if (Close[0] > Close[1] && RSI(14, 3)[0] <= 30)
{
EnterLong();
}
}

#region Properties
/// <summary>
/// </summary>
[Description("Numbers of ticks away from entry price for the Stop Loss order")]
[Category("Parameters")]
public int StopLossTicks
{
get { return stoplossticks; }
set { stoplossticks = Math.Max(0, value); }
}

/// <summary>
/// </summary>
[Description("Number of ticks away from entry price for the Profit Target order")]
[Category("Parameters")]
public int ProfitTargetTicks
{
get { return profittargetticks; }
set { profittargetticks = Math.Max(0, value); }
}
#endregion
}
}

[Baruch]

Stephen,
Why loop and why a strategy has to think that break even moved?
Just call this order (in your mind) Stoploss/Breakeven/TrailingStop.
Do something like:
1. In variable section: private double SLPrice = 0;
2. When you enter a trade: SLPrice = Position.AvgPrice - 20; what ever is your stop loss
3.
if (Close[0] > Position.AvgPrice + 150 * TickSize && SLPrice < Close[0] - 100 * TickSize )
{
SLPrice = Close[0] - 100;
SetStopLoss(CalculationMode.Price, SLPrice);
}

else if (Close[0] > Position.AvgPrice + 50 * TickSize && SLPrice < Position.AvgPrice)
{
SLPrice = Position.AvgPrice;
SetStopLoss(CalculationMode.Price, SLPrice);
}

Thats all,
Baruch

p.s. I don't use SetStopLoss, but it should work.

[stephenszpak]

I am reading your post now. Thanks again. Well I was just going to
post the code I wrote. It compiled so it has to work (hee hee). It didn't
do anything different. I will reply shortly.

[stephenszpak]

I did this below, but it's probably not right.

================================================== =============


#region Variables
// Wizard generated variables
private int myInput0 = 1; // Default setting for MyInput0
// User defined variables (add any user defined variables below)

bool enteredLong=false;
bool enteredShort=false;
private double SLPrice=0;


#endregion

protected override void OnBarUpdate()
{





if (Close[0]>Close[1]&& (Median [0]>Median[1])&& enteredLong==false)
{
EnterLong();
SLPrice=Position.AvgPrice-5;
if(Close[0]>Position.AvgPrice+15*TickSize&&SLPrice<Close[0]-10*TickSize)
{
SLPrice=Close[0]-10;
SetStopLoss(CalculationMode.Price,SLPrice);
}
else if (Close[0]>Position.AvgPrice+5*TickSize&&SLPrice<Position.Av gPrice)
{
SLPrice=Position.AvgPrice;
SetStopLoss(CalculationMode.Price,SLPrice);
}





}

if (Close[0]<Close[1]&& (Median[0]<Median[1])&& enteredShort==false)
{
EnterShort();
SLPrice=Position.AvgPrice+5;
if(Close[0]<Position.AvgPrice-15*TickSize&&SLPrice>Close[0]+10*TickSize)
{
SLPrice=Close[0]+10;
SetStopLoss(CalculationMode.Price,SLPrice);
}
else if (Close[0]<Position.AvgPrice-5*TickSize&&SLPrice>Position.AvgPrice)
{
SLPrice=Position.AvgPrice;
SetStopLoss(CalculationMode.Price,SLPrice);
}


}


}

[stephenszpak]

Actually I did forget an 'else if'.

Trying this all again in my NT software.