Strategy Wizard Questions

[Legal Eagles]

I am new to Ninja Trader, but I am getting better with the Strategy Wizard. However, I have two related questions that I cannot find the answers to. Thanks in advance for your help.

1. How do I set up a 200 day simple moving average for use with minute bars? If I put in 200 as the period and then backtest using minute bars, it will calculate the SMA for 200 minuate and not 200 days, correct? The answer cannot be to use 78,000 as the period (6.5 hours per day x 60 minutes per hour x 200 days). There has to be a way to calculate a MA (and other indicators) based on daily data when using minute bar, right?

2. This is a related question, but how do I compare the close from two days ago to the close yesterday when I am backtesting using minute bars?

Thanks again.

[NinjaTrader_Matthew]

Legal Eagles,

Thank you for your post.

1) You would need to add a second data series using the Daily interval and set the moving average to calculate from that data series. Unfortunately, you cannot add a second data series through the Strategy Wizard and will need to work from inside the code.

Please see our Help Guide on working with Multiple Time Frames:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?multi_time_frame__instruments.htm

2) You could do this rather easily by adding a Daily interval and referencing the Closes[2] and Closes[1].

If you wanted to reference from the minute bars, you'd need to specify the close of the bar at the time end of each session. This would be possible via the Wizard, but it would be much easier to manage through adding a Daily interval and would accomplish both of your functions in your inquiry.

[Legal Eagles]

I gave it a try (my first attempt working outside the Wizard). Can you take a look at let me know where I went wrong.

In this case, I was looking to enter a long position at 3:58 pm if:
The ask price is greater than the 10, 50 and 200 day SMAs;
The ask price is greater than the prior day high;
The ask price is greater than than the current day's open;
The current day's open was greater than the prior day's close; and
The close yesterday was greater than the close two days ago.

I would then exist the long position at 9:02 am the next day.

I will copy the code into the next reply. I used the wizard and then unlocked the code and tried to add the second daily interval data series.

[Legal Eagles]

Code, Part 1

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
///<summary>
/// Enter the description of your strategy here
///</summary>
[Description("Enter the description of your strategy here")]
publicclass Editor1 : Strategy
{

[Legal Eagles]

Code Part 2
///<summary>
/// Enter the description of your strategy here
///</summary>
[Description("Enter the description of your strategy here")]
publicclass Editor1 : Strategy
{
#region Variables
// Wizard generated variables
privatedouble stop = 0.005; // Default setting for Stop
privatedouble profit = 0.005; // Default setting for Profit
privateint mA1 = 200; // Default setting for MA1
privateint mA2 = 50; // Default setting for MA2
privateint mA3 = 10; // Default setting for MA3
privateint dC1 = 20; // Default setting for DC1
privateint dC2 = 55; // Default setting for DC2

[Legal Eagles]

Code Part 3
// User defined variables (add any user defined variables below)
#endregion
///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
protectedoverridevoid Initialize()
{
CalculateOnBarClose = true;
}
///<summary>
/// Called on each bar update event (incoming tick)
///</summary>
protectedoverridevoid Initialize ()
{
Add (PeriodType.Day, 1);
}
protectedoverridevoid OnBarUpdate()
{

[Legal Eagles]

Code Part 4

// Condition set 1
if (GetCurrentAsk() > SMA(MA1)[1]
&& GetCurrentAsk() > SMA(MA2)[1]
&& GetCurrentAsk() > SMA(MA3)[1]
&& GetCurrentAsk() > PriorDayOHLC().PriorHigh[0]
&& GetCurrentAsk() > CurrentDayOHL().CurrentOpen[0]
&& CurrentDayOHL().CurrentOpen[0] > PriorDayOHLC().PriorClose[0]
&& PriorDayOHLC().PriorClose[1] > PriorDayOHLC(1).PriorClose[1]
&& ToTime(Time[0]) == ToTime(15, 58, 0))
{
EnterLong(DefaultQuantity, "");
}
// Condition set 2
if (ToTime(Time[0]) == ToTime(9, 32, 0))
{
ExitLong("", "");
}
}

[Legal Eagles]

Let me know if you need the region properties code section. The code below is in reverse order. Is there a way to copy all of the code into one reply? Thanks for being patient with a newbie.

[NinjaTrader_Matthew]

Congratulations on taking your first steps outside of the wizard! You're on your way to taken full advantage of NinjaScript automated strategies. You're on the right track here, just a few minor corrections:


In post #6 you have two instances of the Initialize() method. Please removed one of these instances and include the Add() method in the same section as the CalulateOnBarClose property.

protectedoverridevoid Initialize()
{
CalculateOnBarClose = true;
Add(PeriodType.Day, 1);
}

I also corrected a typo where there was a space between the Add and the opening parenthesis (

For the moving averages, you will need to specify these to use your Daily data series as the input series. You can specify this by adding BarsArray[1], where this will be the data series you added in the Initialize () method.

Then instead of PriorDayOHLC, Current Day, etc, you can just reference the daily bar itself using Closes[1][1], where the first index value [1] is the added data series (daily) and the second [1] one bar ago

    if (GetCurrentAsk() > SMA(BarsArray[1], MA1)[1]
            && GetCurrentAsk() > SMA(BarsArray[1], MA2)[1]
            && GetCurrentAsk() > SMA(BarsArray[1], MA3)[1]
            && GetCurrentAsk() > Highs[1][1]
            && GetCurrentAsk() > Opens[1][0]
            && Opens[1][0] > Closes[1][1]
            && ToTime(Time[0]) == ToTime(15, 58, 0))
            {
            EnterLong(DefaultQuantity, "");
            }

Please let me know if you have additional questions.