Optimalisation with double in ExitLongLimit-order

[Spinn]

Hi all,

I noticed strange behaviour while backtesting/optimizing my strategy.

This is my code for the trail:

//Trailing Stop during for LLA1
            if (BESetLLA1 == true && ExistLLA1 == true && Close[0] > Close [1] 
//                &&     Close[0] > (entryOrder50.AvgFillPrice + ([COLOR=Red][B]330[/B][/COLOR]* TickSize))
                )   
                {
                stop50 = ExitLongLimit(1,true, DefaultQuantity, Close[0]-[COLOR=Red][B]20[/B][/COLOR]*TickSize, "trailStopLLA1", "LLA1");
                Print(Time[0].ToString("dd/MM/yyyy") + ",  " + Time[0].ToString("HH:mm:ss") +  " Traitrl LLA 1 adjusted to " + (Close[0]-(111*TickSize)));
                }

I would now like to optimize the range of the trail, so I replaced that red '20' by a double 'Tr' (that I gave a value of 20) so I could enter a range to be tested in the optimizer. I do however see differences between the two versions.

Eventually I would also like to optimize the distance above my entry where my trail should kick in (the red '330'), but I noticed the same problem)

Screenshot one is a chart with the red 20 still in place, and screen 2 with the red 20 replaced by the 'Tr'. How come it closes at a different level ?? (FYI: I tried putting the calculation between brackets Close[0]-(Tr*TickSize), but that didn't help)

[NinjaTrader_ZacharyG]

Hello Spinn,

Thank you for writing in.

To clarify, are you ensuring that you have selected the optimizer result that has the Tr parameter set at 20 and comparing to a backtest with a hard-coded value of 20?

Are you connected to live data when comparing the backtest and the optimization? When disconnected and running both again, do the values match up?

[Spinn]

Thank you for your time and effort, NinjaTrader_ZacharyG. Appreciated

First of all: I noticed the discrepancy between 'Tr' and '20' when I ran my strategy on a chart (I always have one open when I'm writing code and from time to time I compile and 'F5' the chart to verify if everything still works) So, to clarify even further: I did not get to the step of optimizing yet, because I figured the results would be strange, judging by the differences I saw on a simple chart.

I attached 4 screenshots:

Two of them are when I ran the strategy on a chart while being connected to an FXCM Demo account and the other two while connected to 'Simulated Data Feed'.

Furthermore: I tried 20 and Tr on both. The filenames of the screens speak for themselves

UPDATE: I tried the same thing in the optimizer and it seems the problem does not exist there. Is this due to the inner workings of NT7 and should I just ignore what I see on a 'simple chart' and ALWAYS look at the optimizer only ??

[NinjaTrader_ZacharyG]

Hello Spinn,

Can you print out the value of Tr before your ExitLongLimit() method so we can ensure that it is, indeed, set to 20?

[Spinn]

This code:

//Trailing Stop during for LLA1
            if (BESetLLA1 == true && ExistLLA1 == true && Close[0] > Close [1] && Close[0] > (entryOrder50.AvgFillPrice + (BE * TickSize)))   
                {
                stop50 = ExitLongLimit(1,true, DefaultQuantity, Close[0]-Tr*TickSize, "trailStopLLA1", "LLA1");
                    [B][COLOR=Red]Print ("Tr = " + Tr);[/COLOR][/B]
//                stop50 = ExitLongStopLimit(1,true, DefaultQuantity, (Close[0]-(25*TickSize)), (Close[0]-(45*TickSize)), "trailStopLLA1", "LLA1");
                Print(Time[0].ToString("dd/MM/yyyy") + ",  " + Time[0].ToString("HH:mm:ss") +  " Trail LLA 1 adjusted to " + (Close[0]-(111*TickSize)));
                }
            // Breakeven for LLA1
            if (initialSetLLA1 && !BESetLLA1 && ExistLLA1 == true && Close[0] >= entryOrder50.AvgFillPrice + (350 * TickSize))
                {
                Print("BE entryOrder50.AvgFillPrice = " + entryOrder50.AvgFillPrice);
                Print("BE Position.AvgPrice = " + Position.AvgPrice);
                stop50 = ExitLongStop(1,true, DefaultQuantity, Close[0]-30*TickSize, "BEstopLLA1", "LLA1");
//                  stop50 = ExitLongStopLimit(1,true, DefaultQuantity, (Close[0]-40*TickSize), (Close[0]-20*TickSize), "BEstopLLA1", "LLA1"); 
                  BESetLLA1 = true;      // set BE stop once
                Print(Time[0].ToString("dd/MM/yyyy") + ",  " + Time[0].ToString("HH:mm:ss") +  " BE LLA 1 set @ " + (entryOrder50.AvgFillPrice));
                            }

yields this output:

