Fisher Transform Strategy

[Sir Walter]

Hi,
I'm trying to create a simple strategy using the Fisher Transform indicator. When the FT changes direction, I want to enter a trade on candle close with set profit target but stop trailing based in low/high (depending on direction) of previous candle. Only one trade per directional change i.e. when target or stop is hit, no new trade until FT switches direction again.

I've used strategy wizard to try and create this for backtesting but it enters multiple trades as each candle opens rather than waiting for FT to chage direction and I can't work out how to stop this. Also I'm not sure how to set the trailing stop based on previous candle.

Any help would be greatly appreciated!
Thanks,

SW

[NinjaTrader_RyanM1]

Hi Sir Walter,

Thanks for the post. The first step here is breaking down objectively what it means for this indicator to change direction. Maybe you are looking to base entries when this crosses above/below 0?

[Sir Walter]

Hi Ryan

Thanks for replying.

By changing direction I mean, for example, if the last 3 FT bars had been rising in value (e.g. 0.6, 0.9, 1.5) and then the forth bar represented a fall in value (e.g. 1.1), then this would be a signal for a short trade.

A series of bars with falling values followed by a bar with a value greater than the previous would signal a long trade. It does not matter if the change in direction occurs above or below the 0 line.

Thanks,

SW

[NinjaTrader_RyanM1]

I see. You could build this in the strategy wizard by working with multiple conditions and the bars ago field to enforce that some condition is true for consecutive bars. A basic example with 3 consecutive higher closes looks like:
Close[0] > Close[1]
Close[1] > Close[2]
Close[2] > Close[3]

You will have to create a sequence to force it to trade only one direction at a time. This can be done with user variables in the strategy wizard and this sample can help with the exact technique. Once imported, you can edit it and it will bring up the wizard interface for this strategy:

http://www.ninjatrader.com/support/forum/showthread.php?t=3220

[Sir Walter]

Thanks Ryan, though I have to say I am not very familiar with using Ninja script. The example you give (Close 0 > Close 1, etc.) - does this refer to the price bars or can I get it to apply this to the indicator values? Also, how do you set the trail stop to be the high or low of the last candle?

Thanks,

SW

[NinjaTrader_RyanM1]

If you are trying to create the same condition in the condition builder: The numbers in brackets [ ] correspond with what you would put in for the "bars ago" value. This is used for both price and indicator values.

Setting a trailstop based on last high is only possible in code. You would actually use SetStopLoss for this and could be expressed with:
SetStopLoss(CalculationMode.Price, High[1]);

Anytime you use mode price with a set method, you should consider resetting to an initial value when flat, to avoid possibility rejected orders when the order is first submitted. This sample can help with best practices of setting your stop loss dynamically:

http://www.ninjatrader.com/support/forum/showthread.php?t=3222

[Sir Walter]

Thanks. I'll try and work on it over the weekend.

SW