New Strategy Coding Help - NinjaTrader Programming | futures io social day trading
futures io futures trading


New Strategy Coding Help
Updated: Views / Replies:6,315 / 49
Created: by FatDemon Attachments:9

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 9  
 
Thread Tools Search this Thread
 

New Strategy Coding Help

  #11 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire, Oanda
Favorite Futures: USD/JPY, ES
 
FatDemon's Avatar
 
Posts: 110 since Nov 2012
Thanks: 48 given, 316 received

Profitable Scalping System looking for automation

Well here it is:

Setup: 2 Tick Renko with Donchian set at 21. I remove the Don Upper/Lower since I don't use them to find entry.

Entry: once the bars cross the Donchian Mean line, I look for it to pass through and close 8 ticks. Once this happens, I place an entry order 1 tick above the Mean line and modify the order along the Mean line until the trend retraces back and fills the order.

Management: I have an ATM strategy set
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The purpose of this scalping system is to catch those short runners that move 5-8 points, which happens a few times each morning. Typically, I'll catch one before the morning session is over and call it a day. I do use some discretion when I come into Support and Resistance lines and manually tighten my stop or close out my profit to insure I don't get stopped out on an obvious retrace on my second contract. My pain threshold is about -$300. If I get close to this, I call it a day. If a runner looks to be consolidating, I take my profits and call it a day. I'm looking to take about $500 each day, which I will normally close any profitable trades once my daily profit gets close. If the runner looks strong and there isn't any S/R, I'll let it run it's course. Based on the results, it seems to be working!


Last edited by FatDemon; November 20th, 2012 at 01:47 PM. Reason: change title
Reply With Quote
The following 2 users say Thank You to FatDemon for this post:
 
  #12 (permalink)
Elite Member
Wrocław, Poland
 
Futures Experience: Intermediate
Platform: NinjaTrader, Racket
Favorite Futures: Ockham's razor
 
gregid's Avatar
 
Posts: 651 since Aug 2009
Thanks: 321 given, 605 received


MWinfrey View Post
The other point about back testing is that unfortunately the method I use to back test based on the close of the bar instead of the open uses the JAMRenkoFills.cs script that was in the Elite downloads at one time but is no longer there.

Simple way of doing it is while backtesting to replace your market order with limit order:

EnterLongLimit(Close[0])

(this will use close of last bar as an entry price)

Obviously for trading live one you would probably still use the type of order you want/understand the implications

Reply With Quote
The following user says Thank You to gregid for this post:
 
  #13 (permalink)
Elite Member
Lubbock TX
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Stage 5 Trading
Favorite Futures: CL
 
MWinfrey's Avatar
 
Posts: 1,879 since Jul 2009
Thanks: 1,449 given, 3,306 received


Take a look at this to make sure I've interpreted your rules properly. Import the strategy. Then put it on a chart and enable it. It only displays the Long entries so far. You will see a white arrow marking the entries. I will proceed with the short entries and other capabilities after you approve what I've done so far.

Attached Files
Register to download File Type: zip FatDemonDonchianStrat.zip (6.5 KB, 62 views)
Reply With Quote
The following 5 users say Thank You to MWinfrey for this post:
 
  #14 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire, Oanda
Favorite Futures: USD/JPY, ES
 
FatDemon's Avatar
 
Posts: 110 since Nov 2012
Thanks: 48 given, 316 received


MWinfrey View Post
Take a look at this to make sure I've interpreted your rules properly. Import the strategy. Then put it on a chart and enable it. It only displays the Long entries so far. You will see a white arrow marking the entries. I will proceed with the short entries and other capabilities after you approve what I've done so far.

Wow, you're fast... and I spent 15 hours yesterday just getting the arrows to show up! I'll check it out!

Today's results:
Caught my runner, stopped out on one entry and missed an earlier trade. I should have made the kids walk to school...damn them...!


+287.50
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #15 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire, Oanda
Favorite Futures: USD/JPY, ES
 
FatDemon's Avatar
 
Posts: 110 since Nov 2012
Thanks: 48 given, 316 received


MWinfrey View Post
Take a look at this to make sure I've interpreted your rules properly. Import the strategy. Then put it on a chart and enable it. It only displays the Long entries so far. You will see a white arrow marking the entries. I will proceed with the short entries and other capabilities after you approve what I've done so far.

