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Old 06-14-2016, 08:37 AM   #1
dannypark100
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Hi,

I am running a strategy where I want to exit trades at market once the stochastic goes above 40 for longs and below 60 for shorts.

It would appear on ninja that it is exiting on the close of the bar not at the point the price action moves the stochastic to the necessary level,

Could anyone shed some light on this issue?

Thanks in advance,


Dan
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Old 06-14-2016, 08:48 AM   #2
NinjaTrader_Paul
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Hello dannypark100,

Thanks for your post.

Can you clarify:

1) Is this on Live, replay or backtest data? (If live, whom is the datafeed from?)
2) What bar type are you using?
3) What is the setting of CalculateOnBarClose, true or false?
4) What exit order method are you using?
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Old 06-16-2016, 06:02 AM   #3
dannypark100
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Hi Paul,

Thanks fo rthe reply,

This is on a back test at present, using candlestick bars, I have tried both true and false for CalculateOnBarClose but the back test appears to have the same results.

Is there anything else you could advise,

thanks,

Daniel
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Old 06-16-2016, 07:32 AM   #4
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Hello dannypark100,

Thanks for your reply.

When backtesting or looking at historical data, the strategy will execute the same as CalculateOnBarClose = true because the data only contains the open/high/low and close of the bar and does not contain all of the ticks of the bar. The strategy then executes once, at the end of each bar. If the strategy determines an exit condition in that bar, the exit does not occur until the next bar.

You can add a faster time frame data series to your strategy to provide more opportunities to exit sooner. Here is a link to a reference sample that demonstrates this: Backtesting NinjaScript Strategies with an intrabar granularity

Alternatively, you can use Market Replay and test your strategy with CalculateOnBarClose = false. Slower but closer to live conditions.
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