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Grade filter B minimum, MinTradeGrade property, session reset fix
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This commit is contained in:
Mo Hussain
2026-03-22 18:56:06 -04:00
parent a2af272d73
commit c094e65b10
5 changed files with 45 additions and 17 deletions
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7
src/NT8.Adapters/Strategies/NT8StrategyBase.cs
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@@ -96,6 +96,11 @@ namespace NinjaTrader.NinjaScript.Strategies
[Display(Name = "Verbose Logging", GroupName = "Debug", Order = 1)]
public bool EnableVerboseLogging { get; set; }
[NinjaScriptProperty]
[Display(Name = "Min Trade Grade (0=F,1=D,2=C,3=B,4=A,5=A+)", GroupName = "Confluence", Order = 1)]
[Range(0, 6)]
public int MinTradeGrade { get; set; }
[NinjaScriptProperty]
[Display(Name = "Enable File Logging", GroupName = "Diagnostics", Order = 10)]
public bool EnableFileLogging { get; set; }
@@ -190,6 +195,7 @@ namespace NinjaTrader.NinjaScript.Strategies
MaxContracts = 10;
EnableKillSwitch = false;
EnableVerboseLogging = false;
MinTradeGrade = 4;
EnableFileLogging = true;
LogDirectory = string.Empty;
EnableLongTrades = true;
@@ -941,6 +947,7 @@ namespace NinjaTrader.NinjaScript.Strategies
lines.Add("--- Controls ---");
lines.Add(string.Format("EnableKillSwitch : {0}", EnableKillSwitch));
lines.Add(string.Format("EnableVerboseLogging: {0}", EnableVerboseLogging));
lines.Add(string.Format("MinTradeGrade : {0}", MinTradeGrade));
lines.Add(string.Format("EnableFileLogging : {0}", EnableFileLogging));
lines.Add(string.Format("LogDirectory : {0}", string.IsNullOrEmpty(LogDirectory) ? "(default)" : LogDirectory));
lines.Add("--- Portfolio ---");

8
src/NT8.Adapters/Strategies/SimpleORBNT8.cs
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@@ -118,6 +118,7 @@ namespace NinjaTrader.NinjaScript.Strategies
_strategyConfig.Parameters["StopTicks"] = StopTicks;
_strategyConfig.Parameters["TargetTicks"] = TargetTicks;
_strategyConfig.Parameters["OpeningRangeMinutes"] = OpeningRangeMinutes;
_strategyConfig.Parameters["MinTradeGrade"] = MinTradeGrade;
if (Instrument != null && Instrument.MasterInstrument != null)
{
@@ -150,14 +151,15 @@ namespace NinjaTrader.NinjaScript.Strategies
lines.Insert(endIdx + 2, string.Format("StdDevMultiplier : {0:F2}", StdDevMultiplier));
lines.Insert(endIdx + 3, string.Format("StopTicks : {0}", StopTicks));
lines.Insert(endIdx + 4, string.Format("TargetTicks : {0}", TargetTicks));
lines.Insert(endIdx + 5, string.Format("MinTradeGrade : {0}", MinTradeGrade));
double tickDollarValue = 0.25 * 50.0;
if (Instrument != null && Instrument.MasterInstrument != null)
tickDollarValue = Instrument.MasterInstrument.TickSize * Instrument.MasterInstrument.PointValue;
lines.Insert(endIdx + 5, string.Format("StopDollars : {0:C}", StopTicks * tickDollarValue));
lines.Insert(endIdx + 6, string.Format("TargetDollars : {0:C}", TargetTicks * tickDollarValue));
lines.Insert(endIdx + 7, string.Format("RR_Ratio : {0:F2}:1", (double)TargetTicks / StopTicks));
lines.Insert(endIdx + 6, string.Format("StopDollars : {0:C}", StopTicks * tickDollarValue));
lines.Insert(endIdx + 7, string.Format("TargetDollars : {0:C}", TargetTicks * tickDollarValue));
lines.Insert(endIdx + 8, string.Format("RR_Ratio : {0:F2}:1", (double)TargetTicks / StopTicks));
return lines;
}

