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Signal entry, daily timeframe

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    Signal entry, daily timeframe

    Hi there,

    I'm using the daily timeframe to backtest strategies. I do not have access to intraday data. Without intraday data, I know that I cannot enter a trade on the same day/bar that I receive an enter signal -- I can only enter on the following day/bar. However, I keep being entered at the CLOSE, 4pm, on the day following my signal, and want to enter at the OPEN on the day following my signal.

    Is there a way to do this -- to enter at the OPEN of the day/bar following my signal without having access to intraday data?

    Much thanks for any help!

    ~Becky

    #2
    Hello,

    Thanks for your forum post.

    Quick question are you doing this in a backtest/strategy analyzer?, or applying the strategy to a realtime chart?

    I look forward to assisting you further.
    BrettNinjaTrader Product Management

    Comment


      #3
      Hi Brett,
      I'm doing this in a backtest/strategy analyzer.
      Thank you!

      Comment


        #4
        Hello,

        Very strange then how are you seeing that it happens on the close? Should always occur on the open price of the next bar after the signal is true to EnterLong() for example.

        Are you not seeing this.

        Can you post a screenshot of the chart?

        To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CRTL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.


        I look forward to assisting you further.
        BrettNinjaTrader Product Management

        Comment


          #5
          Hi Brett,

          I am seeing that entry happens on the close when I look at the time of entry for executed trades in the Backtest performance results. Every single one is entered at the close of the day following the signal.

          I've attached a screenshot of the chart (I think!)

          Your help is much appreciated!

          ~Becky
          Attached Files

          Comment


            #6
            Hi Becky,

            In your screenshot, all the entries take place at bar's opening. To visualize this better, consider switching to OHLC bars rather than candlesticks. Daily bars offer only one time stamp - The closing time as defined by the session template. Order is submitted to a bar, and NinjaTrader uses the only time stamp available. There's unfortunately no way to get increased time resolution without adding a smaller intraday series.
            Ryan M.NinjaTrader Customer Service

            Comment


              #7
              Does that mean that the entry and exit times for executed trades as reported in the backtest results are not a reflection of actual entry/exit times, but are instead the NT timestamp? Is the timestamp for daily bars always taken at the close? To verify real entry/exit times is it thus always best to look at the charts?

              Thanks again,
              ~Becky

              Comment


                #8
                Hello,

                The time stamps of the bars are what are used. However the open time stamp of the bar will be used on the bar that it goes long and short on.

                The backtester wil always open the new position on the open of the next bar and your screenshot confirms this.

                Remember that the time stamp in NT of the bars would be the end time of the bar.

                Let me know if I can be of further assistance.
                BrettNinjaTrader Product Management

                Comment

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