SetStopLoss & SetProfitTarget problem

pauljff · 10-09-2007, 11:03 AM

I'm encountering a problem with these two functions. I'm not sure if it's a problem with the strategy code or the strategy analyzer. I'll create a simple strategy that has SetStopLoss/SetProfitTarget in Initialize(). Create orders with EnterLong() or EnterShort(). Backtest it in the Strategy Analyzer.

Everything will work fine for so many trades. Then it will ignore the StopLoss/ProfitTarget and keep a trade open for the rest of the backtest.

I've checked over the order log, everything looks ok. The Stops and Limits are being issued. Then I see "Profit Target, Stop Loss, Buy, Exit on Close." The exit on close price is far above the stop/profit level, like they were not there.

I wrote many simple strategies and all had this problem. I downloaded the sample code from http://www.ninjatrader-support.com/v...ead.php?t=3222

and it also failed in the exact same way.

Has anyone encountered this problem?

NinjaTrader_Ray · 10-09-2007, 11:46 AM

Someone will follow up with you later today on this.

NinjaTrader_Josh · 10-09-2007, 02:04 PM

That is very interesting pauljff. Does there seem to be a set number of trades before it starts messing up or does it seem like its random?

If you don't mind could you attach the log files and point me at the point of interest?

pauljff · 10-09-2007, 04:42 PM

After fooling around with it for hours I think found the problem... in the Strategy analyzer "Time in Force" was set to "Day." I set it to GTC and my strategy worked fine. I'm guessing if the stop/profit orders weren't hit by the end of the trading day they expired, and then the position stayed open forever? (I am writing Strategies for Forex so end of day isn't a problem for me.)

Maybe add a warning to the manual (if there isn't already one) so no one else goes crazy fighting with this.

NinjaTrader_Josh · 10-09-2007, 04:42 PM

Glad to here you resolved this. Thanks for the suggestion.

10-09-2007, 11:03 AM	#1
pauljff Junior Member Join Date: Oct 2007 Posts: 6 Thanks: 0 Thanked 0 times in 0 posts	SetStopLoss & SetProfitTarget problem I'm encountering a problem with these two functions. I'm not sure if it's a problem with the strategy code or the strategy analyzer. I'll create a simple strategy that has SetStopLoss/SetProfitTarget in Initialize(). Create orders with EnterLong() or EnterShort(). Backtest it in the Strategy Analyzer. Everything will work fine for so many trades. Then it will ignore the StopLoss/ProfitTarget and keep a trade open for the rest of the backtest. I've checked over the order log, everything looks ok. The Stops and Limits are being issued. Then I see "Profit Target, Stop Loss, Buy, Exit on Close." The exit on close price is far above the stop/profit level, like they were not there. I wrote many simple strategies and all had this problem. I downloaded the sample code from http://www.ninjatrader-support.com/v...ead.php?t=3222 and it also failed in the exact same way. Has anyone encountered this problem? Last edited by pauljff; 10-09-2007 at 11:36 AM.
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10-09-2007, 11:46 AM	#2
NinjaTrader_Ray Administrator Join Date: Nov 2004 Location: Denver, CO, USA Posts: 11,164 Thanks: 6 Thanked 46 times in 32 posts	Someone will follow up with you later today on this. Ray NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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10-09-2007, 02:04 PM	#3
NinjaTrader_Josh NinjaTrader Product Manager Join Date: May 2007 Location: Denver, CO Posts: 17,458 Thanks: 1 Thanked 107 times in 70 posts	That is very interesting pauljff. Does there seem to be a set number of trades before it starts messing up or does it seem like its random? If you don't mind could you attach the log files and point me at the point of interest? Josh NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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10-09-2007, 04:42 PM	#4
pauljff Junior Member Join Date: Oct 2007 Posts: 6 Thanks: 0 Thanked 0 times in 0 posts	After fooling around with it for hours I think found the problem... in the Strategy analyzer "Time in Force" was set to "Day." I set it to GTC and my strategy worked fine. I'm guessing if the stop/profit orders weren't hit by the end of the trading day they expired, and then the position stayed open forever? (I am writing Strategies for Forex so end of day isn't a problem for me.) Maybe add a warning to the manual (if there isn't already one) so no one else goes crazy fighting with this.
	Facebook Twitter YouTube

10-09-2007, 04:42 PM	#5
NinjaTrader_Josh NinjaTrader Product Manager Join Date: May 2007 Location: Denver, CO Posts: 17,458 Thanks: 1 Thanked 107 times in 70 posts	Glad to here you resolved this. Thanks for the suggestion. Josh NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
	Facebook Twitter YouTube

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