4
src/NT8.Core/Intelligence/GradeFilter.cs
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@@ -109,8 +109,8 @@ namespace NT8.Core.Intelligence
private void InitializeDefaults()
{
_minimumGradeByMode.Add(RiskMode.ECP, TradeGrade.B);
_minimumGradeByMode.Add(RiskMode.PCP, TradeGrade.C);
_minimumGradeByMode.Add(RiskMode.ECP, TradeGrade.C);
_minimumGradeByMode.Add(RiskMode.PCP, TradeGrade.B);
_minimumGradeByMode.Add(RiskMode.DCP, TradeGrade.A);
_minimumGradeByMode.Add(RiskMode.HR, TradeGrade.APlus);

39
src/NT8.Strategies/Examples/SimpleORBStrategy.cs
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@@ -153,9 +153,13 @@ namespace NT8.Strategies.Examples
UpdateRiskMode(context);
UpdateConfluenceInputs(bar, context);
if (_currentSessionDate != context.CurrentTime.Date)
DateTime thisSessionStart = context.Session != null
? context.Session.SessionStart
: context.CurrentTime.Date.AddHours(9.5);
if (thisSessionStart != _openingRangeStart || _currentSessionDate == DateTime.MinValue)
{
ResetSession(context.Session != null ? context.Session.SessionStart : context.CurrentTime.Date);
ResetSession(thisSessionStart);
}
// Only trade during RTH
@@ -211,15 +215,23 @@ namespace NT8.Strategies.Examples
var score = _scorer.CalculateScore(candidate, context, bar, _factorCalculators);
var mode = _riskModeManager.GetCurrentMode();
if (!_gradeFilter.ShouldAcceptTrade(score.Grade, mode))
int minGradeValue = 4;
if (_config != null && _config.Parameters != null && _config.Parameters.ContainsKey("MinTradeGrade"))
{
var reason = _gradeFilter.GetRejectionReason(score.Grade, mode);
_logger.LogInformation(
"SimpleORBStrategy rejected intent for {0}: Grade={1}, Mode={2}, Reason={3}",
candidate.Symbol,
score.Grade,
mode,
reason);
var mgv = _config.Parameters["MinTradeGrade"];
if (mgv is int)
minGradeValue = (int)mgv;
}
TradeGrade minGrade = (TradeGrade)minGradeValue;
if ((int)score.Grade < (int)minGrade)
{
if (_logger != null)
_logger.LogInformation(
"SimpleORBStrategy filtered by grade: Score={0:F3} Grade={1} MinGrade={2}",
score.WeightedScore,
score.Grade,
minGrade);
return null;
}
@@ -343,6 +355,13 @@ namespace NT8.Strategies.Examples
_openingRangeLow = Double.MaxValue;
_openingRangeReady = false;
_tradeTaken = false;
if (_logger != null)
_logger.LogInformation(
"Session reset: Date={0:yyyy-MM-dd} ORB window={1:HH:mm}-{2:HH:mm}",
_currentSessionDate,
_openingRangeStart,
_openingRangeEnd);
}
private void UpdateOpeningRange(BarData bar)

4
tests/NT8.Core.Tests/Sizing/GradeBasedSizerTests.cs
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@@ -149,9 +149,9 @@ namespace NT8.Core.Tests.Sizing
var intent = CreateIntent();
var context = CreateContext();
var confluence = CreateScore(TradeGrade.C, 0.61);
var confluence = CreateScore(TradeGrade.B, 0.71);
var config = new SizingConfig(SizingMethod.FixedDollarRisk, 2, 10, 500.0, new Dictionary<string, object>());
var modeConfig = CreateModeConfig(RiskMode.PCP, 1.0, TradeGrade.C);
var modeConfig = CreateModeConfig(RiskMode.PCP, 1.0, TradeGrade.B);
var result = sizer.CalculateGradeBasedSize(
intent,