I would appreciate your opinion. Could this be marketable?
I’m a swing trader and work with automated strategies in NinjaTrader. During last year I have developed some tools for my trading, and as they are really useful for me I wonder if it’s therefore worthwhile to make a commercial version. I’d like to say a little about how the two main tools work.
The first one is an objective function configurator. In NinjaTrader there are few options: max. profit factor, max. win/loss, etc. Very few and very simple. I apply gaussian filters, averages and other maths over several statistics. I test different variations of an objective function with the same strategy to pick the values with the best performance from the optimization space.
The second tool is an “automator”. How to know which instrument, bar size, optimization period, objective function parameters… fits better with your brand new strategy? You can test manually of course, which means days stuck to your desk doing automatic tasks… or you could better tell NinjaTrader test a number of variations. Then you get the results nicely formatted in a spreadsheet. My 4 virtual machines on a 4-core i7 make from hundreds to thousands of walk-forward analysis a day, depending on the complexity of the strategy.
I would appreciate your opinion. Do you find anything I said useful for you trading, might it be worth working in a commercial tool?
Last edited by pintope; October 31st, 2014 at 01:43 PM.
Hmm may be ..if that's what you wanted to . But I hope your automated strategy makes profits good enough so that you may be willing to share it here . futures.io (formerly BMT) is a great community because lot of members create programs and ideas and and share here for the benefit for the community.
The following user says Thank You to edassery for this post:
well, I do hope my strategies performance will improve over time, but for now I’m more focused on making a living with programming. Anyway I’m a newcomer to BTM, over time I’ll contribute value to community
The following user says Thank You to pintope for this post:
For now the process needs a bunch of C# files to be copied to “NinjaTrader 7\bin\Custom\Type” folder and one strategy to be compiled. Apart from installing the app. If I’d decide to program a commercial version, I’d do my best to simplify the installation process.
I agree with you, the first one is basic. When you visually study the optimization space (this could be a third app) you realize the best parameter set does not match with that which gives the best performance (best profit factor for example). A custom objective function is needed.