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Multi-instrument strategy
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Multi-instrument strategy

  #11 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,859 since Jun 2009
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To address your specific example, just add each instrument, as specified, but they all have to be on the same time frame as the primary instrument. So if you're trading AAPL on 5min bars, for example, and you also want to trade Intel, Cisco, Oracle, Microsoft, then you just add them in OnInitialize()

 
Code
Add("INTC", PeriodType.Minute, 5);
Add("CSCO", PeriodType.Minute, 5);
Add("ORCL", PeriodType.Minute, 5);
Add("MSFT", PeriodType.Minute, 5);
However, multi-instrument strategies are more appropriate when you want to trade one specific instrument, but you want to examine another instrument to make decisions, like trading SPY while watching the VIX.

Or, another typical scenario is if you want to examine or trade the same instrument but on a different time frame, like trade the SPY on a 15min time frame but decide when to enter/exit based on price action on the 3min time frame.

As for your example, I would just create one strategy for one insturument and then run multiple instances of the strategy, one for each instrument. This decouple's the strategies from trying to manage multiple instruments, which is more complicated, and just dedicates one strat per stock. Also, you can more easily backtest a group of stocks like the DOW 30 or the entire S&P 500 by just running a test across an entire instrument group without having to change code every time you want to test different instruments.

As far as looking for some examples, see the SampleMultiInstrument strategy that comes with Ninjatrader. Also, make sure you go through this topic on multiple instruments at NT's site a few times.


Last edited by shodson; July 3rd, 2013 at 05:46 PM.
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  #12 (permalink)
Elite Member
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Futures Experience: Intermediate
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@shodson Fantastic info, thanks! This is exactly what I was looking for including pointers on what to study next.

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  #13 (permalink)
Elite Member
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Futures Experience: Intermediate
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One of the big advantage on running a portfolio of symbols in the same strategy is that you can use portfolio statistics. For example, you can

1) Exit the strategy when the P/L reach a limit for all the symbols.
2) You can limit the number of trades for the entire list of symbols.
3) You can limit how much money the strategy will buy/sell.

If I had a portfolio of 100 symbols, would managing them in the strategy be difficult ? Sounds like a simple feature NT should have. Amibroker and Tradelink works at the portfolio level, not at the symbol level.

Anyone having any success with this ? Thanks.

Andy

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  #14 (permalink)
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Yes exactly, it's a definite missing feature in Ninja and it's not going to be in NT8 either. Guess they decided it wasn't in their interests to code it - maybe it was too much of a night to fit it into their application architecture, and not enough people demand it.

It is not difficult to code multi-instrument strategies. It's not a big deal at all if you already coding multi-time-frames, but it's not facile. You have to be rigorous and it's all extra work, compared to doing portfolio management through a GUI by using a mouse to select a portfolio of strategy-instrument pairs (which is presumably what NT's competition allows you to do).

You can discover what your enemy fears most by observing the means he uses to frighten you.
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  #15 (permalink)
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I found a solution to running multiple instruments strategy and using portfolio statistics. Run a simple strategy per symbol but have them all read/write to a shared text file. Thus, you can put portfolio type information into this file. Be very careful on how often and how much you read/write to this file. I was able to run a 200 symbols strategy with no problem.

Andy

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