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automated noise / timeframe selector
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automated noise / timeframe selector
Has anyone experimented with matching a strategies data series to the lowest noise time frame? For example I have a strategy that works on NQ with a 89V chart but only works well on ES with a 1000v chart due to noise. Any thoughts on automatically choosing the best time-frame? Perhaps there is a way to run a Genetic Algorithm in the background to select the best time frame for the strategy?Tags: None
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Hello brucelevy,
To scan instruments looking for the lowest noise, this would require that each instrument be added to the script. Then you could perform calculations on each one and determine a list instruments that fit the criteria and trade these.
You could also write an indicator that does these calculations and if the instrument meets the criteria add the symbol to a text file. This could be run in the MarketAnalyzer over a large list of items which will add themselves to the file when conditions are met. When the strategy starts it will read the text file and only add the instruments to the script that are in the text file. This would help with performance so a great many instruments do not have to be added to the same script.
You could also use a static class instead of writing to a file, however, these are not supported to use and should be avoided wherever possible.
(You could also just use the Market Analyzer to visually see which instruments meet the criteria and manually start a strategy to those instruments)Last edited by NinjaTrader_ChelseaB; 09-22-2015, 09:45 AM.Chelsea B.NinjaTrader Customer Service
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