3-2-2016 3:00:58 | name: initialStopLLA1 | order state: Working | current price: 172,665 | stop price: 172,155 | limit price 172,13
03-02-2016, 03:00:58 $ $ $ Open PnL: 314,999999999998
3-2-2016 3:01:07 | name: initialStopLLA1 | order state: Working | current price: 172,73 | stop price: 172,155 | limit price 172,13
03-02-2016, 03:01:07 $ $ $ Open PnL: 379,999999999995
BE entryOrder50.AvgFillPrice = 172,35
BE Position.AvgPrice = 172,35
3-2-2016 3:01:07 Entered internal PlaceOrder() method at 3-2-2016 3:01:07: BarsInProgress=1 Action=Sell OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=172,70 SignalName='BEstopLLA1' FromEntrySignal='LLA1'
03-02-2016, 03:01:07 BE LLA 1 set @ 172,35
3-2-2016 3:01:52 | name: BEstopLLA1 | order state: Working | current price: 172,795 | stop price: 172,7 | limit price 0
03-02-2016, 03:01:52 $ $ $ Open PnL: 444,999999999993
3-2-2016 3:01:52 Entered internal PlaceOrder() method at 3-2-2016 3:01:52: BarsInProgress=1 Action=Sell OrderType=Limit Quantity=1 LimitPrice=172,77'5 StopPrice=0 SignalName='trailStopLLA1' FromEntrySignal='LLA1'
Tr = 20
03-02-2016, 03:01:52 Trail LLA 1 adjusted to 172,684
3-2-2016 3:01:52 Cancelled pending exit order, since associated position is closed: Order='NT-00023/Sim101' Name='BEstopLLA1' State=Working Instrument='$GBPJPY' Action=Sell Limit price=0 Stop price=172,7 Quantity=1 Strategy='LiSL210Test' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='5faa352ad3434e0f814917d60c45fcfb' Gtd='1-12-2099 0:00:00'
3-2-2016 3:01:52 Cancelled pending exit order, since associated position is closed: Order='NT-00022/Sim101' Name='initialStopLLA1' State=Working Instrument='$GBPJPY' Action=Sell Limit price=172,13 Stop price=172,155 Quantity=1 Strategy='LiSL210Test' Type=StopLimit Tif=Gtc Oco='' Filled=0 Fill price=0 Token='85897febe392407b90ae4f836661ec52' Gtd='1-12-2099 0:00:00'
03-02-2016, 03:01:52 Stop50 filled at 172,775
03-02-2016, 03:01:52 Long Lime Arrow 1 Flat, so SL reset
entry50 nul

I am also sharing thoughts with NinjaTrader_ChelseaB in this post (http://ninjatrader.com/support/forum...ad.php?t=87099), hence why there are multiple print statements and different lines of Stop-Orders (albeit commented out) present. Sadly this is not the only issue I'm facing atm

Thanks again for your consideration !

[NinjaTrader_ZacharyG]

Hello Spinn,

If all that is changed between the two strategies is the use of a variable vs. a hard coded value for setting ExitLongLimit(), I would expect that both strategies would behave the same if the value of the variable and the hard coded value are the same in a backtest.

I would like to test your strategy on my end.

Please follow the instructions below to export your strategy.

To export your script do the following:

1. Click File -> Utilities -> Export NinjaScript
2. Enter a unique name for the file in the value for 'File name:'
3. Select the strategy from the objects list on the left -> click the right facing arrow ">" to add the strategy to the export
4. Click the 'Export' button -> click 'yes' to add any referenced indicators to the export -> click OK to clear the export location message

By default your exported file will be in the following location:

• (My) Documents/NinjaTrader 7/bin/Custom/ExportNinjaScript/<export_file_name.zip>

Below is a link to the help guide on Exporting NinjaScripts.
http://www.ninjatrader.com/support/h...nt7/export.htm

If you would rather your strategy not be available publicly, you can send us an email at platformsupport [at] ninjatrader [dot] com. Please ensure to reference the ticket number 1543713 as well as my name in the body of your email.

I look forward to assisting further.

[Spinn]

I actually mailed the strategy to platformsupport right before your last post here. I did that because NinjaTrader_ChelseaB asked so. She's working on another issue. I suppose you can finde it there as well

[NinjaTrader_ChelseaB]

Hello Spinn,

As a heads up, I have not yet received the strategy in question.

Can you please resend this?

May I confirm you are including a link to the originating forum thread with your email?

[Spinn]

I just tried again. No error or 'message not sent'.


I did include the link

[NinjaTrader_ChelseaB]

Hello Spinn,

I have not yet received your email.

When you send an email to platformsupport [at] ninjatrader [dot] com you will receive an auto-reply letting you know that your email was received and that a technician will be with you shortly.

Are you getting this auto reply message?

Are you sending this email from your email or from the Control Center?

(Are you replacing the [at] with the @ symbol and the [dot] with a . ?)

If the file is large, try sending this via wetransfer.com.

[Spinn]

So far I tried sendig three different mails (all from a Gmail account and to platformsupport [AT] ninjatrader [DOT[ com)

• The first one errored out, because your email-server discovered a 'virus' in the .zip file you asked for :

Delivery to the following recipient failed permanently:

platformsupport [AT] ninjatrader [DOT] com

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain

The error that the other server returned was:
550 5.7.1 Virus found.

• Secondly, I unpacked the .zip and put the four separate files in attachment, hoping that this would work. I received no error, but you told me the mail never arrived (see screenshot) (I mistakingly had the idea that the Google-server refused tot send, but the problem is on the NT-server appartently)
• Same for the third (that I sent 3 hours ago)
• I NEVER received an auto-reply (although I did get those in the past)

Is it possible that my mails DO go through (since I get no delivery failure), but they end up in a blacklisted folder or so ??

[NinjaTrader_ChelseaB]

Hello Spinn,

I have not seen that an email with a link to this forum thread has been received with anyone on our team.

May I confirm you have attempted to use wetransfer.com as I have previously suggested?

[Spinn]

Sent via WeTransfer (and received confirmation email)

EDIT: also received automatic confirmation from your server

[NinjaTrader_ChelseaB]

Hello Spinn,

I have received the script via wetransfer.

I will test the script and report back with what I find.