challenge - onprice change startegy base on signal coming from on bar close indicator

[madams212121]

Hello,

I have a challenge, I am trying to use the trailingstop that is updating onpricechange and not onbarclose.

Basically ( see picture below)

1- if the price goes below the green line entry long with trailing stop
2- if the price goes above the red line entry short with trailing stop

the problem if I call that indicator into the strategy , the indicator is going to calculate the line on each price change.

The green and red line in image below are based on an custom indicator that is calculate the line onbarclose.

is it possible to use the red / green line values calculated onbarclose or as seen on the screen into a strategy that calculate onpricechange ?

any example?

the bar are a custom bar line break chart with wicks

thank you

[NinjaTrader_Jim]

Hello madams212121,

Thanks for your post.

An indicator added to a strategy will calculate based on the Calculate mode of the strategy. If you would like to force the indicator to calculate following OnBarClose operations, you can use IsFirstTickOfBar in the indicator and use BarsAgo 1 references instead of BarsAgo 0 references. The Help Guide provides an example for how that logic would be set up.

IsFirstTickOfBar - https://ninjatrader.com/support/help...ttickofbar.htm

I have also attached a modification of the SMA indicator so it is forced to calculate on bar closes. The indicator is also updating i's current plot value with the plot value that was assigned on bar close. The current plot value is not being re-calculated but using the the last value calculated.

We look forward to assisting.

[madams212121]

Hello, thank you for you answer but here few issue.

If you use one bar ago then you are going to be delayed by 1 bar -not really good a strategy

I used your example provided and put in into a strategy and reading the result nothing show up.

here the code I used in the strategy .

namespace NinjaTrader.NinjaScript.Strategies
{
 public class Eachticktesting : Strategy
 {  private  SMAForceOnBarClose SMA1;
  protected override void OnStateChange()
  {
   if (State == State.SetDefaults)
   {
    Description         = @"Enter the description for your new custom Strategy here.";
    Name          = "Eachticktesting";
    Calculate         = Calculate.OnPriceChange;
    EntriesPerDirection       = 1;
    EntryHandling        = EntryHandling.AllEntries;
    IsExitOnSessionCloseStrategy    = true;
    ExitOnSessionCloseSeconds     = 30;
    IsFillLimitOnTouch       = false;
    MaximumBarsLookBack       = MaximumBarsLookBack.TwoHundredFiftySix;
    OrderFillResolution       = OrderFillResolution.Standard;
    Slippage         = 0;
    StartBehavior        = StartBehavior.WaitUntilFlat;
    TimeInForce         = TimeInForce.Gtc;
    TraceOrders         = false;
    RealtimeErrorHandling      = RealtimeErrorHandling.IgnoreAllErrors;
    StopTargetHandling       = StopTargetHandling.PerEntryExecution;
    BarsRequiredToTrade       = 20;
    // Disable this property for performance gains in Strategy Analyzer optimizations
    // See the Help Guide for additional information
    IsInstantiatedOnEachOptimizationIteration = true;
    Periods     = 14;
   }
   else if (State == State.Configure)
   {
    SMA1 = SMAForceOnBarClose (Periods);
   }
  }

  protected override void OnBarUpdate()
  {
   if (BarsInProgress != 0)
    return;

   if (CurrentBar < BarsRequiredToTrade)
    return;

   Log(" Strategy SMA : " + SMA1[1], LogLevel.Information);  
  }

  #region Properties
  [NinjaScriptProperty]
  [Range(1, int.MaxValue)]
  [Display(Name="Periods", Order=1, GroupName="Parameters")]
  public int Periods
  { get; set; }
  #endregion

 }
}

here the result I am getting



Any advice ?

[madams212121]

I dit a little modification on the strategy and it look like I am getting data every 30 sec which match the time frame but still no data are getting received

 
if (IsFirstTickOfBar)
   {
   Log(" Strategy SMA : " + SMA1[1], LogLevel.Information);  
   }

I even tried to print 20 candle ago still no result.

Advice ?

[NinjaTrader_Jim]

Hello madams212121,

Keep in mind, bar closures are signaled on the first tick of a new bar. Checking BarsAgo 1 on the first tick of a new bar is the same thing as referencing BarsAgo 0 when calculating on bar closes.

I had updated a different example I was preparing by mistake. I updated my post to include an updated sample and also a strategy that cna be used to test.

Let me know if there is anything else I can do to help.

[madams212121]

thank you that helps a lot.

I can run your script and it looks like generating the right amount print in the window based on what is happening

As you can see from the picture below the SMA print great , the function call the indicator also print the right value but the code in the strategy doesn't get the value.







I have attached the code for both the strategy and the indicator

[grose]

Hi NinjaTrader_Jim,

I just want to be clear on the bar referencing logic you described. If a strategy updates on every tick, and IsFirstTickOfBar = true, then any reference using [1], such as Close[1], should refer to the close of the just-completed bar, and any reference using [0] such as Open[0] should refer to the bar that just started forming. Is that correct? Thanks.

Gordon

[NinjaTrader_Jim]

Hello madams212121,

My example sets the previous plot value on the first tick of a new bar and also assigns the current (developing) plot value to this value. The plot values only change on bar closes and the developing bar is also updated with this last calculated value. I recommend following this approach.

I.E.

if (Entry_threshold == 1)
{   
    entry_signal_long = Close[1]; 
    Entry_long [1] =  entry_signal_long;
    Entry_long [0] = Entry_long [1];
}

grose, yes this is correct. IsFirstTickOfBar is the first tick of the developing bar, so referencing BarsAgo 1 here would represent the bar that had just closed.

I look forward to assisting.