But I'm kinda stuck on the very first step, which is identifying which markets to trade. The Trend Following Bible by Andrew Abraham says this on the subject:
"The only way to approach it has to be quantitative.There has to be no guessing or interpreting.
The simple way I learned to do this was to look at a rate of change. Another word for rate of change is momentum."
So one question is... how to apply some kind of filter in NinjaTrader to identify the highest momentum markets?
Next, to handle risk, I have read that I also need to find markets that are not correlated. Can NinjaTrader do this too, and I'm just having a hard time figuring it out?
What I would like to end up with, is a quantitatively determined list of markets, which all have good momentum and are not highly correlated. Any thoughts appreciated!
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