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Strategy Wizard for Non-Programmers NO CODE
Updated: Views / Replies:4,574 / 37
Created: by jmont1 Attachments:21

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Strategy Wizard for Non-Programmers NO CODE

  #31 (permalink)
Market Wizard
New York, NY
 
Trading Experience: Intermediate
Platform: NinjaTrader8
Broker/Data: Data = Rithmic -- Gives 70 Level II Data
Favorite Futures: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 975 since May 2011
Thanks: 1,435 given, 659 received

Auto or fail


Fugitive69 View Post
It's very early yet and I'm testing 3 different approaches. Maybe by Monday I'll have something more concrete to share.

Oddly enough I can do quite well on the longs but can't get to first base on the shorts. Very intriguing.

But that's OK since my primary goal above all others is to ensure I am able to reproduce on a live chart what I see on the Strategy Analyzer. Otherwise I'm just spinning my wheels. In the mean time I'm receiving on heck of an education so it definitely feels like a win win.

@Fugitive69, realize your data is scaled to longs. Any trading that does not go back to about 2004 (?) is going to be long. 2008 till now has been a major bull run.

Do see that your V4 seems almost exactly a 10% drop from V3 - I have not had time to look at the code. But will leave the indicator out of my strategy till U settle it. I am using the basic PSAR with its original settings. Will probably try some of your fast/slow #s eventually.

My strategy that using "index" of multiple somewhat correlated moves is working pretty well. Unfortunately I now see the DX ($US) is a pretty quiet instrument with small ranges for a large part of the day. Then it can move in big spurts. So by the time I see it is moving - it is past me - thus the need for automation.

Also see that the driver of 6's currencies is not DX but Euro (6E.) Not sure how that can be but DX trades in 2 to 7 contracts and 6E in larger lots. This really means I need better items like GC or similar. Pound (6B) is also trailing so it did not work well.

A good feature is it takes a lot of trades and more profit than loss. The bad side is I cannot find a strategy that eliminates the losses without also getting rid of the wins.

My history has pretty much proven I cannot trade manually due to widening stops and chasing break outs. So I have to automate or fail.

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  #32 (permalink)
Elite Member
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 60 since Jul 2018
Thanks: 26 given, 37 received


jmont1 View Post
[MENTION=104511]My strategy that using "index" of multiple somewhat correlated moves is working pretty well. Unfortunately I now see the DX ($US) is a pretty quiet instrument with small ranges for a large part of the day. Then it can move in big spurts. So by the time I see it is moving - it is past me - thus the need for automation.

I dug through my old notes but came up empty. The closest thing I found was a paid heatmap indicator which I never tried. Don't think it would work in a strategy anyway. Sorry, gave it a shot.

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  #33 (permalink)
Elite Member
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 60 since Jul 2018
Thanks: 26 given, 37 received



jmont1 View Post
[MENTION=104511]My history has pretty much proven I cannot trade manually due to widening stops and chasing break outs. So I have to automate or fail.

Boy ain't that the truth. Although I don't yet have a strategy I'm willing to use on a real account there is no doubt strategies choose better entry points than I am able to perform manually.

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  #34 (permalink)
Market Wizard
New York, NY
 
Trading Experience: Intermediate
Platform: NinjaTrader8
Broker/Data: Data = Rithmic -- Gives 70 Level II Data
Favorite Futures: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 975 since May 2011
Thanks: 1,435 given, 659 received

Read first page update for this strategy

Just updated the first post with the information I wanted to go with this strategy. Then system would not let me add the strategy. So it is being added here but read bottom of first post "U P D A T E" for notes.


@DavivdHP, not sure if you are the only one that got the previous file. Most leave a thanks so I expect just you.

I was not sure if the range indicator was causing a problem when running market replay so for now I took it out. Unfoortunately the minmum and maximum range did make the strategy slightly better. So I will try to find another method to avoid chop and break outs.

For now this is a good version to try and improve on = it does like 20 trades a day so we need to find a way to eliminate the losses without losing the wins. Remember you can manage the times to start to eliminate many of the trades. And if you have more than one time of day then just copy the L2 & S2 and change the name of those times or hard value them.

Good Trading All !!!


Last edited by jmont1; December 9th, 2018 at 08:39 PM. Reason: Changed the strategy
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  #35 (permalink)
Market Wizard
New York, NY
 
Trading Experience: Intermediate
Platform: NinjaTrader8
Broker/Data: Data = Rithmic -- Gives 70 Level II Data
Favorite Futures: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 975 since May 2011
Thanks: 1,435 given, 659 received

Euro/US (6E,) US Dollr (DX.) & ES correlation

Three(3) or more instruments to correlate an entry. 30 second bars for all and 150 seconds (2 1/2 minutes) for the chart. 30 second bars allow for five(5) bars occurring for each chart bar. Strategies cancel trades if they are not entered in the initial bar. Any help you can provide to eliminate losses would be appreciated. Please post in this Strategy Wizard thread: https://futures.io/ninjatrader/24294-strategy-wizard-non-programmers-no-code.html#post278824

There are multiple offsets such as no long too close to HOD. CCI added but not core to strategy. Remember that although you will not see the other 30 second instruments on the chart you can use indicators on them to restrict some entries, i.e... range > xx Or 6E CCI above 0.

Long1 and Short1 are initial trades to start the strategy and may not need all the elements of L2 and S2 which do not take initial trade and in base trading setup will not trade a second time on the exit bar.

Maxbar & minimum profit will close the trade if it has run to the max time 2 1/2 minutes X 6 = 15 minutes /// and the minimum profit says value must be higher ($15) or close the trade.

