HighestBar and LowestBar

[Sidhartha]

Hi All,

If I am using HighestBar() or LowestBar() methods, over say a 30 bar window, if there are several bars with the same highest or lowest value, which bar will these methods return...?? The first occurence or the last occurence...?

Many Thanks.

[NinjaTrader_Dierk]

>> which bar will these methods return
The first one from right to left.

[Sidhartha]

Thanks Dierk.

As an aside, another question.
I have an indicator which returns a value of either 1,-1 or 0. Right now, I'm looking to backest taking a long when it's value is 1, or a short when it's value is -1. With a trailing stop.

At the moment, I'm checking the value of the indicator within OnBarUpdate() and using this to trigger my trade entry. However, it seems that I get into the position the bar after the indicator turns either 1 or -1. Now, I guess this may be something to do with the CalculateOnBarClose parameter. But I can't quite see why.

[NinjaTrader_Ray]

In a backtest, conditions are evaluated per bar which of course is the closing values of the bar. Thus, if a condition is true, an order is filled on the next bar.

[Sidhartha]

Thanks Ray.

So, during a backtest, if an EnterLong() is called, is it filled at the open of the bar??

Thanks.

[NinjaTrader_Ray]

Open of the next bar.

[Sidhartha]

So Ray, if were looking at 5 min bars for my signals, but wanted to execute an entry quicker than the open of the next 5 min bar, then I would need to add say, a 1 min bar object, and execute off that object but still generate signals off the 5 min object...?

[NinjaTrader_Ray]

Lets sync on what you are after?

- This discussion is in the context of a backtest
- You can do as you suggest but for market orders it will not make any difference. The open price of the next 5 minute bar is the same as the open price of the next 1 minute bar (theoreticaly) so you likely get the same fill.
- For a limit order, this can make a difference, see this reference sample - http://www.ninjatrader-support.com/v...ead.php?t=6652

[Sidhartha]

Hi Ray,

I got some very weird stuff going down right now!!

Since I've added a new 1 min series to the default 5 min series, I'm getting some very weird behaviour using the BarsSinceEntry() method....

Essentially I was referencing the value of BarsSinceEntry() within OnBarUpdate()... anyway, it seemed to stop OnBarUpdate() being called... I've narrowed it down after some time to the BarsSinceEntry() method.

Right now if I perform a backtest on my strategy between 10:00 and 14:00, primary 5 min bars, with a 1 min bar object added too... ALL my code in OnBarUpdate() is commented out except for a Print() statement at the start... this Print() statement prints the current time. So far so good... when I run the strategy it prints ALL 5 min bar times across the backtest to the output window.

However, as soon as I add something to the print statement so that now it prints the current time (Time[0]) and also BarsSinceEntry(), now I only get one print in the output window which is the first 5 min bar. It seems calling the BarsSinceEntry() method stops the OnBarUpdate() method being called again....

Have you seen this before...?? Weird. any ideas.

Many Thanks

[Sidhartha]

Ray,

I just created a blank strategy with the following code and it does exactly as I mentioned in my last post.... the BarsSinceEntry() call seems to stop OnBarUpdate() being called again. If I comment out the BarsSinceEntry() line I get every time print the strategy is run over 95 min bars)... otherwise I only get the first.

#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.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")]
public class MyCustomStrategy : Strategy
{
#region Variables
// Wizard generated variables
private int myInput0 = 1; // Default setting for MyInput0
// 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>
protected override void Initialize()
{
Add(PeriodType.Minute,1);
CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
Print("time[0] " + Time[0]);
Print("barsinceentry() = " + BarsSinceEntry());

}

#region Properties
[Description("")]
[Category("Parameters")]
public int MyInput0
{
get { return myInput0; }
set { myInput0 = Math.Max(1, value); }
}
#endregion
}
}

[NinjaTrader_Ray]

Are there any error messages in the log?

[Sidhartha]

Yes Ray. Sorry, didn't think to check there.

It says,

"Error on calling 'OnBarUpdate' method for strategy. You must use the overload that has a 'BarsInProgress' parameter when calling the BarsSinceEntry() method in the context of a multi-time frame and instrument strategy."

Which is great. What does it mean...?

[NinjaTrader_Ray]

See the following link, is explained there.

http://www.ninjatrader-support.com/H...inceEntry.html

[Sidhartha]

Ray, that link is simply to the on-line support guide front page... Can you point to anywhere slightly more specific...?

Thanks again

[NinjaTrader_Ray]

Please check again, I corrected the link.