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I code a second PeriodType of Range 1, and do all order management on that BarsArray, regardless of the size of the signal bar/period.
So it is tick-by-tick for my purpose, my own stuff doesn't use anything that would require being updated if price doesn't actually move a tick. And it's much more efficient to use Range 1 than Tick 1.
And I can make the same for 400 trades...unfortunately too often back testing does not really help ....
What I do is to use a market replay of the exactly same day ( say the 18 th november) over and over and over
and each time I build a new strategy I test it on real historical time data to see what is good/improvable ...one can notice many many things .....and using the same day makes things easier ... but guys.... to many electronic player out there , and they can buy and sell in 800 micro seconds ( which I am sure it is faster than you)
That is why trend following becomes harder and harder ( at least on a small time frame) .....
I am sure everybody who trades noticed these V-shapes over and over .....
I'm not sure what you're trying to say here. I mean I got the part about testing with market replay. But your strategy has so many parameters that finding a combination to give great performance would not be difficult.
How does this walk forward? How does it work in real time trading?
Hey Mike I just wanted to say your idea is brilliant. A friend asked me to code up a simple strategy to test out an idea and so I used your idea. Previously I'd enter with stops but with ninja you can't bracket so that meant trading only one side. With your approach I don't use stops, I just enter at market when my price is hit. This way I can bracket, reverse, do whatever I want.
Hey this strategy , is probably not good, I was simply illustrating that because of NT and backtesting flaws , 98 % of trades profitable in back test is quite feasible....
Briefly, from memory (am on laptop, no ninja here):
Basically two things here --- the EnterLong statement is forcing the order to be placed on BarsArray 1, which is 1 tick of movement (Range 1).
Second, put your order management code (ie: trailing stop, whatever) inside the BarsInProgress == 1 section so it is called every 1 tick of movement as well.
Anything more complex than that, I am sorry to say I cannot show you code right now.