Working with "Trade Class" on a day-by-day basis

[AnotherTrader]

Hi

In an intraday strategy, I would like to include a condition that will stop the placing of further trades if I’ve already had 2 consecutive losses that day. Also, I would like to code this in a manner that will allow me to backtest the effect of this condition.

My code(below) is based on the example in NT 6 documentation covering “Trade Class”.

However, in order to be able to backtest the condition, I have changed ” .RealtimeTrades. ” everywhere to “ .AllTrades. ”.

The difficulty this gives me is that, instead of stopping the placing of new trades in a given day after a second consecutive loss in that day, the condition once triggered also prevents ANY future trades being taken on succeeding days, too.

How can I change the coding to get a condition that re-evaluates each day, and - if triggered - will only prevent trading on that day (rather than on all future days, too)?

// Section to keep track of whether there have been 2 successive losses in a row, and to stop trading if there have
if (Performance.AllTrades.Count > 1) 
{ 
// Get the last completed trades 
Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - 1]; 
Trade secondlastTrade = Performance.AllTrades[Performance.AllTrades.Count - 2]; 
 
// Calculate the PnL for the last two completed trades 
double lastProfit = lastTrade.ProfitCurrency * lastTrade.Quantity;
double secondlastProfit = secondlastTrade.ProfitCurrency * secondlastTrade.Quantity;
 
if(lastProfit < 0 && secondlastProfit < 0)
{
keepTrading = 0;
}
}

Many thanks in advance for your help.

[AnotherTrader]

OK, I think I managed to get there ...
I introduced a new integer “tradesBeforeToday”, and before each day’s session open I set its value as follows:
tradesBeforeToday = Performance.AllTrades.Count;

Then I modified my previous code to the following ...

Section to keep track of whether there have been 2 successive losses in a row, and to stop trading if there have
if (Performance.AllTrades.Count > tradesBeforeToday + 1
{ 
// Get the last completed trades 
Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - 1]; 
Trade secondlastTrade = Performance.AllTrades[Performance.AllTrades.Count - 2]; 
 
// Calculate the PnL for the last two completed trades 
double lastProfit = lastTrade.ProfitCurrency * lastTrade.Quantity;
double secondlastProfit = secondlastTrade.ProfitCurrency * secondlastTrade.Quantity;
 
if(lastProfit < 0 && secondlastProfit < 0)
{
keepTrading = 0;
}
}

I‘m sure a coding “purist“ (rather than a “Heath Robinson” coder, like myself) will point out that I’ve violated some principle of coding elegance ... but it seems to work, so I’m happy ...

[NinjaTrader_Josh]

Glad you got it resolved. That would be one acceptable way to proceed with in your code.