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Does Ninjatrader optimization really work?
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Does Ninjatrader optimization really work?

  #21 (permalink)
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elitetradernyc View Post
Hey guys, just wondering, what's a good way to make sure that your optimized NT strategy works going forward on a certain set of stocks? I'm curious to know whether an optimized strategy "sticks" to its optimized instruments. Would working on different timeframes be enough to tell?

I would say it works but for future forwarding trading, everything is a iffy...

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  #22 (permalink)
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bob7123 View Post
Me, normal??

I recall Denise Shull once saying that she reminds quants that they too cannot avoid subjective decisions which are susceptible to bias. They may avoid decisions on individual trades, but they usually have several models, and/or parameters for those models that need to be chosen based on varying market conditions.

I also recall in your [great] webinar that you said you looked back in your journal to a time before you were profitable and found setups that looked good, but it was only later that you learned how to properly execute trades in a profitable way.

So I guess you are saying there is no substitute for knowing what you are doing.

On Tuesday's AMA webinar, FT71 said that to build confidence, do homework, meaning become more familiar with the statistics of market behavior. And to paraphrase, stop treating the market like a cricket match.

So, I figure it can’t hurt to wade in a bit on automation, with the limited goal of better understanding market dynamics from a statistical perspective. And most importantly not giving in to holy grail seeking behavior, which for me has taken on 100 disguises.

-Bob

Bob, if you let me throw in my 2 cents here, if you are comparing running your system mechanically with executing it manually, then you've got to be aware of how different the approaches are and where each one has its advantages and where each one has its disadvantages. I think you'll only gain something from wading in on automation as long as you are also working on the discretionary stuff as well - the experience of comparing and contrasting them is what has been most useful to me, since I've gone down this road.

When I decided to teach myself discretionary trading after a long and heavy investment in mechanical trading didn't work out, it was pretty much as though a door was opened that is not only good for my trading career, but has already revolutionised the way I will approach mechanical trading when I do that again.

The main point for me is that a computer can work a very slight edge over a long time and many markets that a human could never do, but the human mind can work a much bigger edge that can never be programmed.

I've also heard from successful discretionary traders that mechanising their trading edge isn't possible, killing off their dreams of playing golf all day while their laptop did the hard stuff. I can imagine it's often just not worth it because the trader would spend so long creating the software, he/she would probably retire before it was finished!

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  #23 (permalink)
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Automation of Alerts


Although the automated system is generally considered to be a bot that handles everything, many simply want to lower the amount of stare time at the screen. Finding a set of personal parameters that have better than a 51% win ratio is their first interest. Of course a 51% win ratio is generally a slow painful road to bankruptcy since most traders start with bigger trailing stops than their targets. SO winning trade profits need to outweigh losess (I know it is obvious.)

I have a day job. So finding a multi-indicator alert system that wakes me up when it is in range of my "optimal" entry would be a great help.

I am still looking for that repeatable set of timing and market indications that will more than 51% of time lead to a winning trade. The Battle of the Bots contest is a great place for this type of testing. May I encourage all traders to try and involve themselves in that thread.

https://futures.io/elite-automated-ninjatrader-trading/7455-battle-bots-ninjatrader-algorithmic-strategy-development.html

A new item of interest for me would be if people have personal favorite indicator that they feel provides them the best opportunity to succeed. If we could list them here or in the battle of the bots, I would like to try and build that Frankenstein bot to see if it "lives."

My first contributions would be that I believe Perry's method best practices would help:

Perry's Method Part II - Big Mike's Trading Forum

1. No trading within 5 minutes, before and after, an economic data release
2. Never trade against the SMA 15 (minute)
3. HMA3 is on the trend side of HMA8

Then I would recommend an entry close to the cross of the SMA1 (one) above the SMA3 (three) (not sure of this one.)

For now it would only be looking for a limited target, possibly 4 to six ticks. Perhaps a trailing 12 tick stop.

