unexpected trailing stop exit

[bkout]

I'm using the Wizard to create my strategy so please advise me how to solve this problem using that. On this capture

http://screencast.com/t/ayipZFxsA

The entry was on the 9:30 EST 15 min bar open based on my CONT signal (trend continuation). It was a good signal and price only ticked down one tick from the entry. On Entry there should have been a 20 tick trailing stop placed which should not have been hit, but for some reason the trail stop was set to the entry price and the trade exited right away. I don't see this happening typically but I need to figure out why it happened here. Here are my trailing stop windows

http://screencast.com/t/gs5a4HaKf1

In searching the forums I have seen some talk about "reseting trailing stops" -- maybe(??) this is the problem i.e. that an outdated trailing stop value was hit??? If so how can I create a rule in the wizard to reset the trailing stop? Thanks.

[NinjaTrader_JC]

Hello bkout,

Your setup looks good, and using the Strategy Wizard and the SetTrailingStop you would not have to reset the Stop Loss value.

The Trailing Stop will be modified with each incoming tick of data so as Price moves up each tick so will the Stop loss. So it would be possible that the price moved up 20 ticks to your entry price, then back down to hit the Stop Loss, and back up again.

Let us know if you have any questions.

[bkout]

Hi JC yes that was my first thought but zooming into this 1 min chart of ES at the 9:30 open yesterday I don't see how that is possible

http://screencast.com/t/sHmdpspoa

It looks like the market did not move up 20 ticks until the 9:40 bar and from even well before that point trading was never near the stop. Low for the move was one tick below the entry.
Perhaps I should add that I have other methods of entry in the strategy but only one method can trigger at a time so I'm not sure how that could set the trailing stop to a "wrong" value for this trade. What would be the next thing to check?

[NinjaTrader_JC]

Hello bkout,

If this is an order that happened Historically then that would be expected as NinjaTrader would not have access to any data beside the OHLC value to base the Stop Loss value on. Since it would be tough to emulate with just a 15 Min bar value NinjaTrader will use the High to calculate the Stop Loss and since the high is more than your Stop Loss value (20 ticks) of the open then it will be filled immediately.

Running the Strategy live the Stop Loss will be placed based on the Last price, but Historically you would not have access to that type of data. If you would like more accurate fills like that Historically then you may want to use an Exit method.

Let me know if you have any questions.

[bkout]

I guess I'll seee if it's a problem in testing. Could you perhaps point me to a source to learn how to do an Exit method that would be more accurate using the Wizard? Thanks.

[NinjaTrader_JC]

Hello bkout,

Our Help Guide is the best documentation about the Exit methods that you may view at the following link.

http://www.ninjatrader.com/support/helpGuides/nt7/order_methods.htm

Also, here is a reference sample that demonstrates how to place an Exit() order and the different places that you can place them.

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

[bkout]

I think this is a related problem. I am testing a 15 min ES chart with a system that has a 2 point profit target. It can take up to 3 short entries off a signal. In the case of this capture it's entering a short at the limit price at the yellow horizontal line. The results show 3 entries at that level and 3 exits for a 2 point profit. Sounded good at first, but based on looking at a 1 min chart I think the second entry (green candle) is wrong since the "exit " price was hit before the "limit entry" price. I understand what you're saying that just based on the OHLC data the trade could have happened and so Ninja assumed it did however given that the open of the bar was close to the "exit" and the close of the bar is closer to the limit I would think there should be a workaround to have the entry happen but the profit target not hit until (in this example) the next bar. Is there a way to set this up in the Wizard? http://screencast.com/t/CNlED2s5zBKo After looking at some more trades I'm thinking that unless you can tell me a way to have Ninja look "inside" the bars using the Wizard the best workaround might be a rule that says "If entry time =exit time then Close (of bar) must be < Open otherwise if Close>Open then enter at limit price but go to next bar before possible profit target exit" -- what do you think? Is that possible? Adding on to this message....I found this link http://www.ninjatrader.com/support/f...ead.php?t=6652 This sounds like what I want to do -- is there a way to do it using the Wizard? If not can we put that in as a request for a future improvement as this seems like a common problem. Otherwise short of learning code (a lengthy process I'm trying to avoid) do you think the next best thing would be to go to a 5 or 1 min chart instead of a 15 and adjust all my triggers proportionally while keeping the profit target the same? Thanks.

[NinjaTrader_ChelseaB]

Hello bkout,

Thanks for your note.

With historical data, only the open, high, low, close are available. This means if the limit entry order is within the high and low and there is a profit target that is within the high and low, that bar will show as entering and exiting on that bar.

There will be no "first" as to how the data actually came in during real time to cause the exit first or entry first. It will not have the data needed to place them in that order.

If there is a profit target and a stop loss that are both within the high and low of the bar, NinjaTrader will default to the stop loss.


To clarify your inquiry, the issue is that on a 1 minute series the stop price was hit before the limit entry price. So on a 1 minute chart this buy and sell would not have happened in this 15 time span.

The suggestion you made to use a 1 minute interval to make the orders and a 15 minute interval for your logic would correct this. However, it is not possible to use the Strategy Wizard to make a multi-time frame strategy. That would have to be custom coded.

I will send a feature request to add multi-time frame and instrument strategy creation to the Strategy Wizard to our development department.

Thank you for your feedback and suggestions. We value your opinions and they will be considered in our feature discussion for a future NinjaTrader release.


Please let me know if I can be of further assistance.