Multi-Timeframe use in a Strategy

[NinjaTrader_Dierk]

imported post

Please post your strategy, so we can take a look.

Thanks

[Freddie]

imported post


Here it is:

#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")]

[Gui.Design.DisplayName("Pivot MA using Multi Timeframes")]

publicclass PivotMAMultiTimeFrame : Strategy

{

#region Variables

// Wizard generated variables

privateint longMAPeriods = 3; // Default setting for LongMAPeriods

privateint shortMAPeriods = 1; // Default setting for ShortMAPeriods

privateint trailingStop = 10; // Default setting for TrailingStop

// 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()

{

SetTrailStop("", CalculationMode.Ticks, TrailingStop, false);

Add(PeriodType.Minute,5);

CalculateOnBarClose = true;

}

///<summary>

/// Called on each bar update event (incoming tick)

///</summary>

protectedoverridevoid OnBarUpdate()

{

int LTFLong = 0;

int STFLong =0;

int TimeCheck = 0;

Print(BarsInProgress.ToString() + " " + Time[0]);



// Condition set Long

if (Close[0] > EdsPivotSMA(LongMAPeriods, ShortMAPeriods).LongSMA[0]

&& Close[0] > EdsPivotSMA(LongMAPeriods, ShortMAPeriods).ShortSMA[0]

&& EdsPivotSMA(LongMAPeriods, ShortMAPeriods).ShortSMA[0] > EdsPivotSMA(LongMAPeriods, ShortMAPeriods).LongSMA[0])

LTFLong = 1;



if (Closes[1][0] > EdsPivotSMA(BarsArray[1],LongMAPeriods,ShortMAPeriods).LongSMA[0]

&& Closes[1][0] > EdsPivotSMA(BarsArray[1],LongMAPeriods, ShortMAPeriods).ShortSMA[0]

&& EdsPivotSMA(BarsArray[1],LongMAPeriods, ShortMAPeriods).ShortSMA[0] >

EdsPivotSMA(BarsArray[1],LongMAPeriods, ShortMAPeriods).LongSMA[0])

STFLong =1;



if (ToTime(Time[0]) > ToTime(9, 30, 0) && ToTime(Time[0]) <= ToTime(15, 30, 0))

TimeCheck = 1;

else

TimeCheck = 0;



{

if(LTFLong == 1 )

if(STFLong == 1)

if(TimeCheck == 1)

EnterLongLimit(DefaultQuantity, Close[0], "Buy Long");

ExitShortLimit(Close[0], "Cover Short", "");

Print(BarsInProgress.ToString() + " " + Time[0]);

}

// Condition set Short

if (Close[0] < EdsPivotSMA(LongMAPeriods, ShortMAPeriods).LongSMA[0]

&& Close[0] < EdsPivotSMA(LongMAPeriods, ShortMAPeriods).ShortSMA[0]

&& EdsPivotSMA(LongMAPeriods, ShortMAPeriods).ShortSMA[0] < EdsPivotSMA(LongMAPeriods, ShortMAPeriods).LongSMA[0])



if (Closes[1][0] < EdsPivotSMA(BarsArray[1],LongMAPeriods,ShortMAPeriods).LongSMA[0]

&& Closes[1][0] < EdsPivotSMA(BarsArray[1],LongMAPeriods, ShortMAPeriods).ShortSMA[0]

&& EdsPivotSMA(BarsArray[1],LongMAPeriods, ShortMAPeriods).ShortSMA[0] <

EdsPivotSMA(BarsArray[1],LongMAPeriods, ShortMAPeriods).LongSMA[0])



if (ToTime(Time[0]) > ToTime(9, 30, 0)

&& ToTime(Time[0]) <= ToTime(15, 30, 0))

{

ExitLongLimit(Close[0], "Exit Long", "Buy Long");

EnterShortLimit(DefaultQuantity, Close[0], "Enter Short");

}



}

#region Properties

[Description("")]

[Category("Parameters")]

publicint LongMAPeriods

{

get { return longMAPeriods; }

set { longMAPeriods = Math.Max(1, value); }

}

[Description("")]

[Category("Parameters")]

publicint ShortMAPeriods

{

get { return shortMAPeriods; }

set { shortMAPeriods = Math.Max(1, value); }

}

[Description("")]

[Category("Parameters")]

publicint TrailingStop

{

get { return trailingStop; }

set { trailingStop = Math.Max(1, value); }

}

#endregion

}

}

[Freddie]

imported post

Guys,

I've solved the double reading on the 1/2 hour but still am getting the error message.

[NinjaTrader_Dierk]

imported post

The problem is that your have 2 series on the same instrument. You then only can place orders on the frist series for this instrument.

You need to do something like:

if (BarsInProgress != 0)
 return;

... since order placements on BarsInProgress==1 will throw the error you saw.

[Freddie]

imported post

Yes this solved the error problem. Based on your comment that I can only place orders on the first series that I'll have to modify my program as I want to place orders based on the shorter time frame.

One other question; when the Analyzer runs and determines the entry and exit points, does it use the tick data that I have stored for the instrument or what data does it use.

thx,

Fred

[NinjaTrader_Dierk]

imported post

What do you mean by "tick data stored"?

There are three different potential data sources:
- historical tick data downloaded from a provider like eSignal: it will be used provided you have a "tick based" timeframe
- historical tick data you recorded as you had a chart running (Tools->Options->Data->Store realtime bar data checked): it will be used provided you have a "tick based" or "minute based" timeframe
- data your recorded using the market replay recorder (Tools->Options->Data->Run market replay recorder checked): will not be used for backtesting

[Freddie]

imported post

I meant the tick data that I've downloaded and stored from my data supplier in real time.

[NinjaTrader_Dierk]

imported post

So option (a) -> will be used for your "tick timeframe" strategy

[FireFly]

Can Multiple-Timeframes also be used within an indicator, so that for example 1m and 5m timeframes are both used in the calculation?

[NinjaTrader_Dierk]

Not possible

[NinjaTrader_Ray]

Although it is possible in a strategy to have mixed time frames and instruments. Additional information can be found at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/MultiTimeFrameInstruments.html