NinjaTrader 7 Miscellaneous

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NinjaTrader 7 Miscellaneous

Downloads in this section are for NinjaTrader 7 and include files that don't fit into any other category (ie: Market Replay Data, Custom Bar Types)

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Screen Capture and Indicator Print..... Made Easy

This strategy is simple straight forward... and replaces the other... Sorry if I'm not doing it right. I added screen capture as well as indicator capture... You can fire this off at each trade... or you can fire it off by depressing the mouse down on the button...

It's design is to help you look for signals... and compare the visual to the data later... I know when back testing and simulation... it would have been easier if I had this routine already built in...

Details: Screen Capture and Indicator Print..... Made Easy

March 14th, 2012
Size: 1.82 KB
Downloaded: 240 times

Keywords: indicator mouse utility screen capture

Caputue Utility... This might help if you're trying to figure..

This combines code that was found on the board and creates a utility tool. Simply copy the code into your strategy or use this a start. Modify the MouseDown event and add any indicator that you want to have printed or output to a file.

I find this code useful when designing "Bots"....

Hope this helps...

Details: Caputue Utility... This might help if you're trying to figure..

March 14th, 2012
Size: 1.50 KB
Downloaded: 118 times

Keywords: mouse tool utility

R Squared - Coefficient of Determination

Optimization Type:
RSquared is the coefficient of determination.

The optimization performs simple linear regression of the equity curve by the least squares method to determine slope of a linear line. This linear regression line is then correlated with the equity curve by trade # to calculate r-squared. The closer to 1 the better the fit. I have wrote the code to only return result with positive net income.

I have pulled the following definition from Investopedia which provides a very good explanation.

What Does Coefficient of Determination Mean?
A measure used in statistical model analysis to assess how well a model explains and predicts future outcomes. It is indicative of the level of explained variability in the model. The coefficient, also commonly known as R-square, is used as a guideline to measure the accuracy of the model.

Investopedia explains Coefficient of Determination
One use of the coefficient of determination is to test the goodness of fit of the model. It is expressed as a value between zero and one. A value of one indicates a perfect fit, and therefore, a very reliable model for future forecasts. A value of zero, on the other hand, would indicate that the model fails to accurately model the dataset.

Copy file to directory ".../Ninja Trader 7/bin/custom/type/" and open up any indicator for editing and recompile. This optimization type will then show up in strategy analyzer.

Revision 0.12 - Uploaded 11/10/2011: Fixed error in calculation

Details: R Squared - Coefficient of Determination

November 9th, 2011
Size: 3.63 KB
Downloaded: 202 times

Expectancy Optimization Type

Similiar to the Expectancy Score Optimization Type, but this one does not include opportunity. Look at this link to read how this file can help you with your optimizing.

Join us on this thread to read more about how to use Optimization Types to improve your optimizations.

Enjoy!
Gordo

P.S. If you get a score of 777, that means there were no trades that met the criterea. I score of 888 means there were less than 52 trades in a year's time and a score of 999 means the strategy had no losing trades making it not viable.

Details: Expectancy Optimization Type

May 24th, 2011
Size: 2.15 KB
Downloaded: 354 times

Expectancy Score Optimization Type

Here is my rendition of the Expectancy Score from [I][COLOR=#810081]Trade Your Way to Financial Freedom[/COLOR][/I] by Van K. Tharp. The basis of this optimization is found in this link:

https://www.unicorn.us.com/trading/expectancy.html

which states in part:

Expectancy is how much you expect to earn from each trade for every dollar you risk. Opportunity is how often your strategy trades. You want to maximize the product of both.
Expectancy = (AW � PW + AL � PL) ⁄ |AL| (expected profit per dollar risked)
Expectancy score = Expectancy � Opportunity
where AW = average winning trade (excluding maximum win) PW = probability of winning (PW = <wins> ⁄ NST

where <wins> is total wins excluding maximum win) AL = average losing trade (negative, excluding scratch losses) |AL| = absolute value of AL PL = probability of losing (PL = <non-scratch losses> ⁄ NST) Opportunity = NST � 365 ⁄ studydays (opportunities to trade in a year) where

NST = <total trades> − <scratch trades> − 1
In other words, NST = non-scratch trades during the period under test (a scratch trade loses commission+slippage or less) minus 1 (to exclude the maximum win).
studydays = calendar days of history being tested

This code atttempts to duplicate this algebraic information in NT7 eese.