Currently testing using ES 12-18, 150 Second chart, target 11 and trail stop 25. BE WARNED BACKTESTING CAN BE VERY LONG SO START WITH JUST A COUPLE OF DAYS OR YOU MAY THINK IT IS NEVER GOING TO COMPLETE.


Finances seem to work on the twelve duodecimal system rather than ten decimal system. So my target is eleven just under the 12 and stop is just above 24. These may be ridiculous choices but it is a starting point. Plus if this strategy is more effective then the code will be broke and an ATM will replace the trail stop.


11 tick profit on 10.00 or 12.50 instruments is pretty good but a bit small for 6.50 instruments.

Running Strategy Analyzer without tick replay has drastically worse numbers than with tick replay. NT Support states that Tick Replay is not meant to improve reliability of the entries so will be interesting to see how close a live trade comes to either of those analyses.

PLEASE give me any feed back on trying to improve this basic strategy that back tests pretty well.

Realized that this is being posted at roll over so it would not work real time for Monday's instrument so taking it down for now to figure how to update it.
Updating a strategy Builder strategy to the new roll over dates may not be possible in Strategy Builder. If the instruments with dates, i.e... 6E 12-18, is used anywhere then you would need to remove all those references, update the new instrument date, then redo all of the references which could be many.

Instead open the strategy using Notepad. Do a find/replace with the new dates. Compile the new file in NT8. I had asked NT Forum for a solution on this and they said there were none - but this works.

In that same vein if I know I like the standard indicators with certain minimal changes for the chart like colors or hash instead of line - use the remove the "@"sign and then Notepad to make the changes.

NEW ROLLED OVER FILE ATTACHED.

Attached Files
Register to download File Type: cs a6dxesCCI.cs (816.9 KB, 6 views)

Last edited by jmont1; December 15th, 2018 at 12:37 PM. Reason: Replaced file with new rolled over contracts
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  #36 (permalink)
Elite Member
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 60 since Jul 2018
Thanks: 26 given, 37 received

Incorporating ATM Into Strategy Builder

I've learned a few tips and tricks the hard way and will post some of those on this thread in hopes of saving others from spending hours searching for answers.

Found this on the NinjaTrader site in their support section.


Quoting 
ATM Strategy functions do not operate on historical data therefore they cannot be backtested through the Strategy Analyzer.

If you wanted a NinjaScript strategy that allowed you to setup Stop Losses and Profit Targets that could be backtested, and thus optimized, you would drop the use of the ATM Strategy functions and implement the Managed Order Approach in your NinjaScript Strategy.

You can find details on the Managed Order Approach at the following link:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?managed_approach.htm

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  #37 (permalink)
Elite Member
Austin, TX
 
Trading Experience: Intermediate
Platform: NT8
Favorite Futures: EU, SP, Crude CL
 
Posts: 60 since Jul 2018
Thanks: 26 given, 37 received

Historical Data To Excel

Tools --> Historical Data

Ninja allows you to export to Excel an hour's worth of tick data at a time. It makes for an interesting exercise, worth performing at least once. You basically drill down to a particular day then select the hour you want to export.

Once you click on the hour the data is loaded into the right hand pane. Then simply right click to export - you can choose Excel or a text file. The results might surprise you - they did me.

Attached Thumbnails
Strategy Wizard for Non-Programmers NO CODE-historicaldatatoexcel.png  
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  #38 (permalink)
Market Wizard
New York, NY
 
Trading Experience: Intermediate
Platform: NinjaTrader8
Broker/Data: Data = Rithmic -- Gives 70 Level II Data
Favorite Futures: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 975 since May 2011
Thanks: 1,435 given, 659 received


jmont1 View Post
Three(3) or more instruments to correlate an entry. 30 second bars for all and 150 seconds (2 1/2 minutes) for the chart. 30 second bars allow for five(5) bars occurring for each chart bar. Strategies cancel trades if they are not entered in the initial bar. Any help you can provide to eliminate losses would be appreciated. Please post in this Strategy Wizard thread: https://futures.io/ninjatrader/24294-strategy-wizard-non-programmers-no-code.html#post278824

The original plan is at the post above. DX was not as direction critical as had hoped. And feel that many F.io members would not participate if DX instrument was needed. So now trying to use 6B, 6E and ES in this version. The base version is here. PLEASE add options to decrease the losing trades more than it decreases the wining trades.

PLEASE BE AWARE THAT SINCE IT IS USING MULTIPLE INSTRUMENTS AND TIMEFRAMES IT CAN TAKE TIME TO LOAD. So if you cancel mid day you might miss a trade while loading.

Strategy analyzer: PLEASE be sure to check the Tick Replay to get what appears to be the correct trades - but no guarantees of real trading results.

First version with LOTS of trades a6BEEST3

Second more complex version with less trades but still about the same percent so killed bad and good. a6BEEST3v1

Probably best to start with these running in SIM and then attempt to enter at about the same place if you like the entry. Caution that there are auto exits if this runs for too many bars without a profit. So if you use the Bot for entry, then kill the trailing stop losses thinking you are in total control - the strategy needs to be stopped. Otherwise it might take you out on its own.

Hope you participate.
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Above, one is run as it should be with 150 second ES, the other is 30 second so many more trades.

But then realized what should really be shown is both running 150s so you can see with this one original on left and V1 on right.
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Attached Files
Register to download File Type: zip a6BEEST3.zip (67.3 KB, 3 views)
Register to download File Type: zip a6BEEST3v1.zip (91.6 KB, 4 views)

Last edited by jmont1; January 8th, 2019 at 02:35 PM.
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