Adding BarsSinceEntry causes a problem on backtest

October 11th, 2014, 05:19 PM

Hi all,

I've just started working with NinjaScript to build an automated trading bot for a strategy I've been trading manually. I have a little bit of programming experience, years ago, and I figured the easiest way to jump start this project was to construct as much as I could of the strategy in the Strategy Wizard, then when I hit the limits of what I can in the Wizard, unlock the code and program it manually from there.

I made a bit of progress today but I've hit a roadblock and I'm not sure what's causing it.

The problem is as follows: my strategy does what it's supposed to in the historical backtest until I add the following:

BarsSinceEntry() >= EntryDistance

whereupon when I backtest the strategy all the trade entries and exits simply disappear. No trades are placed any more. I'm not sure why adding BarsSinceEntry() causes this. EntryDistance is a user defined input integer with a default value of 6. What I'm trying to accomplish is to have at least 6 bars between consecutive long entries.

Any help would be appreciated. I've copied my code below.

Code

        protected override void Initialize()
        {
            SetStopLoss("LongEntry", CalculationMode.Ticks, 15, false);

            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Condition set 1
            if (EMA(MA1Shortperiod)[0] > EMA(MA1Longperiod)[0]
                && RSI(RSIperiod, 3).Avg[0] > RSIbuylevel
                && ToTime(Time[0]) > ToTime(9, 0, 0)
                && ToTime(Time[0]) < ToTime(13, 59, 0)
                && Position.MarketPosition != MarketPosition.Short
                && BarsSinceEntry() >= EntryDistance)
            {
                EnterLongLimit(DefaultQuantity, Close[0], "LongEntry");
            }

        }

        #region Properties
        [Description("Short MA on smallest time frame")]
        [GridCategory("Parameters")]
        public int MA1Shortperiod
        {
            get { return mA1Shortperiod; }
            set { mA1Shortperiod = Math.Max(1, value); }
        }

        [Description("Long MA on smallest time frame")]
        [GridCategory("Parameters")]
        public int MA1Longperiod
        {
            get { return mA1Longperiod; }
            set { mA1Longperiod = Math.Max(1, value); }
        }

        [Description("RSI on smallest time frame")]
        [GridCategory("Parameters")]
        public int RSIperiod
        {
            get { return rSIperiod; }
            set { rSIperiod = Math.Max(1, value); }
        }

        [Description("ATR on largest time frame")]
        [GridCategory("Parameters")]
        public int ATRperiod
        {
            get { return aTRperiod; }
            set { aTRperiod = Math.Max(1, value); }
        }

        [Description("RSI buy level")]
        [GridCategory("Parameters")]
        public int RSIbuylevel
        {
            get { return rSIbuylevel; }
            set { rSIbuylevel = Math.Max(1, value); }
        }

        [Description("RSI sell level")]
        [GridCategory("Parameters")]
        public int RSIselllevel
        {
            get { return rSIselllevel; }
            set { rSIselllevel = Math.Max(1, value); }
        }

        [Description("Distance between entries, in bars")]
        [GridCategory("Parameters")]
        public int EntryDistance
        {
            get { return entryDistance; }
            set { entryDistance = Math.Max(1, value); }
        }
        #endregion
    }

NinjaTrader · October 11th, 2014, 05:32 PM

Quick guess that BarSinceEntry() is zero on start thus your logic will never call EnterLongLimit()...

PhillyD

Hi all,

I've just started working with NinjaScript to build an automated trading bot for a strategy I've been trading manually. I have a little bit of programming experience, years ago, and I figured the easiest way to jump start this project was to construct as much as I could of the strategy in the Strategy Wizard, then when I hit the limits of what I can in the Wizard, unlock the code and program it manually from there.

I made a bit of progress today but I've hit a roadblock and I'm not sure what's causing it.

The problem is as follows: my strategy does what it's supposed to in the historical backtest until I add the following:

BarsSinceEntry() >= EntryDistance

whereupon when I backtest the strategy all the trade entries and exits simply disappear. No trades are placed any more. I'm not sure why adding BarsSinceEntry() causes this. EntryDistance is a user defined input integer with a default value of 6. What I'm trying to accomplish is to have at least 6 bars between consecutive long entries.

Any help would be appreciated. I've copied my code below.