Enjoy!
Gordo

Version 2 cleaned up a few coding errors.

I also added a new optimizer type which is just called expectancy. It does not include opportunity. Take a look. Join us on this link for a discussion on expectancy.

Enjoy!
Gordo

Details: Expectancy Score Optimization Type

April 29th, 2011
Size: 2.22 KB
Downloaded: 396 times

ExportData

I've converted the indicator ExportChartData to a Strategy to make it easier to apply against a basket of instruments. Thanks to BigMike and Sam for some older comments and code that inspired this

.

Next releases will include enums to select various DateTime output formats. It is currently outputing POSIX-style DateTime. Feel free to make it better!

Strategy ExportData changelog:

24 February 2011: ver 3.35 posted. Significant refactor. Adds enums for DateTime output formats, delimiters, file types. Adds user-configurable output preferences for export to Matlab and R, and a code example for exporting indicator data with timeseries data.
21 February 2010: ver 3.00 posted
22 February 2010: ver 3.01 posted. Deleted Print statements that were used for debugging and changed an if/if to an if/else to save processor power.
22 February 2010: ver 3.10 posted. Added OnStartUp() and OnTermination() methods and moved code there from OnBarUpdate() for efficiency.
2 November 2010: ver 3.2 posted. Fixed bug where spaces in path names would throw an exception, added better exception handling, added Print statements in OnStartUp() and OnTermination(). NT7b23 compile.

Compatability:
NT7 only

Details: ExportData

February 24th, 2011
Size: 5.95 KB
Downloaded: 911 times

Keywords: export mxasj

BhavCopy ImportType

Exported with NT 7 RC 1 (23)

National Stock Exchange provides bhavcopies or End of Day data. But sadly the same cannot be fed to NinjaTrader natively. So I build a custom ImportType file so that the same can be fed to NinjaTrader.

The same is supposed to work in conjunction with [U][U]Data Downloader[/U][/U] (in Data Downloader use the default format to format the data). Of-course any data of similar format can also be fed. Being an open-source code you can always modify the same to suit your needs.

For more details please visit https://www.volumedigger.com/NinjaTrader/Miscellaneous/BhavCopy_ImportType.aspx

In case of any bugs pls shoot me a mail.

Pls backup your database before using the same.
Pls use the same at your own risk.

Details: BhavCopy ImportType

November 29th, 2010
Size: 2.40 KB
Downloaded: 91 times

replay data for week 43 (6x, ES, NQ, TF, CL, ...)

for 12/10 contracts: 6A, 6B, 6C, 6E, 6J, 6S, CL, EMD,ES, FDAX, FESX, FGBL, GC, NQ, TF, ZB, ZN, YM
for 11/10 contracts: CAC40

Details: replay data for week 43 (6x, ES, NQ, TF, CL, ...)

October 30th, 2010
Size: 50.93 MB
Downloaded: 576 times

NinjaTraderDDE

Exported with NT7 7.0.0.15

NinjaTrader do not have Dynamic Data Exchange (DDE) capability. This indicator helps one to build a DDE connection between NT and any client application like excel. NT acts as the server and sends the data.

.Net do not supports DDE natively but there is a very good free open source library namely NDDE, which i have used to make the dde link.

The indicator uses many "non-supported stuffs". So use/edit is judiciously.

For more details pls visit here

Details: NinjaTraderDDE

June 14th, 2010
Size: 134.80 KB
Downloaded: 272 times

Keywords: data dynamic dde exchange

dsDataBox

Exported with NT 7.0.0.17

an alternative to the native Data Box or the Mini Data box dsDataBox displays the OHLC in the tool strip of the chart. Can be edited to include custom information like volume etc. It uses many non supported stuffs so do take care on that.

More info can be found here

Details: dsDataBox

June 14th, 2010
Size: 2.33 KB
Downloaded: 378 times

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