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New Strategy Coding Help
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Created: by FatDemon Attachments:9

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New Strategy Coding Help

  #31 (permalink)
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FatDemon View Post
I have to admit, I'm growing more curious to how well it would work without me cherry picking entries.

I've actually done this study before and found that it doesn't hold up over time. Just as an exercise, take the strategy that I sent you and look at every long entry over the last month during the time that you trade and see how it does. That should be pretty easy to do and won't take very long to do. That may provide you with some insight.

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  #32 (permalink)
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MWinfrey View Post
I've actually done this study before and found that it doesn't hold up over time. Just as an exercise, take the strategy that I sent you and look at every long entry over the last month during the time that you trade and see how it does. That should be pretty easy to do and won't take very long to do. That may provide you with some insight.

would it be hard to add the Short entry indicators to what you've done so far? Then I can manually go back and test it to see if it's worth pursuing. I've tried, but I'm a coding retard and cant seem to get it to work.

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  #33 (permalink)
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here you go...

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  #34 (permalink)
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MWinfrey View Post
here you go...

Big thanks!!! I'll back test it this weekend and see if I can modify it to be more methodical.

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  #35 (permalink)
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MWinfrey View Post
The problem is that I can't write a strategy that allows discretion. A strategy will take EVERY entry and you apply discretion. So i can't do what you are asking.

I now understand what you are saying MWinfrey. I used your code and added order execution to the signals. In my head, I thought I would be able to manually scale out of orders "at my discretion". Apparently, that isn't the case. Soooo, in order for it to work, there needs to be a static money management strategy to go along with. That totally blows.. I was hoping I could get my entry filled and stop placed with the script, then manually exit the second contract based on other variables. Now I understand.

So, I was thinking... There are three variables that would potentially make this work on complete auto pilot.

1. In one of the earlier posts, I attached a graphic of my ATM strategy. Is there a way to "call" that ATM strategy template when my orders are filled?

2. Can I have parameters that stop the script once a daily profit target is hit or loss. ...say +$500/-$300

3. Is it possible to set trading hours.

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  #36 (permalink)
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I wrote my version, I believe this is exactly what you want. Maybe we can compare results with Mike.

Doesn't look profitable. I don't use multiple targets. If it doesn't work trying each target individually, then it won't work when using multiple targets simultaneously. Also, I don't use a breakeven stop. For small trades it's not going to help.

edit: Results screenshot

Attached Thumbnails
New Strategy Coding Help-chart-example.png   New Strategy Coding Help-chart-example2.png   New Strategy Coding Help-results2.png  

Last edited by grimReaper; November 24th, 2012 at 05:58 PM.
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  #37 (permalink)
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grimReaper View Post
I wrote my version, I believe this is exactly what you want. Maybe we can compare results with Mike.

Doesn't look profitable. I don't use multiple targets. If it doesn't work trying each target individually, then it won't work when using multiple targets simultaneously. Also, I don't use a breakeven stop. For small trades it's not going to help.

I noticed on your charts that you are taking 1 contract at entry. When I take an entry, it is always 2. One which takes a 2pt target, and the other to break even + 1 tick (for commissions) and left to catch a quick run up/down in price. The majority of success I've had trading this is that second contract.

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  #38 (permalink)
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Notice my ATM strategy @ the link below. What this strategy does is get me in the market to catch a run up or down of price (6-8 pts). Covering half at 8 tick is just managing losses and keeping me in the game long enough to catch the big fish for the day...and recover losses from earlier stopped positions.



https://futures.io/ninjatrader-programming/24425-new-strategy-coding-help-2.html#post280898

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  #39 (permalink)
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FatDemon View Post
I now understand what you are saying MWinfrey. I used your code and added order execution to the signals. In my head, I thought I would be able to manually scale out of orders "at my discretion". Apparently, that isn't the case. Soooo, in order for it to work, there needs to be a static money management strategy to go along with. That totally blows.. I was hoping I could get my entry filled and stop placed with the script, then manually exit the second contract based on other variables. Now I understand.

So, I was thinking... There are three variables that would potentially make this work on complete auto pilot.

1. In one of the earlier posts, I attached a graphic of my ATM strategy. Is there a way to "call" that ATM strategy template when my orders are filled?

2. Can I have parameters that stop the script once a daily profit target is hit or loss. ...say +$500/-$300

3. Is it possible to set trading hours.

yes to all your questions. However, that does not address the issue of entries. Strategies will take EVERY entry where the conditions are met. Until you have a set of rules that is profitable without discretion all the yes answers are moot.

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  #40 (permalink)
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MWinfrey View Post
yes to all your questions. However, that does not address the issue of entries. Strategies will take EVERY entry where the conditions are met. Until you have a set of rules that is profitable without discretion all the yes answers are moot.

That is what I'm suggesting. If I can set these three variables, perhaps then it "could" be a profitable strategy left to run on its own.

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