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Strategy Framework

This is the 1.0 version of a general framework with exits to use with every kind of strategy. The main idea is that the trade exits, in general, are very simililar, so we can divide, modularize and reuse the exits. The same idea is applied to position sizing and signal tracking (is how your strategy reads the indicators). A small manual is inlcuded, and I believe that this framework can evolute to a real reusable piece of software for almost every strategy. The onExit() method is called to reset and manage the signals, LookForTrade() to open positions, and ManagePositions() to build your own custom exit. Below you can see some example methods. The public are invited to upgrade it.

public class MyStrategy : StrategyFramework {....

protected override void MyInitialize() {
base.Add(RSI(rsiPeriod,3));
base.Add(SMA(10));
base.Add(SMA(20));
}
protected override void LookForTrade() {
if (Close[0] > Open[0])
positionManager.Position1.EnterLong();
}
protected override void UpdateSignals() {

if (CrossAbove(RSI(rsiPeriod, 3).Avg, rsiHigh, 1))
rsiSignal = -1;
if (CrossBelow(RSI(rsiPeriod, 3).Avg, rsiLow, 1))
rsiSignal = 1;
}

protected override void OnExit(object sender, int positionID) {
rsiSignal = 0;
}

regards,
Henry

Category The Elite Circle

Details: Strategy Framework
Category: The Elite Circle

September 19th, 2011
Size: 47.60 KB
Downloaded: 359 times

Strategy I

I came up with this trading idea and a programmer did the coding for me. After some optimization, the results look decent. But in real time it could be a different story. Please do not risk your real $. I repeat, please do not risk your real money.

Basically, the strategy will buy on dips within an uptrend, and sell on rallies on a downtrend. For example, if there is an uptrend (as indicated in the Fisher Transform plot in a 9-range bar chart), then looking at the 4-range bar chart, if the price touches lower Bollinger band and turns green, buy close + 1 tick stop limit. To go short, look for a red 4-range bar touching upper Bollinger band with 9-bar Fisher transform in a downtrend. Stop loss order, target, daily maximum loss and break-even stop are all here and are optimizable.

On the parameter screen, 'stop' is initial stoploss order, 'MoveStopAfterMove' is the amount of unrealized profit to show in the current trade before the break-even stop kicks in. 'StopAfterMove' is its 'offset', I set it at 0, so it becomes a break-even stop. The rest of the parameters should be self explanatory.

So far my back testing shows quite good results daytrading 6E, ES, CL and ZS. Please send me a message and let me know what you think.

Category NinjaTrader 7 Strategies

Details: Strategy I
Category: NinjaTrader 7 Strategies

February 8th, 2011
Size: 12.96 KB
Downloaded: 2591 times

strategy that allows scaling-in of positions

The strat entry condition is a (crappy, suggest replacing with something more reliable) ParabolicSAR signal. You can replace it with whatever you wish -- the intent here is to provide the "scaling-in" code/architecture.

Here's a link to a video that demonstrates this precise scaling-in strategy.

Category The Elite Circle

Details: strategy that allows scaling-in of positions
Category: The Elite Circle

October 27th, 2012
Size: 3.94 KB
Downloaded: 288 times

Strategy:10 Low Risk/High Return Currency Trading (Rob Booker)

I like the "bear chased two hikers" opening + more ..

Category Educational

Details: Strategy:10 Low Risk/High Return Currency Trading (Rob Booker)
Category: Educational

July 7th, 2010
Size: 542.57 KB
Downloaded: 815 times

Keywords: wgreenie

Sub-Session Highs and Lows (user-defined times)

A simple indicator to show the first two sub-sessions highs and lows, as defined by user inputs for:

sub-session 1: from start of session until end of sub-session 1
sub-session 2: from end of sub-session 1 to end of sub-session 2

So there are two input parameters for setting the time when the first sub-session should end and when the 2nd sub-session should end.

24 hour clock values only and I still have to code a time-zone parameter to take care of special situations like the daylight saving time shift difference between London and New York - America changes over 2 weeks prior to the EU in spring, so at the moment if that affects you, you would have to adjust the parameters temporarily - i.e. it's necessary to adjust these input parameter values in March and in October when there is a period after the USA clocks change and before the European clocks change, if you're based in the EU and your sub-sessions define non-EU time-zones.

