multi-time frame strategy problem

[mfmsonic]

Hi all,

I am just beginning to construct a multi time frame strategy and am having some trouble starting off.

I am just looking to set a series of doubles for certain time periods but no long position is opened.

As is usual, it is probably a simple error, but would appreciate any advice as to how to obtain the required trades so they can be utilised for the strategy.

The required code is written below.

PHP Code:

// 
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//

#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.Strategy;
#endregion


// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// This is a sample multi-time frame strategy.
    /// </summary>
    [Description("This is a sample multi-time frame strategy.")]
    public class SampleMultiTimeFrame_day : Strategy
    {
        #region Variables
        // Wizard generated variables
        // User defined variables (add any user defined variables below)
        #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()
        {
            // Add a 5 minute Bars object to the strategy
            Add(PeriodType.Day, 1);
            
            // Add a 15 minute Bars object to the strategy
            Add(PeriodType.Week, 1);
            
            // Note: Bars are added to the BarsArray and can be accessed via an index value
            // E.G. BarsArray[1] ---> Accesses the 5 minute Bars object added above
            
            // Add simple moving averages to the chart for display
            // This only displays the SMA's for the primary Bars object on the chart
            Add(SMA(5));
            Add(SMA(50));
            
            CalculateOnBarClose = true;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // OnBarUpdate() will be called on incoming tick events on all Bars objects added to the strategy
            // We only want to process events on our primary Bars object (index = 0) which is set when adding
            // the strategy to a chart
            if (BarsInProgress != 0)
                return;
            
            // Checks  if the 5 period SMA is above the 50 period SMA on both the 5 and 15 minute time frames
            if (SMA(BarsArray[1], 5)[0] > SMA(BarsArray[1], 50)[0] && SMA(BarsArray[2], 5)[0] > SMA(BarsArray[2], 50)[0])
            {
                // Checks for a cross above condition of the 5 and 50 period SMA on the primary Bars object and enters long
                if (CrossAbove(SMA(5), SMA(50), 1))
                    EnterLong(1000, "SMA");
            }
            
            // Checks for a cross below condition of the 5 and 15 period SMA on the 15 minute time frame and exits long
            if (CrossBelow(SMA(BarsArray[2], 5), SMA(BarsArray[2], 50), 1))
                ExitLong(1000);
        }

        #region Properties
        #endregion
    }
} 


[NinjaTrader_Josh]

mfmsonic,

Please ensure you have enough bars loaded. You need at least 20 on each bar series. 20 on weekly series would require a lot of days back to load.

[mfmsonic]

NinjaTrader_Josh,
Thank you for your reply. The bars are long enough from 1962 to 2009. Still no trades. Here are the snapshot from my backtesting. Please check it.

[NinjaTrader_Josh]

You will then need to debug your code with Print() statements and TraceOrders = true.

http://www.ninjatrader-support2.com/...ead.php?t=3418
http://www.ninjatrader-support2.com/...ead.php?t=3627

[aviat72]

It might be an issue with update sequence. Try using the value 2 for the lookBackPeriod in the CrossAbove, Below tests.