Exit Efficiency - strange results

[entropy]

Dear Support,

I've attached a screenshot of strange exit efficiency results. Do you know what types of code errors might produce something like this?

Thanks,
entropy

[NinjaTrader_Bertrand]

entropy, what kind of strategy is generated those results? Which methods are you using on which symbol / timeframe? Which filltype for the historical processing was used here?

Thanks,

[entropy]

Hi Bertrand,
It's a mean reversion strategy on 60min bars using fixed setstoploss and setprofittarget exits. It's not in the market all the time. Probably takes 60-70 trades per year with 30-150 pip sl or tp. These exit efficiency results are from $eurusd, I could have this wrong (new to NT7) but I believe that setstoploss and setprofittarget are the fill types? If this doesn't make sense I'll try to be more specific.

[NinjaTrader_Bertrand]

Then you're probably using the default fill type, this would be set under Historical Fill processing as you backtest your strategy - http://www.ninjatrader.com/support/h...a_strategy.htm

So with this setup, you're getting a lot of fills intrabar?

You could add more backtesting resolution to your strategy to get more detailed results -

http://www.ninjatrader.com/support/forum/showthread.php?t=6652

[entropy]

Yes, almost all of my exit fills are intrabar. I looked through the entire link and attachment code you mentioned about increasing the backtest resolution. What exactly do you mean by backtest "resolution" and what would increase or decrease it? Thanks!

[NinjaTrader_RyanM1]

entropy,

For adding resolution, you add smaller time frames than the primary series. You can then submit exit orders to this series using the advanced overload, providing more granularity on the sequence.

[entropy]

Thanks Ryan,
That's actually what my other question about barsinprogress and setstoploss had to do with today.

I'm using the add 1-tick to do tick by tick bid/ask backtesting on a 30 minute chart, so i'm using the overrides in enterlong() and entershort() to force entry at the real bid and ask, and was trying to do the same for my setstoploss and setprofittarget code.

since setstoploss and setprofittarget don't have overrides built in, like you said, I'm just checking to see if barsinprogress is the right dataseries before executing the setstoploss or setprofittarget lines.

so I believe I've got the resolution down as far as it can go. does my reasoning make sense or am I confused about how NT7 works?

[NinjaTrader_RyanM1]

This seems different than your Set question earlier, when you were trying to adjust a stop loss value based on the value of another instrument.

Set statements will look at all BIPs to determine if there should be a fill, so for increased granularity with exits, you have to move away from Set and instead submit to a specific series using the advanced overload for ExitLongStop() and ExitShortStop()

ExitLongStop(int barsInProgressIndex, bool liveUntilCancelled, int quantity, double stopPrice, string signalName, string fromEntrySignal)

[entropy]

Aha, now I have learned what I needed to learn. In the other thread I wasn't asking the question correctly. Exits are what I need to be using, not Sets. Thanks a ton!

[NinjaTrader_RyanM1]

Glad it's clear, entropy. Thanks for the follow - up.