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Daily Profit / loss question

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    Daily Profit / loss question

    I’m working on a strategy that has a daily profit target and daily loss but I can’t get it to work when I back test it. it works fine when I live sim trade it. When I back test it, it makes the profit target but then stops trading for the rest of the year


    here is the code
    if (Position.MarketPosition == MarketPosition.Flat) // Only calculate when position is flat
    {
    if (Bars.FirstBarOfSession)
    {
    cumprofit = Performance.AllTrades.TradesPerformance.Currency.C umProfit; // Calculate the cumprofit all strategy days
    todaysPL = Performance.AllTrades.TradesPerformance.Currency.C umProfit - cumprofit; // Reset todays P&L
    PrintWithTimeStamp("FirstBarOfSession!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!");
    }

    // Calculate todays P&L
    if (todaysPL != Performance.AllTrades.TradesPerformance.Currency.C umProfit - cumprofit)
    {
    todaysPL = Performance.AllTrades.TradesPerformance.Currency.C umProfit - cumprofit;

    }

    // Halts strategy when todays P&L exceeds limits


    if (Performance.AllTrades.TradesPerformance.Currency. CumProfit - cumprofit >= maxprofit
    || Performance.AllTrades.TradesPerformance.Currency.C umProfit - cumprofit <= -maxloss)


    {


    strategyHalt = true;
    return;
    }

    }




    Any ideas or can anyone point me in a direction?
    Last edited by EvilHog; 02-15-2012, 06:05 PM.

    #2
    EvilHog, it sounds then like your reset point for the historical daily calcs of stop / target is not correctly met in backtesting, I would suggest printing the values of your cumprofit and todaysPL variables to see where the values report differently as you expect and then modify as needed.

    Here's also a reference sample dealing with the same topics - http://www.ninjatrader.com/support/f...ead.php?t=4084
    BertrandNinjaTrader Customer Service

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