ATR based Position Size On Second Entry

[Morrow.Max]

I attached a simple MA crossover strategy to help get my question across.

Let's say I want to pyramid into a position, and have the # of shares/contracts be based on ATR for both entries - for ex. with account size of 100,000 risking 2% would be
mySize= (100000 * (.02)/ATR(14)[0] * 2) .......EnterLong(mySize,"firstentry);....EnterLong (mySize,"second entry");

I want to capture the ATR value at the time of the first entry, not recalculate it at the second entry since the position size will now be different, subject to the differences of the change of the ATR value.

Can anyone point me in the right direction?

[NinjaTrader_Lance]

Hello,

I haven't fully checked it but at first glance your logic appears correct.

Instead of
int mySize = (int) (10000 * (.02) / ATR (14)[0]);

you could do
int mySize = (int) (10000 * (.02) / EntryATR);

If you did this you would also need to recalculate the mySize variable just before the first EnterLong()

Let me know if I can be of further assistance.

[Morrow.Max]

Do you think I could do like a mySize2 = NTFilled(firstEntry); then for second entry it would be EnterLong (mySize2,"secondEntry";? I haven't played with the NTFilled yet so I am not sure how it works.

Thanks.

[NinjaTrader_Lance]

You might consider storing two different variables and using them accordingly. Alternatively you could put the calculation inside the Enter method. Depending on how often and when it's called one I can't say which will work better for you.

Additionally you might want to look into this example for advanced order handling. It's likely more than you need based on what I've seen here, but it could certainly help if you want to add more complexity. This will also give you a better idea for how you can size based on amount filled.

http://www.ninjatrader.com/support/forum/showthread.php?t=7499

[Morrow.Max]

Here's what I did for anyone reading this later. When I print into an output window mySize and mySize2 are the same, which is what I wanted. Without the MarketPosition.Flat it didn't work, I think it was calculating on every bar update. And just to be clear, this isn't a strat that I am trading, it was created for testing ideas. If anyone has a more eloquently way to code this I would be grateful for any help. For now this will do.


if (SMA(10)[0] >= SMA(25)[0]
&& Close[0] > SMA(10)[0]
&& Position.MarketPosition == MarketPosition.Flat //to calculate size once)
{
int mySize = (int) (10000 * (.02) / (ATR (14)[0]*2));
Print (mySize + "is mySize");
EnterLong(mySize, "FirstPosition");
mySize2 = mySize;
Print (mySize2 + "is mySize2");
}

if (Position.MarketPosition == MarketPosition.Long && SMA(10)[0] >= SMA(25)[0]
&& Close[0] > SMA(10)[0] && Close[0] > myN // variable for second entry not included here)
{EnterLong((int)mySize2, "SecondPosition");}

Thanks to any and everyone who has taken the time to help out those not as far down the path! Your time and patience is appreciated.

[NinjaTrader_Lance]

Thanks for the feedback. Let me know if there is anything further I can be of assistance with.