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VIDEO TUTORIAL: How to create an advanced NinjaTrader Strategy
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VIDEO TUTORIAL: How to create an advanced NinjaTrader Strategy

  #21 (permalink)
Elite Member
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I just ran MyMoneyMaker_BigMike in the Optimizer. I'm not positive of what I see in the
attachment (included). Is the 1L, 2L, 3L in the 'executions' what one would expect? I'm thinking
that 3L means there are 3 long contracts in the market. I thought the strategy would only allow
one long (or short) at a time. (I'm extremely new to the Optimizer.)

- Stephen

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VIDEO TUTORIAL:  How to create an advanced NinjaTrader Strategy-positions-backtest.jpg  
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  #22 (permalink)
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I don't know if this thread is still active or not. If anyone wants to comment that's fine.

From post #11:

Hi Mike,

Thanks for the video Just wondering if you could explain your comments on why this particular optimization gives positive results but isn't actually profitable. I have only done a little optimization (on a different trading platform) and I'm wondering what is the point of optimization if the results can be so varied?

Would your next step be to forward test an optimized strategy to ensure it works? Just interested in your work flow.

TIA
There are a few reasons.

1) Not enough backtesting data. You need to really backtest for > 1 year, in my opinion.



I'm don't like moving averages in general, but if someone used a system that was backtested with moving
averages, and it was found to be profitable over the last, let's say 13 weeks (quarter year), then why wouldn't
optimizing it daily, always looking back 13 weeks (ie. 65 trading days) work to keep the system profitable?

- Stephen

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  #23 (permalink)
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It seems I'm having trouble fully understanding the code of the video. The attachment
enclosed (YM) shows a long trade taken that was profitable and unprofitable at the same time.
One can see the green dots and red dots. I think I'm making a basic mistake regarding understanding
order placement and or quantity.

I thought the profitable long trade entered at the beginning of the day would be exited much much sooner.
Or maybe it is??

- Stephen

Attached Thumbnails
VIDEO TUTORIAL:  How to create an advanced NinjaTrader Strategy-image-july25.jpg  
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  #24 (permalink)
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stephenszpak View Post
It seems I'm having trouble fully understanding the code of the video. The attachment
enclosed (YM) shows a long trade taken that was profitable and unprofitable at the same time.
One can see the green dots and red dots. I think I'm making a basic mistake regarding understanding
order placement and or quantity.

I thought the profitable long trade entered at the beginning of the day would be exited much much sooner.
Or maybe it is??

- Stephen

Hi,

It's because there is more than one target...

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #25 (permalink)
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Ok. What I thought was happening was that the stoploss became a breakeven stop which
later became a trailing stop. Are you saying that all 3 stops are setup from the get-go? With
each one relaying off to the next? which is what seems to be happening here as I look more closely.

Also, it seems that if the system is long, it will not go short even if the 3 moving averages are
falling, IF none of the stops have been triggered. Is this correct?

Thanks for the previous reply,

- Stephen

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  #26 (permalink)
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stephenszpak View Post
Ok. What I thought was happening was that the stoploss became a breakeven stop which
later became a trailing stop. Are you saying that all 3 stops are setup from the get-go? With
each one relaying off to the next? which is what seems to be happening here as I look more closely.

Also, it seems that if the system is long, it will not go short even if the 3 moving averages are
falling, IF none of the stops have been triggered. Is this correct?

Thanks for the previous reply,

- Stephen

I'm sorry, I don't recall the particulars of it and no longer have it and don't do any NinjaTrader programming any more. My suggestion is to look at the Hurley thread, there are hundreds and hundreds of replies with advanced order management, break even stops, etc. You will learn a lot from the thread, just take some time and read through it.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #27 (permalink)
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Thanks. Can't hurt. Might help.

- Stephen

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  #28 (permalink)
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Can you do the same for multicharts :-)

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  #29 (permalink)
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Big Mike Optimization

Excellent video.. I wonder why Ninja would not post something similar to help their users. lousy support.

One question, you used your own parameter to optimize on. Is it something I can download and use? Thanks much

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  #30 (permalink)
TruthSeeker
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_mike_preferred optimization method


Mike in this video warn about using the default optimizer and used PH Generic and used his own parameter called _mike_preferred. I searched the forum to find this to download but no success. How can I implement this for my own optimization? Side note: I tried simple optimization for 2 month data, NT7 crashed. I have used my notebook without any upgrades. Is this typical. I am travelling now and this is what I have access to.


Thanks much. I am in the process to upgrade to elite but my paypal acct have been inactive for years. working on it.


Big Mike View Post
In this video tutorial I show how to create a strategy from scratch (not using the wizard, which I never use).

The strategy contains a few optimizable parameters such as SMA length, EMA length, HMA length, three different targets with custom tick settings on each, a stop size, and the option to move target 2 to breakeven after target 1 is hit, as well as move target 3 to breakeven after target 2 is hit.




The strategy is just an example! It took all of 10 minutes to write. Even though it says it made 20k in 90 days over 700 trades, it will likely fail going forward. Simple strategies are usually best, but this one is too simple to work fully automated. Most strategies I write for customers take me hours of work (this one took 10 minutes), so don't just go and copy this strategy and expect good results.

Instead, I created this so you could get your feet wet and learn some of the basics of a more advanced strategy than what Ninja includes with the base install. I also created it so if someone shows you backtest results where it makes tons of money, you can see just how easy it is to produce those results.

Also, don't forget that optimizing based on net profit is virtually worthless. I've spent two years tweaking my custom optimizer type and it considers everything you can imagine such as balanced longs/shorts, trade counts, commission costs, profit factors, expectancy, trade duration, and a bunch of other stuff I don't want to go into because I am not giving it away.

With the normal drop-down list of optimizer types in NT, you don't want to just pick the result that shows the most net profit. You should factor in as many other variables as you can. Unless you're going to do what I did with the custom optimizer, the easiest way is to dump the results to an Excel spreadsheet (feature is built-in to NinjaTrader) and then work some analysis there.

Mike


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