Help with Range Based Strategy

[Insearch]

Hi,

I'm new to programming and was wondering whether someone can point me in the right direction with the following strategy:

Say I define lunch hour as 12pm-1pm. I want the strategy to go long if right after 1pm the price breaks the high of that "lunch hour" and short if the price breaks the low, by 2 ticks. I want to get out at a 1pt profit or out at a 3pt stop loss. What if I want to trade 2 contracts and set the stop loss to B/E on the second contract after the target on the 1st contract has been reached and trail that second contract stop to half the move from my entry?

I want the strategy to last until the end of day, but only execute 1 side each. That is, if it goes long, then no more longs, and if it goes short, no more shorts. The strategy can execute 1 long and 1 short if the above conditions are met.

[NinjaTrader_Josh]

Insearch,

This is all possible through programming. Please see this reference sample for a breakout strategy: http://www.ninjatrader-support2.com/...ead.php?t=3223

[Insearch]

Originally Posted by NinjaTrader_Josh

Insearch,

This is all possible through programming. Please see this reference sample for a breakout strategy: http://www.ninjatrader-support2.com/...ead.php?t=3223

Thx. This seems to roll the range . . . What should I do if I want to "lock" the lunch hour range . . . .

Also, how do I define the start and end times?

[NinjaTrader_Josh]

if (ToTime(Time[0]) >= 120000 && ToTime(Time[0]) < 130000)

[Insearch]

Would this logic return the high and low price for the time range specified?

protectedoverridevoid OnBarUpdate()
{

// Defining the high and low range
if (ToTime(Time[0]) >= 120000 && ToTime(Time[0]) < 130000)
{
double highestHigh = MAX(High, ToTime (Time [120000]) – ToTime (Time [130000]));

double lowestLow = MIN(Low, ToTime (Time [120000]) – ToTime (Time [130000]));

}

[NinjaTrader_Josh]

Insearch,

The second parameter for MAX() is the Period as in how many bars you want to check. Period is not related to time. It is bar driven.

Time[120000] is the time of bars ago # 120000. It is not the time at 12:00:00.

If you want the highest high and lowest low of a certain time please see this reference sample: http://www.ninjatrader-support2.com/...ead.php?t=8600

[Insearch]

Thanks. That is for an indicator, so wanted to to see if that can be somehow used in a strategy. In that code, there's this piece:

// Calculate the number of bars ago for the start and end bars of the specified time range
int startBarsAgo = GetBar(startDateTime);
int endBarsAgo = GetBar(endDateTime);

Is there any way to put a time stamp in the "startDateTime" and "endDateTime". That is, can I use ToTime in there to specify the time?

[NinjaTrader_Josh]

Insearch,

The concepts from the indicator can be carried over to a strategy.

ToTime() does not work in letting you specify a time. All it does is takes a DateTime object and converts it to an integer that represents time in HHMMSS format.

GetBar() gets the bar that a specific time happened on. In the example startDateTime and endDateTime are DateTime objects. Running ToTime() on them will just make them into integers representing the time.

[Insearch]

ok!

What is the syntax for getting the high of the first bar in the time range?

Would the code below do this do it . . . I doubt, as definining highestHigh as High[0] would make high of every current bar the "active high" . . . . .

// Defining the high time range
if (ToTime(Time[0]) >= 120000 && ToTime(Time[0]) <= 130000)
highestHigh = High[0];

[NinjaTrader_Josh]

You need to have an additional check inside there to confirm that the recent high being processed is actually greater than the stored high.

if (ToTime(Time[0])..........)
{
     if (High[0] > highestHigh)
          highestHigh = High[0];
}

[Insearch]

If that is my first line, then there really is no stored highestHigh, no? I.e. the strategy code would actually never store a "highestHigh"?

here's the code as you suggested, but don't we need to store highestHigh first?

protectedoverridevoid OnBarUpdate()
{

{// Defining the high in the specified time range
if (ToTime(Time[0]) >= 120000 && ToTime(Time[0]) <= 130000)
{
if (High[0] > highestHigh)
highestHigh = High[0];
}

[NinjaTrader_Josh]

When you declare highestHigh as a double you can set it to zero. The first time it runs through and checks this High[0] will be > 0 and then it will take on the high value.

private double highestHigh = 0;

[Insearch]

understood. That declaration is made in teh initialize section or onbarupdate section?

[NinjaTrader_Josh]

In the Variables region of your code above Initialize().

[Insearch]

Inputing it like below, gives me an error message:

///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
privatedouble highestHigh = 0
protectedoverridevoid Initialize()