Help wanted! Long/short strategy with cancel order and trail stop

October 19th, 2010, 07:08 AM

Hey Folks am looking for some help with the attached strategy. It does everything I want it to do but only once! It will go long/short after entry signal with a stop loss and then if it is profit will trail the stop loss at the open [1] as coded. However, once this order is stopped out it does not take any other orders.

I posted on the NT forum here Long/short strategy with cancel order and trail stop - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum and was told I need to make sure "IOrder object is reset to null" but am not sure where to do this as I copied this strat from the NT sample strategies.

Basically, I'm looking for a strat to do the following:
1. Enter long if Close[1] > Open[1]
or
Enter short if Close[1] < Open[1]

2. Set initial stop loss to n ticks.

3. Cancel pending order if not filled after n bars.

4. If n ticks in profit then set stop loss to low/high of Open[1].

If anyone could point me in the right direction I would REALLY appreciate it!

Thanks.

October 20th, 2010, 07:13 PM

I am not a programmer, and I didnt integrate into your code, so I did add some code snippets that might help you along the road (into your own shell) .. dont try to compile, I didnt use your namespaces or ordersignal names. I hope it helps.

TJ

traderwerks · October 20th, 2010, 07:44 PM

mrticks

If anyone could point me in the right direction I would REALLY appreciate it!

Thanks.

You have a logic error so it is not going to run the way you expect it to work.

And use Round2TickSize instead of the (7 * (TickSize / 2)) thing you are doing.

October 21st, 2010, 06:38 AM

Trader.Jon

I am not a programmer, and I didnt integrate into your code, so I did add some code snippets that might help you along the road (into your own shell) .. dont try to compile, I didnt use your namespaces or ordersignal names. I hope it helps.

TJ

Hi TJ thanks for that!

I've cobbled together another strat from your sample code, will test it now and see how it behaves. I appreciate you taking a look at this.

Thanks!

October 21st, 2010, 06:40 AM

traderwerks

You have a logic error so it is not going to run the way you expect it to work.

And use Round2TickSize instead of the (7 * (TickSize / 2)) thing you are doing.

I took out that piece of code in my latest version as I only had that in there from copying a sample snippet.

I read your blog by the way and like the sample strategies you post on the website for reference!

October 26th, 2010, 01:38 PM

mrticks

Hi TJ thanks for that!

I've cobbled together another strat from your sample code, will test it now and see how it behaves. I appreciate you taking a look at this.

Thanks!

Have you tried out your new code? I will have a quick look later if you still need that comment ... unfortunately I dont use breakeven in my code ( anytime recently ) and I may have some challenge to follow correctly.

Jon

October 26th, 2010, 02:09 PM

Trader.Jon

Have you tried out your new code? I will have a quick look later if you still need that comment ... unfortunately I dont use breakeven in my code ( anytime recently ) and I may have some challenge to follow correctly.

Jon

Hi Jon,

I tested it but alas it did not perform as I had hoped. It will enter long or short and set a stop loss and then move to breakeven but does not modify the trail stop to follow at O/H/L/C of n bars ago or

SetStopLoss( "Long", CalculationMode.Price, Open[3] + 2 * TickSize, false);

as they say in C#.

I've attached the strat if you'd like to give it a whirl and see if you can do anything with it!

Code

/* If we have a long position and the current price is breakeven + x ticks in profit, raise the stop-loss order to Open[3] + 2 * TickSize.
            
                */
                if (Position.MarketPosition == MarketPosition.Long && Close[0] >= Position.AvgPrice + 8 * TickSize)
            {
                // Checks to see if Close[0] is b/e + x ticks
                if (GetCurrentAsk() > previousPrice + trailProfitTrigger * TickSize)
                {
                    // Modifies stop-loss to Open[3] + 2 * TickSize
                    SetStopLoss( "Long", CalculationMode.Price, Open[3] + 2 * TickSize, false);
                }
            }
            
            /* If we have a short position and the current price is x ticks in profit, raise the stop-loss order to breakeven.
            
                */
            if (Position.MarketPosition == MarketPosition.Short && Close[0] <= Position.AvgPrice - 4 * TickSize)
            {
                // Checks to see if our Stop Order has been submitted already
                if (stopOrder != null && stopOrder.StopPrice > Position.AvgPrice)
                {
                    // Modifies stop-loss to breakeven
                    stopOrder = ExitShortStop(0, true, stopOrder.Quantity, Position.AvgPrice, "ShortStop", "Short1SB");
                }
            }

October 26th, 2010, 03:27 PM

mrticks

Hi Jon,

I tested it but alas it did not perform as I had hoped. It will enter long or short and set a stop loss and then move to breakeven but does not modify the trail stop to follow at O/H/L/C of n bars ago or

SetStopLoss( "Long", CalculationMode.Price, Open[3] + 2 * TickSize, false);

as they say in C#.

I've attached the strat if you'd like to give it a whirl and see if you can do anything with it!

Code

/* If we have a long position and the current price is breakeven + x ticks in profit, raise the stop-loss order to Open[3] + 2 * TickSize.
 
                */
                if (Position.MarketPosition == MarketPosition.Long && Close[0] >= Position.AvgPrice + 8 * TickSize)
            {
                // Checks to see if Close[0] is b/e + x ticks
                if (GetCurrentAsk() > previousPrice + trailProfitTrigger * TickSize)
                {
                    // Modifies stop-loss to Open[3] + 2 * TickSize
                    SetStopLoss( "Long", CalculationMode.Price, Open[3] + 2 * TickSize, false);
                }
            }
 
            /* If we have a short position and the current price is x ticks in profit, raise the stop-loss order to breakeven.
 
                */
            if (Position.MarketPosition == MarketPosition.Short && Close[0] <= Position.AvgPrice - 4 * TickSize)
            {
                // Checks to see if our Stop Order has been submitted already
                if (stopOrder != null && stopOrder.StopPrice > Position.AvgPrice)
                {
                    // Modifies stop-loss to breakeven
                    stopOrder = ExitShortStop(0, true, stopOrder.Quantity, Position.AvgPrice, "ShortStop", "Short1SB");
                }
            }

MrTicks, it just occured to me that you aren't an elite member. The code I'm going to share will be limited to Elite members only.

October 26th, 2010, 04:15 PM

Must be a member of the elite circle to download and use.

Download: Generic Strategy for nt6.5

I have written many strategies and finally came up with a decent, imo, engine for testing rulesets. This engine incorporates 3 Session Start and End times for evaluating different timeperiods, 4 different targets and a runner (each can be selected separately …

MWinfrey

Download: Generic Strategy version 2 for nt7

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Help wanted! Long/short strategy with cancel order and trail stop

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Help wanted! Long/short strategy with cancel order and trail stop