I have been running my back testing in standard mode just fine. I switched to optimization mode and now one of my optimization parameters is throwing 'not valid' error even though the optimization range I have set is within the range in the code. I have crawled through the code to see what I am missing here and nothing is standing out. Below is source code and a screenshot of the error.
Code:
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class AfterHoursStudy : Strategy
{
private DateTime openTradeTime;
private DateTime closeTradeTime;
private bool buyAndHold;
private int sharesToTrade;
private double previousDayBuyThresholdGreaterThan;
private double previousDayBuyThresholdLessThan;
private int thresholdPeriodInDays;
private bool doReinvestGains;
private bool doTradeMondayTuesdayOnly;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"To backtest the performance of trading market hours and after hours seperately.";
Name = "AfterHoursStudy";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = false;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 1;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
OpenTradeTime = default(DateTime);
CloseTradeTime = default(DateTime);
BuyAndHold = false;
SharesToTrade = 500;
PreviousDayBuyThresholdGreaterThan = 5;
PreviousDayBuyThresholdLessThan = -5;
ThresholdPeriodInDays = 5;
DoReinvestGains = false;
DoTradeMondayTuesdayOnly = false;
}
else if (State == State.Configure)
{
openTradeTime = OpenTradeTime;
closeTradeTime = CloseTradeTime;
buyAndHold = BuyAndHold;
sharesToTrade = SharesToTrade;
previousDayBuyThresholdGreaterThan = PreviousDayBuyThresholdGreaterThan;
previousDayBuyThresholdLessThan = PreviousDayBuyThresholdLessThan;
thresholdPeriodInDays = ThresholdPeriodInDays;
doReinvestGains = DoReinvestGains;
doTradeMondayTuesdayOnly = DoTradeMondayTuesdayOnly;
}
}
protected override void OnBarUpdate()
{
//Print(Time[0].ToString("MM/dd/yyyy HH:mm") + "-" + Close[0]);
if (CurrentBar < BarsRequiredToTrade)
return;
DateTime currentTimeInLocalTimezone = DateTime.SpecifyKind(Time[0], DateTimeKind.Local);
DateTime _openTradeTime = openTradeTime;
DateTime _closeTradeTime = closeTradeTime;
if(currentTimeInLocalTimezone.IsDaylightSavingTime())
{
_openTradeTime = openTradeTime.AddHours(1);
_closeTradeTime = closeTradeTime.AddHours(1);
}
if (Position.MarketPosition == MarketPosition.Flat)
{
if(buyAndHold)
EnterLong();
else if (currentTimeInLocalTimezone.Hour == _openTradeTime.Hour && currentTimeInLocalTimezone.Minute == _openTradeTime.Minute)
{
double previousSessionPerformance = (Close[0] - Close[thresholdPeriodInDays * 2]) / Close[thresholdPeriodInDays * 2] * 100;
// Print("session start: " + Time[2].ToString("MM/dd/yyyy HH:mm") + "-" + Close[2]);
// Print("session end (current): " + Time[0].ToString("MM/dd/yyyy HH:mm") + "-" + Close[0]);
// Print("Previous Session performance: " + previousSessionPerformance);
if(previousSessionPerformance > PreviousDayBuyThresholdGreaterThan || previousSessionPerformance <= PreviousDayBuyThresholdLessThan)
{
int additionalShares = 0;
if(doReinvestGains)
additionalShares = (int)(SystemPerformance.AllTrades.TradesPerformance.NetProfit / Close[0]);
if(doTradeMondayTuesdayOnly)
{
if(currentTimeInLocalTimezone.DayOfWeek == DayOfWeek.Friday ||
currentTimeInLocalTimezone.DayOfWeek == DayOfWeek.Monday) // Friday to Monday and Monday to Tuesday
EnterLong(sharesToTrade + additionalShares);
}
else
EnterLong(sharesToTrade + additionalShares);
}
//Print("Opened: " + Time[0].ToString("MM/dd/yyyy HH:mm") + "-" + Close[0]);
}
}
else
{
if(!buyAndHold)
{
//Print("Closed: " + Time[0].ToString("MM/dd/yyyy HH:mm") + "-" + Close[0]);
if (currentTimeInLocalTimezone.Hour == _closeTradeTime.Hour && currentTimeInLocalTimezone.Minute == _closeTradeTime.Minute)
ExitLong();
}
}
}
#region Properties
[Display(ResourceType = typeof(Custom.Resource), Name = "Shares to Trade", GroupName = "Order Settings", Order = 1)]
[Range(1, int.MaxValue), NinjaScriptProperty]
public int SharesToTrade {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Open Trade Time (local DST)", GroupName = "Order Settings", Order = 2)]
[Gui.PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
public DateTime OpenTradeTime {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Close Trade Time (local DST)", GroupName = "Order Settings", Order = 3)]
[Gui.PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
public DateTime CloseTradeTime {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Buy and Hold (override)", GroupName = "Trade Settings", Order = 1)]
public bool BuyAndHold {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Reinvest Gains", GroupName = "Trade Settings", Order = 2)]
public bool DoReinvestGains {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Previous Day Gains Buy Threshhold (greater than)", GroupName = "Trade Filters", Order = 1)]
[Range(0, 100), NinjaScriptProperty]
public double PreviousDayBuyThresholdGreaterThan {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Previous Day Gains Buy Threshhold (less than)", GroupName = "Trade Filters", Order = 2)]
[Range(-100, 0), NinjaScriptProperty]
public double PreviousDayBuyThresholdLessThan {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Threshold Period in Days", GroupName = "Trade Filters", Order = 3)]
[Range(1, 60), NinjaScriptProperty]
public int ThresholdPeriodInDays {get; set;}
[Display(ResourceType = typeof(Custom.Resource), Name = "Only Trade Monday and Tuesday", GroupName = "Trade Filters", Order = 4)]
public bool DoTradeMondayTuesdayOnly {get; set;}
#endregion
}
}
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