Indicator Delay in Strategy

[shliang]

Hi all,

I'm new to NinjaTrader and trying to implement a strategy that's based on the Swing indicator. But I notice the indicator doesn't behave as I expect.

Suppose the Strength parameter of Swing is set to 5, then a support is confirmed when the 5th bar is finished if other criteria fulfill. I.e., a support is formed with a minimum delay of 5 bars. But I observed in the strategy, it needs 2 x Strength bars (including the support bar itself, and in this case 10 bars) to confirm.

Anyone ever noticed similar issues?

[shliang]

BTW, if I move the historical chart from left to right incrementally, the support is drawn when the 5th bar closes (not including the support bar). -- This is what I expect since no matter how the price evolves, the support won't change afterwards.

[NinjaTrader_Ray]

Are you saying that:

Swing(5).SwingHighBar(0, 1, CurrentBar)

would return a value of 10 once the last swing high is confirmed?

[shliang]

Exactly, Ray!

I haven't even noticed this. Seems I'm really very new, heh

Swing(x).SwingHighBar(0,1,CurrentBar) & Swing(x).SwingLowBar(0,1,CurrentBar) should always return x at the bar when support / resistance is confirmed.

Are you saying that:

Swing(5).SwingHighBar(0, 1, CurrentBar)

would return a value of 10 once the last swing high is confirmed?

[shliang]

The problem is solved.

I tried the same program on my laptop and got different results. Here is the cuase:
I downloaded and installed the AutoTrendLine indicator from this forum. The source code @Swing.cs bundled with it is buggy!!


Please do not overwrite the original @Swing.cs at import.

Ray, thank you for the help.

[NinjaTrader_JoshP]

shliang thanks for pointing this out.

[shliang]

The new Swing.SwingHighBar/SwingLowBar returns Strength+1 when high/low is confirmed.

I've expected it to be Strength.

[NinjaTrader_JoshP]

Strength? Swing(5).SwingHighBar/SwingLowBar should return how many bars ago the new high/low value was found.

Which new version are you referring to?

[shliang]

Strength? Swing(5).SwingHighBar/SwingLowBar should return how many bars ago the new high/low value was found.

Which new version are you referring to?

NinjaTrader Version 6.0.1000.5

For Swing(5), high/low is confirmed when the 5th bar closes. At that exact moment, the high/low bar is 5 bars ago.

E.g., we have the following Open/Close series,

6/5, 5/4, 4/3, 3/2, 2/1, 1/0, 1/2, 2/3, 3/4, 4/5, 5/6, ...

1/0 is confirmed to be the Low Bar when the last 5/6 bar closes. 1/0 is 5 bars ago

[NinjaTrader_JoshP]

Okay I see what you are referring to, but I believe it is behaving as expected. When the 5th bar closes you are no longer on the 5th bar anymore. You are now on the 6th bar thus the print will say 6 bars ago instead of 5 bars ago.

[shliang]

Okay I see what you are referring to, but I believe it is behaving as expected. When the 5th bar closes you are no longer on the 5th bar anymore. You are now on the 6th bar thus the print will say 6 bars ago instead of 5 bars ago.

I checked Close[0], it refers to the 6th bar. At the time the 5th closes, the close price of the 6th bar should not be invisible!

[NinjaTrader_JoshP]

I'm sorry I am not quite following you. The close of the 6th bar is not invisible. If this is running in real-time the Close[0] of the 6th bar will return the latest price of the current bar if you have CalculateOnBarClose set to false.

If you have CalculateOnBarClose set to true you are effectively not running any logic on the current bar until it has closed. This puts you 1 bar behind which is probably why you are seeing the 6th bar as "invisible".