Code

        protected override void Initialize()
        {
            SetStopLoss("LongEntry", CalculationMode.Ticks, 15, false);

            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Condition set 1
            if (EMA(MA1Shortperiod)[0] > EMA(MA1Longperiod)[0]
                && RSI(RSIperiod, 3).Avg[0] > RSIbuylevel
                && ToTime(Time[0]) > ToTime(9, 0, 0)
                && ToTime(Time[0]) < ToTime(13, 59, 0)
                && Position.MarketPosition != MarketPosition.Short
                && BarsSinceEntry() >= EntryDistance)
            {
                EnterLongLimit(DefaultQuantity, Close[0], "LongEntry");
            }

        }

        #region Properties
        [Description("Short MA on smallest time frame")]
        [GridCategory("Parameters")]
        public int MA1Shortperiod
        {
            get { return mA1Shortperiod; }
            set { mA1Shortperiod = Math.Max(1, value); }
        }

        [Description("Long MA on smallest time frame")]
        [GridCategory("Parameters")]
        public int MA1Longperiod
        {
            get { return mA1Longperiod; }
            set { mA1Longperiod = Math.Max(1, value); }
        }

        [Description("RSI on smallest time frame")]
        [GridCategory("Parameters")]
        public int RSIperiod
        {
            get { return rSIperiod; }
            set { rSIperiod = Math.Max(1, value); }
        }

        [Description("ATR on largest time frame")]
        [GridCategory("Parameters")]
        public int ATRperiod
        {
            get { return aTRperiod; }
            set { aTRperiod = Math.Max(1, value); }
        }

        [Description("RSI buy level")]
        [GridCategory("Parameters")]
        public int RSIbuylevel
        {
            get { return rSIbuylevel; }
            set { rSIbuylevel = Math.Max(1, value); }
        }

        [Description("RSI sell level")]
        [GridCategory("Parameters")]
        public int RSIselllevel
        {
            get { return rSIselllevel; }
            set { rSIselllevel = Math.Max(1, value); }
        }

        [Description("Distance between entries, in bars")]
        [GridCategory("Parameters")]
        public int EntryDistance
        {
            get { return entryDistance; }
            set { entryDistance = Math.Max(1, value); }
        }
        #endregion
    }

October 11th, 2014, 05:47 PM

Hi NT,

Thanks for pointing that out. I missed that.

How would I work around that? Is it possible to set BarsSinceEntry() with an initial starting value? My idea is to set it equal to EntryDistance, right before Condition Set 1.

NinjaTrader · October 11th, 2014, 06:02 PM

PhillyD

Hi NT,

Thanks for pointing that out. I missed that.

How would I work around that? Is it possible to set BarsSinceEntry() with an initial starting value? My idea is to set it equal to EntryDistance, right before Condition Set 1.

You cannot set that. I have a team of NinjaScript experts who can help point you in the right direction but they don't respond here. Please post in our support forum to enlist their help.

October 21st, 2014, 11:12 AM

PhillyD

What I'm trying to accomplish is to have at least 6 bars between consecutive long entries.

I suspect the correct function you are looking for is BarsSinceExit() and NOT BarsSinceEntry().

From the documentation: "Returns the number of bars that have elapsed since the last specified exit." With this small code example:

Code

// Only enter if at least 10 bars has passed since our last exit or if we have never traded yet
if ((BarsSinceExit() > 10 || BarsSinceExit() == -1) && CrossAbove(SMA(10), SMA(20), 1))
     EnterLong();

Brian

October 27th, 2014, 11:12 AM

zr6bcm

I suspect the correct function you are looking for is BarsSinceExit() and NOT BarsSinceEntry().

From the documentation: "Returns the number of bars that have elapsed since the last specified exit." With this small code example:

Code

// Only enter if at least 10 bars has passed since our last exit or if we have never traded yet
if ((BarsSinceExit() > 10 || BarsSinceExit() == -1) && CrossAbove(SMA(10), SMA(20), 1))
     EnterLong();

Brian

Hi Brian,

The guys on the NT support forum helped me with this one. The correct function is indeed BarsSinceEntry, and not BarsSinceExit.

The method we used was to use an "if" statement containing the BarsSinceEntry condition and combining it with a boolean variable which acts like a toggle switch, allowing the first trade of the day to be taken, and then subsequent trades are distanced correctly from the most recent trade.

Simple example in pseudocode for the first trade of the session:

Code

bool InitialTradeEntry = false;

if (InitialTradeEntry = false && [insert any other conditions])
       EnterLong; //first trade
       InitialTradeEntry == true; //the boolean is now flipped to true

And for subsequent trades:

Code

if (BarsSinceEntry >= 6 && InitialTradeEntry = true && [insert any other conditions])
       EnterLong2; //next trade

Hope this helps anyone looking for the answer to a similar issue in the future.

Adding BarsSinceEntry causes a problem on backtest

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Adding BarsSinceEntry causes a problem on backtest