Dynamic calculation of R/R after an entry signal

October 22nd, 2014, 04:00 PM

Hi all,

I'm currently working on a strategy that measures the Risk/Reward ratio as an entry filter. This is the coding I'm currently using for a LONG entry;

Code

if (CCI(256)[0] > -100 && CCI(256)[1] > -100 && CCI(256)[2] > -100 && CrossAbove(CCI(256), -100, 3) && ((EMA(50)[0] - Close[0]) / (Close[0] - (Low[LowestBar(Low, 96)] - 10 * TickSize))) >= 0.90)
			{	
				LongEntryOrder = EnterLong(30000, "LongEntry");
				DrawArrowUp("My up arrow" + CurrentBar, false, 0, Low[0] - 5 * TickSize, Color.Lime);
			}

As you can see I'm checking if CCI > -100 for the past 3 bars. The red part is the R/R measurement. As you can see I want the R/R ratio to be at least 0,90 before I want to enter a trade. But now the thing I can't figure out yet;

IF the R/R ratio is below 0,9, but all the other rules for entry are met, I want my strategy to check on the next bar if;

1) Target 1 wouldn't have hit yet. (Target 1 = EMA 50 period)
2) My stoploss wouldn't have hit yet (StopLoss = 10 ticks below the lowest low of the last 96 bars counted from the entry bar)
3) CCI remains above -100
4) R/R ratio is at least 1.10

I want the strategy to keep checking these 4 requirements and enter a LONG position if all 4 requirements are met. If 1 of the 4 are false, I want the strategy to reset completely and start checking again for the original entry requirements. But I have no idea what logic to use to keep checking this every bar and still keep in mind the first entry requirements.

I hope I'm making some sense here. To clear things up, I've added a chart where I'm illustrating what I just described.
I've also added my whole coding.

Code

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class CCItest : Strategy
    {
        #region Variables
        // Wizard generated variables
        // User defined variables (add any user defined variables below)
		
		private IOrder LongEntryOrder = null;
		private IOrder ShortEntryOrder = null;
		private IOrder LongScalper = null;
		private IOrder LongTarget1 = null;
		private IOrder ShortScalper = null;
		private IOrder ShortTarget1 = null;
		
		#endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
			ExitOnClose = false;
			EntriesPerDirection = 1;
			EntryHandling = EntryHandling.AllEntries;
			
			Add(CCI(256));
            Add(EMA(50));
		}

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // LONG entry condition set 
            if (CCI(256)[0] > -100 && CCI(256)[1] > -100 && CCI(256)[2] > -100 && CrossAbove(CCI(256), -100, 3) && ((EMA(50)[0] - Close[0]) / (Close[0] - (Low[LowestBar(Low, 96)] - 10 * TickSize))) >= 0.90)
			{	
				LongEntryOrder = EnterLong(10000, "LongEntry");
				DrawArrowUp("My up arrow" + CurrentBar, false, 0, Low[0] - 5 * TickSize, Color.Lime);
			}
		
			// SHORT entry condition set
            if (CCI(256)[0] < 100 && CCI(256)[1] < 100 && CCI(256)[2] < 100 && CrossBelow(CCI(256), 100, 3) && ((Close[0] - EMA(50)[0]) / ((High[HighestBar(High, 96)] + 10 * TickSize) - Close[0])) >= 0.90)
			{
				ShortEntryOrder = EnterShort(10000, "ShortEntry");
				DrawArrowDown("My down arrow" + CurrentBar, false, 0, High[0] + 5 * TickSize, Color.Lime);
				}
			
			
			
			
			
			

			
			
			
			// LONG StopLoss condition set
			if (Position.MarketPosition == MarketPosition.Long)
			{
				if (Position.Quantity == 10000)
				{
					if (EMA(50)[0] <= Position.AvgPrice)
					{
						ExitLong(0, 10000, "ExitEMALong", "");
					}
				}
			}
				
			// SHORT StopLoss condition set
			if (Position.MarketPosition == MarketPosition.Short)
			{
				if (Position.Quantity == 10000)
				{
					if (EMA(50)[0] >= Position.AvgPrice)
					{
						ExitShort(0, 10000, "ExitEMAShort", "");
					}
				}
			}
			
			
			
			
			
			
			
			
			
			
			// LONG Scalper condition set
			if (Position.MarketPosition == MarketPosition.Long)
			{
				if (Position.Quantity == 10000)
				{
					LongScalper = ExitLongLimit(0, true, 10000, EMA(50)[0] - 2 * TickSize, "LongScalper", "");
				}
			}

			// SHORT Scalper condition set
			if (Position.MarketPosition == MarketPosition.Short)
			{
				if (Position.Quantity == 10000)
				{
					ShortScalper = ExitShortLimit(0, true, 10000, EMA(100)[0] + 2 * TickSize, "ShortScalper", "");
				}
			}

		}
		
		
		
		
		
		
		
		
		
		
		protected override void OnExecution (IExecution execution)
		{
			if (LongEntryOrder != null && LongEntryOrder == execution.Order)
			{
				if (Position.Quantity == 10000)
				{
					ExitLongStop(0, true, 30000, Low[LowestBar(Low, 96)] - 10 * TickSize, "StoppedOutLong", "");
				}
			}
			
			if (ShortEntryOrder != null && ShortEntryOrder == execution.Order)
			{
				if (Position.Quantity == 10000)
				{
					ExitShortStop(0, true, 30000, High[HighestBar(High, 96)] + 10 * TickSize, "StoppedOutShort", "");
				}
			}

				
		}
	}
		#region Properties
        #endregion
}

Dynamic calculation of R/R after an entry signal

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Dynamic calculation of R/R after an entry signal