|June 1st, 2010, 10:08 AM||#1 (permalink)|
Futures Experience: Intermediate
Platform: NinjaTrader, Metastock
Favorite Futures: ES, DAX
Posts: 8 since May 2010
Thanks: 5 given, 6 received
Just when I was thinking about trying to run something 'automatically in NT', I get this error message that is attached. This is bl**dy irritating!!
NT was still up though but this popup message will not go away unfortunately so I have to post 'my results' a little differently now.
Since NT did not crash fully, I was able to screen print 20000 + minute bars of data generated by the simulator the last 3 to 4 weeks on the DAX I copy pasted all the trades in the last tab of the excel.
luckily for me, I have been monitoring the trade results every day since the last weeks so the results still there.
The basic trading idea is a volatitility breakout from a temporary consoliation area, taking out previous highs or lows but with an acceptable and logical stop loss limit. The volatility is measured using Average True Range and this indicator is alos used for target setting.
Part of the data on the results tab was downloaded using the output window including the :
1 trade number
2 long or short
3 Close of the signal bar
4 Average True Range indicator value (20 bars)
The approach I have taken is to first test a trading idea in Metastock since I have been exposed to Ninja Trader and its C# programming language only since 2 months or so. I have struggled quite a bit but I was able to create a paint bar study and to mark trading signals using arrows & numbers based on my own indicators.
I used previous sim data to fine tune the entry signals. After completion, I reset the sim mode and go for it again, monitoring & registering a minimum of a 100 trades going forward to try & understand the following:
1) what is the win loss ratio would be
2) if the stop loss level setting idea would be appropriate (see stop loss tab in excel for details)
3) if the initial profit target setting method is robust enough (see profit target setting in excel for details)
4) find out the profit potential (Maximum Run-up by my definition) is for each profitable trade is to incorporate a second contract as a runner during an entry signal (see Atr Trailing tab for Max Run-Up Definition in the attached Excel )
5) not too many trades triggered per day (prefer 2 per day)
I did not have any back test data so this was my only method to get something going. The good thing about it is that you cannot curve fit anything on the past data. Also, it lets you live the trades immediately after you have put something in place and I like this type of 'feedback' since it will give you some time to think about improvements along the way.
The 'bad' thing with this particular method is that the simulator runs 24 hour trading market on the Dax which is not the case in real time off course. Opening price gaps are missing now and this could potentially influence the results.
I also have the exact same settings running on the ES and CL 1 minute data and the results looked pretty good there as well. Unfortunately the Ninja Crash has now spoiled the opportunity to do more in-depth analysis.....
I have detailed out what the entry & exit signals are for this particular idea + the method of setting stop loss & profit target.
Hope that by sharing this, people are able to comment on the method and may be help me a little in back testing this thing on historic data since I seem to be struggling here a bit as well.
Could be that this post is better placed on a different thread but this I leave to the Admins to arrange.