A little code help?

[jjlamb24]

I have listed some code below for a simple SMA crossover system that I am using to test a trailing ATR stop. I can't seem to get it to work though.

Does anyone have any ideas why it won't work?
Thanks in advance,
Jim



protectedoverridevoid Initialize()
{
CalculateOnBarClose = true;
}

protectedoverridevoid OnBarUpdate()
{

if (Position.MarketPosition == MarketPosition.Flat)
{
SetTrailStop(CalculationMode.Price, 0);
}

elseif (Position.MarketPosition == MarketPosition.Long)
{
SetTrailStop(CalculationMode.Price, Position.AvgPrice - ATR(14)[1]);
}

if (SMA(3)[0] > SMA(21)[0])
{
EnterLong(DefaultQuantity, "");
}

if (SMA(3)[0] <= SMA(21)[0])
{
ExitLong("", "");
}

[NinjaTrader_RyanM1]

Hi Jim,

You'll want to use SetStopLoss() rather than SetTrailStop(). Trail stop is used when you want a stop to trail the market by the specified tick or percent.

http://www.ninjatrader.com/support/helpGuides/nt7/setstoploss.htm

Change to SetStopLoss() and let us know if it works any better for you.

[jjlamb24]

Thanks for the reply.
I tried substituting SetStopLoss For the trailing stop, and it still doesn't seem to work.
By the way, the goal is to get the stop to trail 1 ATR below the highest price.

Any other ideas?
Thanks,
Jim

[NinjaTrader_RyanM1]

What isn't working right? Walk us through what you're doing to verify the functionality and let us know what you're seeing happen instead of the intended result.

[jjlamb24]

When I run the code that I listed below, with either a trailing stop OR a stop loss, and then run a back test in strategy analyzer on CAT for 10 years of daily data, there are no instances of the stop being triggered, even though there are many cases where either stop should have been triggered, trail or not.

[NinjaTrader_RyanM1]

Make sure you've compiled the latest version of the strategy by right clicking > Compile and then running the backtest again.

Are you still submitting a stop loss at price 0 as your first snippet?

Try instead setting a high initial value when flat.
if (Position.MarketPosition == MarketPosition.Flat)
{
SetStopLoss(CalculationMode.Ticks, 200);
}

Remove the separate exit condition if you want to evaluate stop loss functionality.

Use TraceOrders output to track strategy order submission.

Print all values and verify with tools > Output window. Help for using these debugging tools is available here:

http://www.ninjatrader.com/support/forum/showthread.php?t=3418

[jjlamb24]

Thanks a lot for the help.
Setting the SetStopLoss(CalculationMode.Ticks, 200);
Rather than 0 fixed the problem.
It now works well.

Thanks again,
Jim

[koganam]

Thanks a lot for the help.
Setting the SetStopLoss(CalculationMode.Ticks, 200);
Rather than 0 fixed the problem.
It now works well.

Thanks again,
Jim

I would suggest that you experiment with that initial value. Especially see if using your disaster stop value will let it work. You never want your initial stop loss to be larger than the absolute maximum that you are willing to lose in the time period (or per given position, depending on your mindset).