Basically if you are using the US East Coast time zone, you won't need to worry about that.

Change Log

Changed name to PermaCodeSubSessions
fixed bug where data gaps would snarl up session start times

Version 1 as at 2012-02-05.

Added a bug fix at 2012-04-12

Category NinjaTrader 7 Indicators

Details: Sub-Session Highs and Lows (user-defined times)
Category: NinjaTrader 7 Indicators

February 5th, 2013
Size: 2.20 KB
Downloaded: 285 times

Super Duper Trend Stop

Modified the Super Trend Stop so it can be applied to any study, i.e. your favorite moving average. Default study is #1, so make sure you change it or you may get some interesting results.

Also added color bars and an option to use Standard Deviations for the volatility calculations, concept being on range/renko type bars the Standard Deviation calculation would do a better job determining volatility than ATR. That said, upon initial review (i.e. last 5 minutes or so

) the ATR method still seems superior. Std Dev may be useful for scalping short term breaks outs or counter trading chop? Not sure, just some initial ideas. Anyway, I just made this thing, it seems ok, but let me know if it has issues.

Category Sierra Chart

Details: Super Duper Trend Stop
Category: Sierra Chart

January 18th, 2013
Size: 44.32 KB
Downloaded: 324 times

SuperDrive

Exported using NT Version 7.0.1000.2

This is an improved version of the drive indicator.

The indicator detects both volatility and momentum and shows the relationsship between bullish momentum or bearish momentum and volatility.

Volatility is measured via the absolute value of the indicator. You will notice, how it moves up during the day session and moves down during the night session.

Momentum is measured as the difference between the two lines. Positive momentum is shown as green and negative momentum is shown as red. The momentum is measured via the enhanced momentum indicator, which is included.

The lines are smoothed with a Hull moving average for display.

Category NinjaTrader 7 Indicators

Details: SuperDrive
Category: NinjaTrader 7 Indicators

January 12th, 2011
Size: 11.63 KB
Downloaded: 2074 times

Keywords: drive momentum trendfilter volatility

SuperSmoother Filter

Exported using NT Version 7.0.1000.2

These are the 2 pole and 3 pole Super Smoother Filters, which were described by John F. Ehlers in his book "Cybernetic Analysis for Stocks and Futures". Ported from Easy Language to NinjaTrader.

The chart shows that the 2 pole super smoother filter (yellow) gives a better approximation for price while the 3 pole filter (spring green) offers superior smoothing.

Category NinjaTrader 7 Indicators

Details: SuperSmoother Filter
Category: NinjaTrader 7 Indicators

February 11th, 2011
Size: 2.31 KB
Downloaded: 1196 times

Keywords: movingaverage signalprocessing supersmoother

SuperSmoother Filter (amaSuperSmoother)

Version 1.0 March 12, 2017

These are the 2 pole and 3 pole Super Smoother Filters, which are derived from digital Butterworth Filters. They were first described by John F. Ehlers in his book "Cybernetic Analysis for Stocks and Futures". I have ported them from Easy Language to NinjaTrader.

The chart shows that the 2 pole super smoother filter (firebrick) gives a better approximation for price while the 3 pole filter (blue) offers superior smoothing.

To emulate the original SuperSmoother presented by John F. Ehlers, please select the PriceType "Median" as Input Series.

Category NinjaTrader 8 Indicators and More

Details: SuperSmoother Filter (amaSuperSmoother)
Category: NinjaTrader 8 Indicators and More

October 21st, 2017
Size: 2.71 KB
Downloaded: 530 times

Keywords: butterworth filter iir poles supersmoother

SuperTrend

//*** This is a tradestation version of the code Big Mike and Fat Tails have
uploaded here. I made several modifications as well. The sample
picture is inspired from BMT traders and many sharky templates.

//*** The sample picture contains Super trend and Double WMA Ultra Grad

Version 1: Modified Jan 2012 for tradestation ELD ***********
//**** added up dn color, added single or multi dot ***********
//**** added median price moving average logic

Category TradeStation (hidden)

Details: SuperTrend
Category: TradeStation (hidden)

January 14th, 2012
Size: 8.15 KB
Downloaded: 1258 times

Keywords: anasupertrend sar sharky supertrend

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