I added it to my charts, but the arrows are off. Look at my results for today and notice how I took a short at 9:55 once it retraced back to the Dom line. The order is placed once the renko crosses short 8 tick close at 9:36

Reply With Quote
 
  #16 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire, Oanda
Favorite Futures: USD/JPY, ES
 
FatDemon's Avatar
 
Posts: 110 since Nov 2012
Thanks: 48 given, 316 received


FatDemon View Post
I added it to my charts, but the arrows are off. Look at my results for today and notice how I took a short at 9:55 once it retraced back to the Dom line. The order is placed once the renko crosses short 8 tick close at 9:36

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following user says Thank You to FatDemon for this post:
 
  #17 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire, Oanda
Favorite Futures: USD/JPY, ES
 
FatDemon's Avatar
 
Posts: 110 since Nov 2012
Thanks: 48 given, 316 received


FatDemon View Post
I added it to my charts, but the arrows are off. Look at my results for today and notice how I took a short at 9:55 once it retraced back to the Dom line. The order is placed once the renko crosses short 8 tick close at 9:36

I just notice you said you only plotted long entries... they look right.. sorry! awesome

Reply With Quote
 
  #18 (permalink)
Elite Member
San Francisco California, USA
 
Futures Experience: Intermediate
Platform: MetaTrader, NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire, Oanda
Favorite Futures: USD/JPY, ES
 
FatDemon's Avatar
 
Posts: 110 since Nov 2012
Thanks: 48 given, 316 received

Here is what a typical day would look like if I was trading from market open till lunch hours. Your long entry signals look right. However, I obviously wouldn't take one of them since I was already in a trade. I went back and replayed today and took +50 ticks for today based on the below image. I missed the morning and stopped trading live as showed in my previous post.. but this is a normal day outlay.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



Revised:
I wouldn't have taken the last winner since I would have already met my $500 mark for the day. I closed my last trade early instead of letting the ATM trail it, which would have cost me several points on the second contract ( if I let it run). Then again, I could have taken 2 more points if I just let it run... the discretion part.


Last edited by FatDemon; November 20th, 2012 at 03:29 PM. Reason: added note
Reply With Quote
 
  #19 (permalink)
Elite Member
Lubbock TX
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Stage 5 Trading
Favorite Futures: CL
 
MWinfrey's Avatar
 
Posts: 1,879 since Jul 2009
Thanks: 1,449 given, 3,306 received


FatDemon View Post
Here is what a typical day would look like if I was trading from market open till lunch hours. Your long entry signals look right. However, I obviously wouldn't take one of them since I was already in a trade. I went back and replayed today and took +50 ticks for today based on the below image. I missed the morning and stopped trading live as showed in my previous post.. but this is a normal day outlay.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



Revised:
I wouldn't have taken the last winner since I would have already met my $500 mark for the day. I closed my last trade early instead of letting the ATM trail it, which would have cost me several points on the second contract ( if I let it run). Then again, I could have taken 2 more points if I just let it run... the discretion part.

After looking at your chart and reading your posts, I'm wondering why you want a strategy. You obviously apply discretion. A strategy will just get in your way.

Reply With Quote
The following user says Thank You to MWinfrey for this post:
 
  #20 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
Posts: 902 since Jul 2012
Thanks: 603 given, 1,785 received



MWinfrey View Post
After looking at your chart and reading your posts, I'm wondering why you want a strategy. You obviously apply discretion. A strategy will just get in your way.

+1.

Also, if I get the whole part on the renko bars correct, I think it is very unusual reasoning not to fix a bug on the basis that the unfixed version exhibits better results. Another point which MWinfrey stated in the last page that I absolutely agree with is that automated trading does not imply unattended trading.

Reply With Quote

Reply



futures io > > > > > New Strategy Coding Help

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Some coding help adding PnL display to strategy grego The Elite Circle 5 March 23rd, 2012 02:12 PM
Strategy Coding Challenge MWinfrey NinjaTrader Programming 4 January 25th, 2011 06:12 PM
Strategy coding - Would Anyone please take a quick look at........ mdsvtr NinjaTrader Programming 4 November 5th, 2010 06:54 AM
Strategy Wizard Coding Question njaisson NinjaTrader Programming 8 October 6th, 2010 08:34 AM
Help Coding Trailing stoploss in Strategy Darshiit NinjaTrader Programming 3 June 25th, 2010 10:45 AM


All times are GMT -4. The time now is 03:26 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-18 in 3.08 seconds with 20 queries on phoenix via your IP 54.163.209.109