Anybody has successful NT automated strategy

[MicroTrends]

NinjaTrader Strategy Creation

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

[MicroTrends]

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/determining-expectancy-in-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

[MicroTrends]

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:

[MicroTrends]

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...

[MicroTrends]

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:

[simple_goodoboy]

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

[simple_goodoboy]

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,

[SkiierNordic]

MicroTrends, thanks for your ideas. Would like to know if you recommend a hedge (to protect) a profitable position going into the weekend, which, for those of us on Central Time (USA) would mean about 1:20 Friday to about 7:00 PM Central Time on Sunday Evening (corn futures). With a number of successful systems running on various underlying futures, do you hedge profits? Or, do you accept losses that can occur on a weekend?

For example, suppose I was short ten corn contracts in the underlying futures going into the weekend, and that I had a nice profit going into a Spring weekend. The weather forecast was for light rains in the Mid-West. Just before 1:20 PM Central I manually executed and filled an order on NT to buy ten at (or very close) to the money calls. Sure enough, the "light" rains" turned into heavy rains. On Sunday evening, or Monday morning, I liquidated both my short futures and long options positions and took my profit, which had been locked in since Friday afternoon at 1:20 PM.

Best wishes.

[MicroTrends]

MicroTrends, thanks for your ideas. Would like to know if you recommend a hedge (to protect) a profitable position going into the weekend, which, for those of us on Central Time (USA) would mean about 1:20 Friday to about 7:00 PM Central Time on Sunday Evening (corn futures). With a number of successful systems running on various underlying futures, do you hedge profits? Or, do you accept losses that can occur on a weekend?

For example, suppose I was short ten corn contracts in the underlying futures going into the weekend, and that I had a nice profit going into a Spring weekend. The weather forecast was for light rains in the Mid-West. Just before 1:20 PM Central I manually executed and filled an order on NT to buy ten at (or very close) to the money calls. Sure enough, the "light" rains" turned into heavy rains. On Sunday evening, or Monday morning, I liquidated both my short futures and long options positions and took my profit, which had been locked in since Friday afternoon at 1:20 PM.

Best wishes.

i have to be careful to avoid investment advice but what i think is:

Well that depends on the trade capital risk allocation , trade account operating capital and the risk mandate of the fund as well as the portfolio construction.
Rather than trying to find a unicorn system that works in all weather on all instruments - a noble quest and waste time and money IMO- Typically its more timely and cost effective looking for diversified asset streams which can be multiple non correlated instruments or it can be the same instrument with different non correlated systems or 3rdly a mix of all 2 scenarios.

Some instruments have dangerous tendencies such as the FDAX where it is possible to keep risk to 1% per trade intraday but gaps overnight may push it to 3% for example or more.

As an example
Palladium is the wildest and needs 3mil upwards to trade 1 lot on a system that that needs to go through the weekend
FDAX is next - GAPS over night and over weekend are expected up to 45K per lot in very large gaps buy usually are still well within a 5K to 15K range per lot.
FGBX is a far safer than FDAX and provides cyclical trending patterns intraday and less gaps


The systems i prefer to use myself enter from sunday or monday and exit on Friday ideally at the top or bottom in 1 trade at the maximum or better weekly range from the open
Profit = Time * Range so entering monday and exiting Friday provides the maximum reward and exiting Friday provides the best insulation against weekend adverse gaps
if im trading a 300K to 600K account i would do that. with FDAX

If you are trading micro futures MES or MNQ you can or the Eminis you can trade Sunday to friday with no overnight gap problems usually.

The systems i write and manage for funds stay in 1 trade for up to 3months - and the portfolio construction is such that it will balance out usually

The systems i prefer to use for hedgefunds who want a low trade frequency with a massive risk reward I will enter at the begin of 1 month and exit at the end and will align and reset with the monthly, quarterly,annual cycles also - but this is done with a portfolio that will insulate gaps over weekends.

