• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Anybody has successful NT automated strategy

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    #16
    NinjaTrader Strategy Creation

    Originally posted by simple_goodoboy View Post
    I would like to learn how to properly develop, back test, prove the system will consistently win per my goals, analyze performance of my own trading ideas.
    I have trade discretionary for 3 years and I would like to systematic trade
    Automated Trading System Creation

    As someone doing discretionary trading, you would need to extrapolate your system into 3 Categories:
    1. A set of trading rules to include ,entry,exit rules.
    2. Execution - Order, market, stop, stoplimit. limit etc
    3. Trade Management

    A. The Trade Signal
    1.Trade Entry Rules - conditions for the trade
    2.Trade Filter Rules - time ,trend, range, other
    3.Trade Exit Rules - technical

    Visualization: Think of the Trade Entry as red dot on the chart for a short or green dot on the chart for a long, perhaps the filter as a black dot, the exit a grey dot to make it clear on a chart... + note any external system rules.

    Signal Execution
    Entry Order Type, Quantity and Price
    Position sizing etc

    Trade Management
    Bracket of StopLoss, Profit Targets
    Breakeven
    Stop Trail
    Time based exits - close before session end

    Fully Versus Semi automatic trading with trade management
    if your some of or all of your rules are based on experience or hard to quantify or include as code - you will need a system that allows you to interact in real-time and allow auto trading or manual placement... etc so you can use discretion/ semi auto trading with trade management etc

    So now you can think in those areas and create all the rules and then use them in a mechanical trading system. But no need to invent the wheel. use a Strategy development kit, so that all the common features requires for trading already exist. Dont pay a developer to re-invent the wheel and charge you 1000s for the privilege. All you need do is define the "Signal part" and the rest would be already developed - Just a a case of configuration.

    How to build your own professional NinjaTrader Strategy in Unmanaged Mode for Professional reliability and execution – purpose built for live trading Super Super Charge your Trading Strategies in just a few lines of code

    You can in fact use the NinjaTader Strategy Wizard and create the basis Trade Entry Rule - the port them to a professional trading strategy development kit such as the the MTDS7
    Which is always free for demo/sim/ development/ backtesting.
    Using the MTDS7 would save you 2 yeras of development and 200Kusd in costs such a system if you were able to find someone to develop it and the knowledge:
    http://microtrends.co/ninjatrader/ni...velopment-kit/

    How to port over your code from the Strategy Wizard to MTDS7
    Install the NinjaTrader Strategy Development kit
    1. run the strategy wizard in NinjaTrader and create your entry rules
    2. Open the code script
    3. Re-Factor the code with the MTDS7 methods
    4. Compile and Run

    Rename the base class to inherit all the MTDS7 functionality

    Refactor use the MTDS7 Trading code blocks

    Comment


      #17
      Originally posted by simple_goodoboy View Post
      1. What advice or learning direction do give newbie system developers who want to run automated trading systems using NT7? Book, course, etc. step by step manual.

      Trend Trading
      Keep it simple: Start on something like an MACD Crossover or Double MA Crossover
      with no targets or exits other than the reversal trade and build it up from there etc
      Charts. 120 minute time bars, default 24/7 session template
      Close and reverse
      Entry on crossovers, exit on reverse cross and reversal entry - just to start off with a simple premise to learn the approach...

      Instrument selection
      For me and this is not trading or investment advice - this is just my idea for me you need to consult with a registered broker/professional for advice...

      i like to use markets with a good volume, high price, good daily % ATR of 1% and over or a large tick range or cash range.. i.e volatility market selection. provides a daily profit oppurtunity.

      oil at $40 is not as interesting as oil at $100 - if oil moves 2% on average better trade it at $100 then $40 etc.. as the 2% daily average net change will equate to more basis points when the price is higher... so if we can get crude at 150 per barrel almost every system can do well...

      Look at the following analysis:
      Notice VX is 3.% but is hardly worth looking at with such a small tick range and value of
      $540 per lot based on its daily range... so the point % on its own is meaningless

      Futures contracts with daily ATR Ticks > 100

      Instrument | Daily ATR.% | Daily ATR .Ticks| Daily ATR $ |D.VolMA
      RB 04-17 2.608729969 460 1949.21 63918.74347
      HO 04-17 2.332035491 385 1642.88 59949.03185
      FDAX 03-17 0.991101742 233 3096.37 75320.83145
      6J 03-17 1.058904892 187 1204.64 141500.1006
      EMD 03-17 1.014776857 173 1754.84 12319.87239
      6E 03-17 0.72458415 155 967.54 183413.7785
      NQ 03-17 0.709343643 148 753.39 171614.3044
      GC 04-17 1.151554009 141 1469.03 208296.8619
      YM 03-17 0.645684218 131 660.48 114507.2497
      HG 05-17 2.276641997 123 1542.74 71237.64714
      FDXM 03-17 0.985291312 116 615.16 24987.16131
      6B 03-17 0.922843254 115 722.78 102022.946
      NG 04-17 3.624998856 114 1215.16 148075.1139
      CL 04-17 2.08904576 112 1131.29 477824.0739


