Strategy Results

[diggerydoo99]

I just wanted to get some input on a strategy I'm thinking of running. It is backtested on the ES ytd. Would appreciate any comments. This doesn't include brokers fees.

[koganam]

I just wanted to get some input on a strategy I'm thinking of running. It is backtested on the ES ytd. Would appreciate any comments. This doesn't include brokers fees.

1. How many contracts? Without that information, the results do not mean much.
2. Are you sure that your psychology can withstand 13 losing trades in a row, which is what your results indicate? The 19 in a row winners is nice, but everybody can handle that psychologically, whether it makes them elated or not.

[diggerydoo99]

My strategy is to start with one contract, then as I develop profits, I would increase the amount 1 at a time. I don't like losses any more than the next guy, but no pain no gain.

[NinjaTrader_JC]

Hello diggerdoo99,

The results look promising, but I would keep in mind that what has worked in the past does not always work in the future as well. This is to ensure that your are not form fitting your strategy to a specific set of results.

[diggerydoo99]

Hi JC, maybe you could elaborate on form fitting your strategy to a specific set of results. I think I pretty much have been doing that. In other words optimize until I get the best results for a specific period, hoping that they will work reasonably well in the future. Also, I was thinking of adding a 2nd time period to the strategy, such as a longer time frame as a condition of entry, then using a shorter time frame for the actual entry. I'm at a loss as how to do that, maybe you could advise me on that, or at least point me in the right direction.

Thanks

[NinjaTrader_ChelseaB]

Hello diggerydoo99,

I believe JC was advising you to backtest over several different time periods to ensure that the positive results you are getting are not from a particular time period where the market was in your favor.

Also, I am not sure if this strategy is run with CalculateOnBarClose set to false, however if it is, there will be differences between live and historical. Historical is always run with CalculateOnBarClose true.

You may also try running your strategy through a few different days of the Market Replay.

[diggerydoo99]

I always run on calculate on bar close true. What about running different time frames in the same strategy. Could use a little help with that.

Thanks

[NinjaTrader_ChelseaB]

Hi,

Below is a link to a simple multi-time frame strategy called SampleMultiTimeFrameOrders.
http://www.ninjatrader.com/support/f...ead.php?t=5787

Also, below are links to the help guide on Multi-Time Frame & Instruments. Each section here will have valuable information needed to create a multi-time frame strategy.
http://www.ninjatrader.com/support/h...nstruments.htm

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

[diggerydoo99]

Thanks for the input. I tried adding a 2nd time frame to a strategy, but have some errors. I added a daily time fram thusly.
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
//Add daily Bars object to determine market direction
Add(PeriodType.Day, 1);

CalculateOnBarClose = true;



}
I got the error The name 'periodType' does not exist in the current context. Line 42 Column8

Then I incorporated it into my strategy like this
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (Stochastics(7, 14, 3).D[0] >= Stochastics(7, 14, 3).D[Barback1] + Offset1 * TickSize
&&(Close(BarsArray[1])[0] > Close(BarsArray[1])[1] + PriceOffset *TickSize))

{
EnterLong(DefaultQuantity, "");
}

And got the error The name 'Close' does not exist in the current context line 58, column 10 &35.

Help!

[diggerydoo99]

Oh by the way I am trying to get the close of the present daily bar is greater than the close of the previous daily bar plus an offset.

[NinjaTrader_ChelseaB]

Hi diggerydoo99,

I would be happy to help you find the syntax errors you may have.

I will need your full .cs script for me to do this.

You can attach the .cs file to your next post, or if you would like to keep your code private you can send me the script at support[at]ninjatrader[dot]com with Attn: Chelsea #859572 written in the body of the email.

The file will be located in the following directory:

• (My) Documents\NinjaTrader 7\bin\Custom\Strategy\<script file name>.cs

Please let me know how you would like to proceed.