I've compiled my Custom Strategy, and I added all required references, now when I create a New Strategy from it, it adds in fine, but in the NT log it states that there was an error in the OnStart event. "object needs to be set to an instance of an object".

You are trying to do an operation on an Object that is not yet initialized (instantiated).

Difficult to help without a piece of the code.

The OnStartUp () is called right before the script is started (only once)
You may want to initialize your object to an instance in Initialize().