      Futures contracts with daily ATR > 1%
      Instrument | Daily ATR.% | Daily ATR .Ticks| Daily ATR $ |D.VolMA
      VX 03-17 3.821703353 11 541.94 80721.78568
      RB 04-17 2.608729969 460 1949.21 63918.74347
      HO 04-17 2.332035491 385 1642.88 59949.03185
      6J 03-17 1.058904892 187 1204.64 141500.1006
      EMD 03-17 1.014776857 173 1754.84 12319.87239
      HE 04-17 2.175776889 58 612.19 15705.79045
      ZW 05-17 2.174742242 38 494.35 76072.19974
      SI 05-17 1.702464294 60 1545.16 68909.94198
      GF 04-17 1.577755725 79 1042.97 4235.747315
      ZC 06-17 1.484201828 22 274.14 206652.3325
      ZS 05-17 1.467343478 62 783.47 127743.44
      NKD 03-17 1.459164231 56 1415.32 13022.63261
      LE 04-17 1.409369388 65 688.12 23773.67303
      FESX 03-17 1.069006783 35 370.32 971416.8693
      GC 04-17 1.151554009 141 1469.03 208296.8619
      HG 05-17 2.276641997 123 1542.74 71237.64714
      NG 04-17 3.624998856 114 1215.16 148075.1139
      CL 04-17 2.08904576 112 1131.29 477824.0739

      Futures contracts filtered by ATR > 100 Ticks, ATR > 1K
      Instrument | Daily ATR.% | Daily ATR .Ticks| Daily ATR $ |D.VolMA
      FDAX 03-17 0.991101742 233 3096.37 75320.83145
      RB 04-17 2.608729969 460 1949.21 63918.74347
      EMD 03-17 1.014776857 173 1754.84 12319.87239
      HO 04-17 2.332035491 385 1642.88 59949.03185
      HG 05-17 2.276641997 123 1542.74 71237.64714
      GC 04-17 1.151554009 141 1469.03 208296.8619
      NG 04-17 3.624998856 114 1215.16 148075.1139
      6J 03-17 1.058904892 187 1204.64 141500.1006
      CL 04-17 2.08904576 112 1131.29 477824.0739

      For me the clear winnner is FDAX, RB, EMD, (HO i would trade RB instead they are quite correlated) ( HG copper be careful!!), GC, NG, 6J, CL

      So now its a case of style of trading, availability, margin and makre knowledge.
      Id say in most cases the best choice would be Futures E-mini S&P MidCap 400 EMD due to margin and ease of trading - howerver note the low volume :-)

      Market selection is a kay part of the automated trading - would you expect a F1 car to work in a muddy field? would you expect a tank to race well on smooth racing tarmac...

      It is a myth that a system should or can perform on any market its really not true at all. some are very specific to 1 market... which then can be dangerous - ie the market changes for a long period producing a draw down.. so system and instrument diversification is important.. ideally you can get a system that can trade a small selection of non correlated markets...

      But ranges are deceptive - grains can be dormant and seasonally come to life and fool you into thinking you can trade them easily the whole time. Oil might simple revolve around wednesday... very few markets perhaps the FDAX really provide a 5 Start range and predictable market behaviour which provides many on the range/ trending tradeable days... for example... so becoming an expert in 1 market is a great idea - then automating all or some of the trading methods you have on it can be for me trading Nirvana and a lot of fun, is trading not simply adult space invaders? :-) and a business.

      LOADS OF CAPITAL is the 1 key requirement to make life easier.
      >>>Position Sizing use 1 instrument per pot of money
      >>>Risk control position sizing... fixed fractional is ok for day trading - but most people do it wrong.. each instrument you trade should have its own balance so it can accelerate and decelerate base on its own performance and not subsidize others.


      Leverage Technology
      1. Use a technology that allows to simply focus on the Trade Algo and build in minutes and doea not require to you re-incent the wheel and spend time or money on all the peripheral common features such as trade management and order management/ trade management e.g. MTDS7 Strategy Development Kit

      2. Get Historical Data - you need to be able to test significant time say 3 years of tick data, 120 days out of sample data for example. i used tickdata.com and have spent probably 10KUSD over the years easily. And as a result that return on investment has made or saved 100KS in return... physically in live trading.

      3. When backtesting, if you have a system with 1000000 trades versus a system with 1000 trades - the one with less is better.. for reasons of margin of error, commision, slippage, technical and other issues not present in the hypothetical universe.