IMO a 1mil to 3mil account and above starts to provide enough ability to swing trade through the entire contract with enough diversity a small portfolio with say a risk limit of 10% maximum risk of fund allocation over 10 positions of 1% to insulate against adverse gaps. Sometimes the gaps work in your favour sometimes against - 50/50 in theory.

Generally speaking its safer and more usually to close out Friday before the close unless you are fund who can weather gaps and is using a system that will stay for 3 weeks or so to 3months

better to close IMO - plan a weekly cycle and routine start on sunday or monday and finish friday or daily intraday

-capital is everything + diversity - instrument selection - dangerous or easy high liquid with a 24/5 trading session etc are usually the best choice for safety and systematic edge

[SkiierNordic]

Hi again MicroTrends,

Thanks for your suggestions. To recap ideas in your latest post:

It is good to know that for the most part, the short time gaps between the day trading sessions and the night trading sessions in the US during the week have not been a problem for your portfolio.
My limited observations have confirmed that there are mostly small, or non-significant price changes during these short time gaps during the week.

It is also helpful to know that you avoid entirely the much longer time gap between Friday afternoon and early Sunday Evening for those of us in the US on Central Time. (The same principle would apply to Asian and European based traders.) You clearly state that one should take trades during about six days of the week, and that you enter the weekend flat after trading is discontinued on Friday.

Appreciate your explanation that your systems are running on a diversified set of markets, that have low, or near zero inter-correlations. Different economic forces and different supply/demand forces are driving each futures market you have selected. Diversification reduces overall risk, but as you point out, requires adequate capitalization.

Your ideas once again re-enforce an important principle for investors, traders, and speculators: First, focus on, and reduce if possible, the risks a trading strategy implies for your portfolio, before you consider the possible rewards, or profit, the strategy may produce.

Best to all

[MicroTrends]

Hi again MicroTrends,

Thanks for your suggestions. To recap ideas in your latest post:

It is good to know that for the most part, the short time gaps between the day trading sessions and the night trading sessions in the US during the week have not been a problem for your portfolio.
My limited observations have confirmed that there are mostly small, or non-significant price changes during these short time gaps during the week.

It is also helpful to know that you avoid entirely the much longer time gap between Friday afternoon and early Sunday Evening for those of us in the US on Central Time. (The same principle would apply to Asian and European based traders.) You clearly state that one should take trades during about six days of the week, and that you enter the weekend flat after trading is discontinued on Friday.

Appreciate your explanation that your systems are running on a diversified set of markets, that have low, or near zero inter-correlations. Different economic forces and different supply/demand forces are driving each futures market you have selected. Diversification reduces overall risk, but as you point out, requires adequate capitalization.

Your ideas once again re-enforce an important principle for investors, traders, and speculators: First, focus on, and reduce if possible, the risks a trading strategy implies for your portfolio, before you consider the possible rewards, or profit, the strategy may produce.

Best to all

There are 2 elements people dont have time to learn as they are too busy playhing slots in a vegas style mentality scalping.
Risk + Performance

RISK control

yes mitigate all unnecessary potential risks the first being the weekend gap, daily gap is also important, if you swing trade look at instruments that offer almost 24/6 trading
micro index futures are the best thing that ever happened to futures - now people are not forced due to account sizes to do Forex which is not nearly as safe or profitable based on daily range expetancy

instrument size liquidity & trading hours - Grains,Softs Wheat, Coffee for example can go into weeks of limitdowns and you can end up owing more than you started with so trade these with an intraday approach for max safety

use minimal risk and try to diversify or become a highly focused specialist on 1 to 2 markets

day trading margins are less so if the FCM goes bang your account is smaller and you lose less - only put in their account what you physically need to " trade -operating capital"
your risk is based on your cash balance + trading account operating cash - if you have 100K risk capital and you only need 25K to trade - leave 75K in a safe place
but based your risk of 1% for example on $1000K etc


Performance
log performance and system -
people are too lazy or have not heard of trade plans and stats taking a journal


Systems there are 1000s they can be variable- Risk and Performance are constant