Working with "Trade Class" on a day-by-day basis

[AnotherTrader]

Hi

In an intraday strategy, I would like to include a condition that will stop the placing of further trades if I’ve already had 2 consecutive losses that day. Also, I would like to code this in a manner that will allow me to backtest the effect of this condition.

My code(below) is based on the example in NT 6 documentation covering “Trade Class”.

However, in order to be able to backtest the condition, I have changed ” .RealtimeTrades. ” everywhere to “ .AllTrades. ”.

The difficulty this gives me is that, instead of stopping the placing of new trades in a given day after a second consecutive loss in that day, the condition once triggered also prevents ANY future trades being taken on succeeding days, too.

How can I change the coding to get a condition that re-evaluates each day, and - if triggered - will only prevent trading on that day (rather than on all future days, too)?

[FONT=Courier New][COLOR=green][COLOR=green][FONT=Courier New]// Section to keep track of whether there have been 2 successive losses in a row, and to stop trading if there have[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New] (Performance.AllTrades.Count > [/FONT][/COLOR][COLOR=purple][FONT=Courier New]1[/FONT][/COLOR][COLOR=black][FONT=Courier New]) [/FONT][/COLOR]
[COLOR=black][FONT=Courier New]{ [/FONT][/COLOR]
[COLOR=green][FONT=Courier New]// Get the last completed trades [/FONT][/COLOR]
[COLOR=black][FONT=Courier New]Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - [/FONT][/COLOR][COLOR=purple][FONT=Courier New]1[/FONT][/COLOR][COLOR=black][FONT=Courier New]]; [/FONT][/COLOR]
[COLOR=black][FONT=Courier New]Trade secondlastTrade = Performance.AllTrades[Performance.AllTrades.Count - [/FONT][/COLOR][COLOR=purple][FONT=Courier New]2[/FONT][/COLOR][COLOR=black][FONT=Courier New]]; [/FONT][/COLOR]
 
[COLOR=green][FONT=Courier New]// Calculate the PnL for the last two completed trades [/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]double[/FONT][/COLOR][COLOR=black][FONT=Courier New] lastProfit = lastTrade.ProfitCurrency * lastTrade.Quantity;[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]double[/FONT][/COLOR][COLOR=black][FONT=Courier New] secondlastProfit = secondlastTrade.ProfitCurrency * secondlastTrade.Quantity;[/FONT][/COLOR]
 
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New](lastProfit < [/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New] && secondlastProfit < [/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New])[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]{[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]keepTrading = [/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New];[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]}[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]}[/FONT][/COLOR]
[/COLOR][/FONT]

Many thanks in advance for your help.

[AnotherTrader]

OK, I think I managed to get there ...
I introduced a new integer “tradesBeforeToday”, and before each day’s session open I set its value as follows:
tradesBeforeToday = Performance.AllTrades.Count;

Then I modified my previous code to the following ...

[FONT=Courier New][COLOR=green][COLOR=green][FONT=Courier New]Section to keep track of whether there have been 2 successive losses in a row, and to stop trading if there have[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New] (Performance.AllTrades.Count > tradesBeforeToday + [/FONT][/COLOR][COLOR=purple][FONT=Courier New]1[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]{ [/FONT][/COLOR]
[COLOR=green][FONT=Courier New]// Get the last completed trades [/FONT][/COLOR]
[COLOR=black][FONT=Courier New]Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - [/FONT][/COLOR][COLOR=purple][FONT=Courier New]1[/FONT][/COLOR][COLOR=black][FONT=Courier New]]; [/FONT][/COLOR]
[COLOR=black][FONT=Courier New]Trade secondlastTrade = Performance.AllTrades[Performance.AllTrades.Count - [/FONT][/COLOR][COLOR=purple][FONT=Courier New]2[/FONT][/COLOR][COLOR=black][FONT=Courier New]]; [/FONT][/COLOR]
 
[COLOR=green][FONT=Courier New]// Calculate the PnL for the last two completed trades [/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]double[/FONT][/COLOR][COLOR=black][FONT=Courier New] lastProfit = lastTrade.ProfitCurrency * lastTrade.Quantity;[/FONT][/COLOR]
[COLOR=blue][FONT=Courier New]double[/FONT][/COLOR][COLOR=black][FONT=Courier New] secondlastProfit = secondlastTrade.ProfitCurrency * secondlastTrade.Quantity;[/FONT][/COLOR]
 
[COLOR=blue][FONT=Courier New]if[/FONT][/COLOR][COLOR=black][FONT=Courier New](lastProfit < [/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New] && secondlastProfit < [/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New])[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]{[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]keepTrading = [/FONT][/COLOR][COLOR=purple][FONT=Courier New]0[/FONT][/COLOR][COLOR=black][FONT=Courier New];[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]}[/FONT][/COLOR]
[COLOR=black][FONT=Courier New]}[/FONT][/COLOR]
[/COLOR][/FONT]

I‘m sure a coding “purist“ (rather than a “Heath Robinson” coder, like myself) will point out that I’ve violated some principle of coding elegance ... but it seems to work, so I’m happy ...

[NinjaTrader_JoshP]

Glad you got it resolved. That would be one acceptable way to proceed with in your code.