      4. Use more metrics to understand such as PMD, Expectancy, max drawdown, average loser ,win ratio, Risk Reward ( is meaningless on its own) - can you mentally trade it... do you capital etc

      5. Books there are many perhaps some Suggested Reading

      New Market Wizards
      Way of the Turtle -
      Mechanical trading systems - Earik Beann
      Mechanical Trading Systems - Pairing Trader Psychology with Technical Analysis - RICHARD L. WEISSMAN

      Now you need to understand this also
      80% of Van tharp is not of interest to me but maybe 20% is very good - such as stats with error codes in your journal and R Multiples but thats about it :-)
      http://www.vantharp.com/tharp-concepts/expectancy.asp
      http://www.learningmarkets.com/deter...-your-trading/

      6. Prepare your NinjaTrader Platform for automated trading, setup multiple sim accounts for realtime trading tests, to isolate errors and keep stats seperate for a system/instrument

      NinjaTrader Control Center > Tools > Options > General >
      Confirm Order Placment: Un-Checked
      Apply commisions to PnL calculations: Checked
      NinjaTrader Control Center > Tools > Options > Commission>
      Futures Simulator -Minimum Commission $5
      Add others as required
      NinjaTrader Control Center > Tools > Options > Data >
      Save chart data as historical: Checked
      Filter Bad Ticks: 0.2%
      NinjaTrader Control Center > Tools > Options > Strategies > NinjaScript >
      Disconnect Delay Seconds: 10
      Number of Restart Attempts: 600
      Restarts within X Minutes: 1000
      Handling: Keep running
      Order Handling:
      Cancel Entry Orders When a Strategy is disabled: Checked
      Cancel exit orders when a strategy is disabled: Un-Checked
      Add Simulation accounts to segregate Sim Trading Realtime results for analysis of different settings/strategies

      NinjaTrader Control Center > Tools > Options > Simulator > Accounts > Type and add New Accounts Sim1, Sim2, Sim3, etc -
      Restart NinjaTrader
      Connect to a realtime datafeed

      NinjaTrader Control Center > File > Connect > your DataFeed Kinetick or Continnum etc
      Download data for your chosen Instruments

      NinjaTrader Control Center > Tools > Instrument Manager > add/remove desired instruments in the default list
      NinjaTrader Control Center > Tools > Instrument Manager > Historical Data Manager > download tick, minute,daily data for 90 days

      7. Get a VPS and switch to the correct timezone of the exchange data and market session..
      collate the data and build yourself a prop setup so you have many years of data for example.
      weekly download all historical data daily/tick/minute and maintain it. link the servers via dropbox for templates and workspaces by timezone installation... make sure workspaces and templates are stored by timezone and the data:
      1 VPS For US
      1 VPS For Eurex
      1 VPS For Asia

      Good ultra cheap VPS www.contabo.com
      Professional Exchange Proximity hosting for trading : www.steadfast.net
      Last edited by MicroTrends; 03-04-2017, 11:34 PM.

      Comment


        #18
        Originally posted by simple_goodoboy View Post

        2. What do you mean by "patient and don't pay for the privilege of that testing phase - save your cash for trading capital. "

        Thanks for help
        I mean don't pay for a system up front - get one for free or develop your own and test it even if that process takes many years - at the end you will trade and go live ok pay then or you will say no i cant trade it - ok dont pay...

        Your money should go on.
        1. Home Trading Machine for R&D
        2. Trading Server online 24/7
        3. Platform Technology - NinjaTrader :-)
        4. DATA - historical data or data feed
        5. Education


        Strategies Testing... Get something that is free for demo/sim and does not rush you to switch on as the trial is running out or you have to get a return on the cost you paid . it will likely sabotage your trading that emotion... take your time take many years if you need to and don't pay for that need. If they wont give you a look under the bonnet and get you to sign away your life on a no refund policy they are probably one of the ECo Sytems Vendor Fraud Crooks..

        >>Check for online reviews of the trader or system before buying
        >> Get it free for testing with no rush or penalty

        as before here is the links for FREE Automated NinjaTrader Trade Strategies
        Free NinjaTrader Strategy downloads for trading futures, Forex, Stocks , CFDs


        Also make sure you setup NT for automated trading:

        Comment


          #19
          Originally posted by simple_goodoboy View Post
          Hello,

          Can you please explain the "4. Real-time Paper Trading Testing – real-time Sim trading
          " http://prnt.sc/eg54se ?
          I don't understand "Did we get this far?" part of the attached screenshot.
          Thanks,
          i mean did the previous test prove ok - so that we can now execute this test...

          Comment


            #20
            Heiken Ashi Super Renko ATR Trail Stop Filter AutoTrader

            I decided to create a Strategy i know could work in the right hands and posit it here for free for educational usage - to show how easy it is to use NinjaTrader plus and advanced tool set for creating your own NinjaTrader Strategies - using the MTDS 7 and NinjaTrader.


