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Help with concurrent strategies

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    Help with concurrent strategies

    I am developing a system that has several strategies running concurrently against one futures contract at a time. The strategies are specific for finding patterns in the price, some may ONLY find short patterns and others may find ONLY long patterns. One strategy does not do both; just one at a time. Right now I am testing on ES contract. The strategies find forming patterns in the price and open a position accordingly (long or short). The idea is that if a strategy is in a long/short position I want the strategy to handle the position up to the moment where it is programmed to close it. In other words, the specific strategy opens and closes the position when it finds it prudent to do so. The problem that I am having is when I have a position open, say long, and a short pattern starts forming and my short strategy opens a short position, then the long position is closed. I don't want that. I want the long strategy to maintain the position until the moment it considers it should close it and the short strategies to do the same. Attached, there is an example of what is happening. Notice on TradesOnChart file that there is a long position open at 9:15 that was close prematurely at 10:00 am by the short position. Same thing happened at 1:35 pm with the short position, it was closed prematurely at 1:45 by the long one. The file TradesOnScreen shows how it actually should have behaved.
    I was wondering if having two accounts, one for Short positions and one for Long positions exclusively would solve the problem. If so, how do I create another sim account for testing?
    Attached Files

    #2
    lgarcia3, I'm not sure I follow your line of thought - from the chart you posted it looks 'connected' correctly. Are you synching the overall strategy postion (net sum position of all strategies on the instrument applied) up to the account position correctly at startup?

    http://www.ninjatrader-support.com/H...tPosition.html

    You can create multiple sim accounts in the paid version here - http://www.ninjatrader-support.com/H...nAccounts.html
    BertrandNinjaTrader Customer Service

    Comment


      #3
      Bertrand, yes, I think it is out of synch. Basically, I am running multiple strategies against one market simultaneously as explain in this link: http://www.ninjatrader-support.com/H...ccountPosition
      Some of them may go long, and others may go short and they are not in synch with the account position. So, basically my question is how to synch them so they hold the position in the account that the strategy has. I thought about a couple of accounts; but if there is a way to do it without having to have two accounts would be much easier for production purposes.
      Thanks!

      Comment


        #4
        As you start up your strategy you need to manually sync whichever account your strategy is trading on to the strategy position. This can be done with manual trades.
        Josh P.NinjaTrader Customer Service

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          #5
          So, there is no way to programmatically synch the strategies with the account?

          Comment


            #6
            Originally posted by lgarcia3 View Post
            So, there is no way to programmatically synch the strategies with the account?
            Did you try to use more than 1 chart, Ex 1 Chart (long strategy), 1 Chart (short strategy)

            Comment


              #7
              No, I use all of them in one chart. Does that make a difference? .. I guess it does if you bring it up
              Last edited by lgarcia3; 09-30-2009, 07:35 PM.

              Comment


                #8
                Originally posted by lgarcia3 View Post
                So, there is no way to programmatically synch the strategies with the account?
                NinjaTrader 7 will provide such an option upon starting up the strategy - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html
                BertrandNinjaTrader Customer Service

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                  #9
                  Thanks, so what they are saying before about having different charts will not make any difference?

                  Comment


                    #10
                    It would be easier to separate this way, but still each strategy runs in its own instance, so you want to ensure the overall strategy position is in sync with the account you're executing to.
                    BertrandNinjaTrader Customer Service

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                      #11
                      yeah, figured that. So, it looks the best way around would be two accounts if I don't want to manually synch the strategy with the account?

                      Comment


                        #12
                        You could do that, but it's not really needed and it would not 'replace' the need to ensure proper synching. What you could look into is using the 'Wait Unitl Flat' mode as 'On Starting A Realtime strategy' setting in the Strategies tab - http://www.ninjatrader-support.com/H...tegiesTab.html
                        BertrandNinjaTrader Customer Service

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                          #13
                          well, if I wait until flat, then I think it would defeat the purpose of me searching for specific paterns in the price. There may be a big trend downwards going on, I capture that and enter a short position. In between the big downward trend there may be some small tendencies upwards that my system may capture as well and if one is activated then it will not enter the long position I want for a brief period of time. And as it is, it just kicks the short position out. No doubt there is a need for better synch; but apparently it is not there just yet.

                          Comment


                            #14
                            I'm not sure we're on the same page - the 'Wait Until Flat' setting just means, if you start you're strategy live and would be in a trade from historical data - the strategy will wait until this historical trade is exited and then proceed to take the first realtime generated signal.
                            BertrandNinjaTrader Customer Service

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                              #15
                              oh! Ok, so, that means that the strategy will control when to enter and exit the trade it is working on, correct? If so, then that is what I want.

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