Seems to have a win % of over 51% and a profit much of the time, but some test periods do show losses.

Of course I would like to see other items recommended from the forum.

Perhaps we call the Bot: BestPractices.

Please feel free to eliminate my first suggestion with a better experience you can recommend.

Hope for your participation.

By the way, we are in an anomaly period for the 6E with all this uncertaintly about Cypress, so do not think I am recommending any trade for Monday.


One last item, does anyone have a standard spreadsheet they use to analyze the results of the back test grid output?


Last edited by jmont1; March 24th, 2013 at 05:10 PM.
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  #24 (permalink)
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jmont1 View Post
Although the automated system is generally considered to be a bot that handles everything, many simply want to lower the amount of stare time at the screen. Finding a set of personal parameters that have better than a 51% win ratio is their first interest. Of course a 51% win ratio is generally a slow painful road to bankruptcy since most traders start with bigger trailing stops than their targets. SO winning trade profits need to outweigh losess (I know it is obvious.)

I have a day job. So finding a multi-indicator alert system that wakes me up when it is in range of my "optimal" entry would be a great help.

I am still looking for that repeatable set of timing and market indications that will more than 51% of time lead to a winning trade. The Battle of the Bots contest is a great place for this type of testing. May I encourage all traders to try and involve themselves in that thread.

https://futures.io/elite-automated-ninjatrader-trading/7455-battle-bots-ninjatrader-algorithmic-strategy-development.html

A new item of interest for me would be if people have personal favorite indicator that they feel provides them the best opportunity to succeed. If we could list them here or in the battle of the bots, I would like to try and build that Frankenstein bot to see if it "lives."

My first contributions would be that I believe Perry's method best practices would help:

Perry's Method Part II - Big Mike's Trading Forum

1. No trading within 5 minutes, before and after, an economic data release
2. Never trade against the SMA 15 (minute)
3. HMA3 is on the trend side of HMA8

Then I would recommend an entry close to the cross of the SMA1 (one) above the SMA3 (three) (not sure of this one.)

For now it would only be looking for a limited target, possibly 4 to six ticks. Perhaps a trailing 12 tick stop.

Seems to have a win % of over 51% and a profit much of the time, but some test periods do show losses.

Of course I would like to see other items recommended from the forum.

Perhaps we call the Bot: BestPractices.

Please feel free to eliminate my first suggestion with a better experience you can recommend.

Hope for your participation.


One last item, does anyone have a standard spreadsheet they use to analyze the results of the back test grid output?

First thing that comes to mind when I read that wiki page is this:

3. A good setup consists of DMAs, PPMAs and HFTs all indicating the same trend without being near obvious Support/Resistance levels (Camarilla Pivots)

that filter will probably take out half of your trades.

I didn't check out what Camarilla pivots are, but even if they seem dead simple, they will probably be a challenge to code.

what's your time-frame?

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  #25 (permalink)
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Adamus View Post
First thing that comes to mind when I read that wiki page is this:

3. A good setup consists of DMAs, PPMAs and HFTs all indicating the same trend without being near obvious Support/Resistance levels (Camarilla Pivots)

that filter will probably take out half of your trades.

I didn't check out what Camarilla pivots are, but even if they seem dead simple, they will probably be a challenge to code.

what's your time-frame?

Tried using the NT Wizard to add in the pivot item but it does not work so I cannot test it.

This suggested time frame is 1 minute. The 15 minute is simulated using 15 period of 1 minute.

I am not married to this initial set up. The idea is to get a consensus of type, period and indicators that many believe would work based on their best indicators. Maybe the strategy would be called Consensus.

By the way, we are in an anomaly period for the 6E with all this uncertaintly about Cypress, so do not think I am recommending any trade for Monday.

What would be your favorite scenario?


Last edited by jmont1; March 24th, 2013 at 05:35 PM.
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  #26 (permalink)
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jmont1 View Post
Tried using the NT Wizard to add in the pivot item but it does not work so I cannot test it.