            MTDS7 SDK NinjaScript Code blocks all you to focus the Algo and not all the other parts you shouldnt need to code



            How to install the Strategy


            1.Click here to Download and install the Free NinjaTrader Automated Trading System Development Kit - 100% always free for demo/sim trading - install all options.
            2.Close NinjaTrader 7 and Restart
            3. Download the NinjaScript Open Source Strategy from here
            import the open source strategy file + restart NinjaTrader
            4. Open a EMD 03-17 Chart default 24/7 trading session Super renko 2 - 10 tick
            5. Connect the datafeed and make sure chart trader is not visible or hidden
            6. Click strategies -wait as NT7 does some kind of intensive check and appears to freeze... the strategies list will open
            7. Add the Strategy "MTDS SDK Heiken Ashi Trader" to the chart make sure you set historical processing - Fill Type = MTDS On Close - Click OK

            Setup the Chart


            WARNING! The Strategy will require you to set the Historical Fill Processing to MTDS on close:


            The Strategy will appear and look like this:
            Last edited by MicroTrends; 03-05-2017, 03:25 AM.

            Comment


              #21
              Originally posted by MicroTrends View Post
              I mean don't pay for a system up front - get one for free or develop your own and test it even if that process takes many years - at the end you will trade and go live ok pay then or you will say no i cant trade it - ok dont pay...

              Your money should go on.
              1. Home Trading Machine for R&D
              2. Trading Server online 24/7
              3. Platform Technology - NinjaTrader :-)
              4. DATA - historical data or data feed
              5. Education


              Strategies Testing... Get something that is free for demo/sim and does not rush you to switch on as the trial is running out or you have to get a return on the cost you paid . it will likely sabotage your trading that emotion... take your time take many years if you need to and don't pay for that need. If they wont give you a look under the bonnet and get you to sign away your life on a no refund policy they are probably one of the ECo Sytems Vendor Fraud Crooks..

              >>Check for online reviews of the trader or system before buying
              >> Get it free for testing with no rush or penalty

              as before here is the links for FREE Automated NinjaTrader Trade Strategies
              Free NinjaTrader Strategy downloads for trading futures, Forex, Stocks , CFDs


              Also make sure you setup NT for automated trading:
              MicroTrends,

              Hello and Thank you so much for your detailed response to my questions. I really appreciate it alot. Sorry for the late response, but i was busy back in March 2017, I forgot to fully read this post and digest it. Thank you for the all the help.

              Thanks

              Comment


                #22
                Originally posted by MicroTrends View Post
                I mean don't pay for a system up front - get one for free or develop your own and test it even if that process takes many years - at the end you will trade and go live ok pay then or you will say no i cant trade it - ok dont pay...

                Your money should go on.
                1. Home Trading Machine for R&D
                2. Trading Server online 24/7
                3. Platform Technology - NinjaTrader :-)
                4. DATA - historical data or data feed
                5. Education


                Strategies Testing... Get something that is free for demo/sim and does not rush you to switch on as the trial is running out or you have to get a return on the cost you paid . it will likely sabotage your trading that emotion... take your time take many years if you need to and don't pay for that need. If they wont give you a look under the bonnet and get you to sign away your life on a no refund policy they are probably one of the ECo Sytems Vendor Fraud Crooks..

                >>Check for online reviews of the trader or system before buying
                >> Get it free for testing with no rush or penalty

                as before here is the links for FREE Automated NinjaTrader Trade Strategies
                Free NinjaTrader Strategy downloads for trading futures, Forex, Stocks , CFDs


                Also make sure you setup NT for automated trading:
                Thank you very much. Right now my strategy development cost is $0 as continue to develop and back test strategies.

                What are your thoughts and suggestions on buying historical data to back test strategies? Right now i am back testing the CQG for free.

                Thanks,

                Comment

                Latest Posts

                Collapse

                Topics Statistics Last Post
                Started by Brillo, Yesterday, 08:47 PM
                0 responses
                4 views
                0 likes
                Last Post Brillo
                by Brillo
                 
                Started by Gav_G, Yesterday, 02:12 PM
                3 responses
                11 views
                0 likes
                Last Post NinjaTrader_ChelseaB  
                Started by Gav_G, Yesterday, 01:41 PM
                1 response
                12 views
                0 likes
                Last Post NinjaTrader_ChelseaB  
                Started by kweiss, Yesterday, 01:21 PM
                1 response
                10 views
                0 likes
                Last Post NinjaTrader_ChelseaB  
                Started by cutzpr, Yesterday, 08:44 AM
                1 response
                6 views
                0 likes
                Last Post NinjaTrader_ChelseaB  
                Working...
                X