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Questions on building an indicator/strategy

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Questions on building an indicator/strategy

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  #1 (permalink)
San Diego, CA USA
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
GridKing's Avatar
Posts: 3,650 since May 2011
Thanks: 584 given, 881 received

Hey all, thanks in advance

I am very new to programming so not really sure about what needs to be considered in the process of building a strategy/system/indicator from scratch so I'll just throw out some of the things I would like to consider including and would really appreciate advice on how to go about it and some technical assistance as well.

I have a basic starting point using $Tick and a MacD signal based on 30 second period , using CME U.S. index futures RTH , i manually selected these , the only code is the macd and signals , I would like to add some things to it but not sure where to draw the line at creating a separate indicator or if they can work together etc.. I also don't know how to work from a different data series too combine data, I did read up on add data series to add an instrament behind the scenes and have been able to plot the second dataseries , but don't really know how to work from one to the other -
I would like for example to have a signal generated on the ES data series with the price at time of $Tick signal/Macd is generated and place a marker for a 2 point stop marking both points -- (using line on close for $Tick)

I would also like to try to create a more detailed signal that when first signal is generated that it would look for a combination of a higher price and lower $Tick in the bars moving forward from the signal if possible - and reverse

Further I would like to find a way to include a 3 day sma of daily pivot and weekly pivot to use as a trend signal for minor and major as shown in Trend Trader's page The Pattern Trapper - Weintraub Trend Trader Explained

The short term trend is a three day moving average of the Daily Pivot = 3x1
The long term trend is the Weekly Pivot = 7x5

Price > than 3x1 and 7x5...Buy
Price < than 3x1and 7x5... Sell
Price > above 3x1 but < 7x5...minor buy
Price < below 3x1 but > 7x5...minor sell.

and finally I would like to call on prior day ohlc (of ES not primary data source $Tick)and today's ohl to establish rules that would define to use high or low of previous , to high or low of current and draw a fib retrace auto

I would like to know what is the best way to tie all of these things together and what are some of the considerations that need to be thought of as I run into different time.periods etc.. and I am having trouble understanding how to reference pivot and how to create a moving average of pivot or should I just be able to input those numbers manually or ??

And I don't know how to go about producing a signal on ES that is in ES data price and not based on the $Tick value

thanks for any help and advice

The signals in middle panel are only coded - the signals in bottom panel I would like to code

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  #3 (permalink)
San Diego, CA USA
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
GridKing's Avatar
Posts: 3,650 since May 2011
Thanks: 584 given, 881 received

thanks, not sure where to put

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  #4 (permalink)
Austin, TX
Experience: Advanced
Platform: TradeStation
Trading: Futures
Posts: 882 since Mar 2011
Thanks: 124 given, 701 received

The fastest way to learn to code is 2 fold.

Obviously you can buy or find free training courses and reference material, and I would recommend that.

The second part, is to learn to do like the Chinese do and simply reverse engineer code that's already been done for you.

I highly recommend spending a couple of hundred dollars and having a professional code out EXACTLY what it is that you're wanting to achieve. THEN, you can see exactly the approach, simple methods, syntax, etc that professionals use.

If you have specific questions and what not, there's several people in (formerly BMT) that will help you. OR if you're patient, you can work through the code and progressively ask questions.

However, as I stated, the quickest way is to learn from other people's considerable work/effort and see their craft already laid out.

I can now do in a few minutes what took me hours to do before. Much of that was simply learning not from textbooks or courses, but from a growing list of "tricks" and "methods" for various parts of a strategy or indicator.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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  #5 (permalink)
San Diego, CA USA
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
GridKing's Avatar
Posts: 3,650 since May 2011
Thanks: 584 given, 881 received

Thanks , I can learn it , I just was hoping for some hints if there is anything in there that is not worth the effort of figuring out , or if there is anything mentioned that should be seperated and not tied together , if coding or otherwise is possible for a moving average using pivot data as i was unable to produce this manually through indicator panel but maybe just wasn't enough data available

hopefully come up with more specific questions as time moves forward , thanks

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