This suggested time frame is 1 minute. The 15 minute is simulated using 15 period of 1 minute.

I am not married to this initial set up. The idea is to get a consensus of type, period and indicators that many believe would work based on their best indicators. Maybe the strategy would be called Consensus.

By the way, we are in an anomaly period for the 6E with all this uncertaintly about Cypress, so do not think I am recommending any trade for Monday.

What would be your favorite scenario?

I wouldn't recommend the 1 min time-frame for mechanical trading unless you got a great deal with your broker. I figured you'd be looking at 60 min bars until I saw you mention 15 mins.

This conversation has digressed from the thread topic so that I had to go back and check how it got here. It touches on various subjects that I'm interested in but to repeat what I said earlier in the thread, I don't think optimization is a good idea. For me, it's like hunting for gold with a metal detector. I think a successful mechanical system is invented rather than found. Was that in your plan or am I shooting wide of the mark here?

You can discover what your enemy fears most by observing the means he uses to frighten you.
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  #27 (permalink)
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Adamus View Post
Bob, if you let me throw in my 2 cents here, if you are comparing running your system mechanically with executing it manually...

Hi Adamus,

Of course I appreciate your comments. Sorry if I was unclear, but I was not suggesting that I wanted to replace a discretionary system with a mechanical one. In fact, I think trying to do that is a somewhat insidious form of our old friend, grail seeking behavior.

What I was suggesting is that I think it would be productive for me (and perhaps others) to use automation to develop trading ideas and get a feel for what works in the market. (And in that way avoid blowing smoke up my own butt that an untested idea is better than it actually is.)

This is hardly original. FT71 suggests “coin tossing” in his paid webinars, and Mark Douglas has similar suggestions in his videos.

AND as fate would have it, since reading your post, I also got an email from the Linked-In group "Trader, Trading & Risk Psychology" (which I like BTW) entitled:

We Suck at Probabilities


Timely eh?

If you click on it, it takes you to a discussion between Nassim Taleb and Daniel Kahneman. (Authors of The Black Swan & Thinking Fast and Slow respectively)

Does it get any better than this?!? I downloaded that sucker and put it on my MP3 player; it made some menial Sunday chores a lot more interesting. And I’m still mulling about how to incorporate “anti-fragility” into my trading.

The link above is to a blog post about the presentation. The presentation itself is here.

-Bob

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  #28 (permalink)
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Nice one, Bob. What an amazing talk. Watched the intro. That's going to be a great watch.

I bought Thinking Fast and Slow a couple of weeks ago along with Willpower and I started it, but realised that it was going to take ages to read it because it's got really small print and really thin pages ! Willpower is an easier conquest.

What I was trying to emphasise is that 'what works in the markets' in terms of automated trading systems is a different kettle of fish from what works for discretionary traders. An automated system can factor in any number of indicators, but humans don't just look at indicators, they look at a visual chart and their subconscious gives them a feeling about whether their prospective trade is worth the risk or not - and who knows how many different factors the eyes can subconciously find on a chart.

Admittedly there does appear to be a number of discretionary traders who literally obey their indicators, but they are few compared to the number of plain old traders who use their own judgement. Take this with a pinch of salt - I know of no statistics to back up what I'm saying, it's just what I gather from several years in the trade (hoho).

You can discover what your enemy fears most by observing the means he uses to frighten you.
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  #29 (permalink)
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ratfink View Post
Best advice heard this week. Simple truth is the lump of fat and water between the ears is still 1000X better at feature extraction than any hot silicon. Its not so much about having an edge as edge detection in the first place, minus all the illusions.

Unless your problem isn't your strategy, but the lump of fat & water between the ears getting in the way of your planned position entry/exit management In that case, it might not hurt to play around with auto trading.

Sort of like a bread maker, it does everything you've programmed it to. If you interfere, don't expect the programmed & tested result.

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