NinjaTrader 6.5 Strategies

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NinjaTrader 6.5 Strategies

Strategies in this section are compatible with NinjaTrader 6.5

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SQN - System Quality Number (Van Tharp)

This is Van Tharp's System Quality Number (SQN) optimizer type for NinjaTrader. Place the SQN.cs file in your Documents\NinjaTrader 6.5\bin\custom\Type directory and then exit and reload Ninja.

Here is information from Ragingbull on SQN:

Quoting

The only way to seriously qualify and optimize any system is through its System Quality Number (SQN). I advice you to refer to Van Tharp for reference on the subject.

Assuming a set of N trades (N>30 for being statistically significant), SQN is defined as follow:

SQN= Squareroot(N) * Average (of the N Profit&Loss) / Std dev (of the N Profit&Loss).

The large the N, the more trading opportunities you have.
The large the average P&L, the better you are obviously.
The smaller the Std dev (P&L), the more regular are your results and the smaller are the drawdowns.

Note here that if you optimize for the largest SQN, you maximize in fact the product N*average P&L and you minimize the Std dev (P&L) and the drawdowns at the same time.

This is exactly what all good traders should be looking for their system.

The code itself was written by Pete S all credit to him.

If you want more information on the SQN (System Quality Number) or Van Tharp you can look here:
https://www.iitm.com/Definitive-Guide-to-Position-Sizing.htm

To use this you need to use Strategy Analyzer and change your "Optimize on..." selection to "my system quality number". This is where you normally choose max net profit, or max profit factor, etc.

Update: here is version 1.3

Details: SQN - System Quality Number (Van Tharp)

July 25th, 2009
Size: 3.29 KB
Downloaded: 725 times

Keywords: number quality sqn system tharp van

SharkyMAStrategy

no details

Details: SharkyMAStrategy

June 25th, 2009
Size: 39.67 KB
Downloaded: 370 times

Keywords: ma sharky systrader

some strategies for back test

I have realized 4 strategies that you can use on ES, TF, NQ and YM market.

EnterDailyHighLow: breakout strategy that enter if the price is upper or lower t max e min day betwenn 20:30 and 21:30 (italian time). You can set stop loss and profit target.

LtitExsternalSignal: you can set price entry (long or short) stop loss and profit target.

TheBestTimeToCatchTrends_ES: enter in the market if the price is > (long) or <(short) of the open price at 19:00 (italian time). You can set stop loss and profit target. If someone can back test it I'm very pleasure.

TradingThePitLastTrend: enter in the market to follow the latest trend of the day at 22:06 and exit at 22:14. you can set stop loss and profit target. I use it in real in TF market and I have realized, with a stop loss of 120$ and profit target of 350$, 384$ of profit witht 1 lot between 11 May until 11 june with a 70% af a positive day. Now I he set a stop loss of 80$ and a profit target of 120$ with 2 lots.

I will posted in this forum the week result starting of today.

If someone can back test it i'm very pleasure.

Tanks

edit: one .zip for the four strategies.

Details: some strategies for back test

June 15th, 2009
Size: 12.24 KB
Downloaded: 510 times

Simple ZeroLagOfZerolag Strategy

First Simple Version of DoubleMA Trading Strategy ... with SlopeMA and Angle ...
Later i will insert Signal[0] as filter ... or not
Use genetic optimizer, but do not over parametrize ...
Simple Steps are better

i use 4 range on eurusd (small spreads), but i think on es work better ...

i trade manuel, use this for curve fitting on range and thanks to roonius on renko my sideway filter ...

Best regards
ARNE

Details: Simple ZeroLagOfZerolag Strategy

June 12th, 2009
Size: 3.56 KB
Downloaded: 1008 times

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