During backtesting different strategies I ran into fills I simply could not understand when using 1440min bars as primary and 5-60min as secondary.
So I created this testscript to understand the problem but it is still showing up and I cannot understand it. Maybe someone can help.
The strategy is attached and when I run it on 6S 06-11 dates 1.february forward I get a fill like in the attached pic. 77ticks above the level.
Thanks for any help.
#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.Gui.Chart; 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 intrabarteststrat : Strategy { #region Variables // Wizard generated variables private double longlevel = 1.070; // Default setting for Longlevel // 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() { CalculateOnBarClose = true; Add(PeriodType.Minute,5); ExitOnClose=false; } /// <summary> /// Called on each bar update event (incoming tick) /// </summary> protected override void OnBarUpdate() { // if (BarsInProgress == 1) { if (Close[0] > Longlevel) { EnterLong(1,DefaultQuantity, "long"); } // } } #region Properties [Description("")] [GridCategory("Parameters")] public double Longlevel { get { return longlevel; } set { longlevel = Math.Max(1, value); } } #endregion } }
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