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Grouping Strategies in a Master Strategy
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Grouping Strategies in a Master Strategy

  #1 (permalink)
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Grouping Strategies in a Master Strategy

Hi,

I Build a strategy that can run on many instruments(~50) with a slight modification of parameters. I want to be able to run all the strategies together but instead of manually set them in the strategy tab I was thinking on writing a Master strategy that take as an input the list of instruments and create new strategy instance for each instrument.
For example:
 
Code
List<MyStrategy> MasterStrategy = new List<MyStrategy>();
...
foreach (string str in Symboles)
                MasterStrategy.Add(new MyStrategy(str));
Something like that. Of course I need also to pass the Base but this is the general concept I want to achieve.
Is it possible design?
Is there sample codes that were tested for doing such a task?

Thanks in advance for any assistance!

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  #2 (permalink)
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  #3 (permalink)
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Haven't considered doing it this way.

In the past, have just written one "main strategy", and then added multiple bars dataseries to it, and managed it that way.

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  #4 (permalink)
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Multiinstrument Strategy


freewind View Post
Hi,

I Build a strategy that can run on many instruments(~50) with a slight modification of parameters. I want to be able to run all the strategies together but instead of manually set them in the strategy tab I was thinking on writing a Master strategy that take as an input the list of instruments and create new strategy instance for each instrument.
For example:
 
Code
List<MyStrategy> MasterStrategy = new List<MyStrategy>();
...
foreach (string str in Symboles)
                MasterStrategy.Add(new MyStrategy(str));
Something like that. Of course I need also to pass the Base but this is the general concept I want to achieve.
Is it possible design?
Is there sample codes that were tested for doing such a task?

Thanks in advance for any assistance!

I have also a similar idea:
I would like to write a strategy that monitors a collection of intruments (30-50 stocks) for a certain buy signal. If I get a buy signal on 10 of them at the same time, I would like to buy the top 5 ones with the highest average historical return (using the strategy).

How can I accomplish this in Ninjatrader?

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  #5 (permalink)
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sthlmjohan View Post
I have also a similar idea:
I would like to write a strategy that monitors a collection of intruments (30-50 stocks) for a certain buy signal. If I get a buy signal on 10 of them at the same time, I would like to buy the top 5 ones with the highest average historical return (using the strategy).

How can I accomplish this in Ninjatrader?

You can do that having two strategies type:
- strategy A, running on the 50 stocks, and writing in a specific file when it has the buy signal
- strategy B, reading all files, and checking that you have at least 10 buy signals
To get the top 5 stocks, the easier is too manage manually, running backtests and store somewhere the best performers.
The B strategy will be "multi-instruments".
Their are smarter way to do that, but this is the simpler, IMHO.

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