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Strategy creating 95%-100% winning trades


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Strategy creating 95%-100% winning trades

  #71 (permalink)
 
monpere's Avatar
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
Posts: 1,854 since Jul 2010
Thanks Given: 300
Thanks Received: 3,371


monpere View Post
EnterLong() has a BarsInProgress parameter, but SetStopLoss() and SetProfitTarget() do not. So, do you have to do the following?

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...SetStopLoss();
...SetProfitTarget();
}

or do I have to code the stop/target logic myself like:

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...if ( Close[0] == myStopPrice ) {...}
...if ( Close[0] == myTargetPrice ) {...}
}


baruchs View Post
I never use SetStopLoss() and SetProfitTarget(). Don't understand what they are good for.
I use Exit...
Baruch

Ok, I see these have BarsInProgress param. Are you saying I should just use the following in the BarsInProgress==0 pass?:

{
...
EnterLong(1,...);
ExitLongLimit(1,...);
ExitLongStop(1,...);
...
}

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  #72 (permalink)
 baruchs 
Israel
 
Experience: Intermediate
Platform: NinjaTrader
Broker: pfg
Trading: eminis
Posts: 323 since Jun 2009

Yes, you can use them in BarsInProcess==0 or if you need to recalculate them on a smaller time series then use them in BarsInProcess==1.

baruch

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  #73 (permalink)
 
monpere's Avatar
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
Posts: 1,854 since Jul 2010
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baruchs View Post
Yes, you can use them in BarsInProcess==0 or if you need to recalculate them on a smaller time series then use them in BarsInProcess==1.

baruch

Do you guys use the BarsInProgress == 1 logic only for back tests, and have different code for live market? or do you use it both for backtests and also running the strategy with current market? In other words, do I need to separate that logic with "if (Historical){...Backtest logic...} else {...Live Market logic...}" ?

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  #74 (permalink)
 pakricard 
Indonesia
 
Experience: Beginner
Platform: NT
Trading: FDAX
Posts: 29 since Jan 2011
Thanks Given: 13
Thanks Received: 18


baruchs View Post
Hi Pak,
You can search in NT forum.
But its easy:
1. In Initialize - Add new time frame
2. In OnBarUpdate - now ninja runs twice through it. Once on BarsInProgress == 0 and once on BaesInProgress == 1.
Just put the code in the right place.
Like entries in "0" and stop and profit in "1".

Baruch
p.s.
You do it with EnterLong(0, true.....)
or EnterLong(1, true.....)

Hi Baruch:
I enter with:
SetStopLoss(myName, CalculationMode.Price, PriceStopLoss, false);
SetProfitTarget(myname, CalculationMode.Price, PriceTarget);
CodeOrder = EnterLongLimit(0,true,1,PriceIn,myname);



baruchs View Post
I never use SetStopLoss() and SetProfitTarget(). Don't understand what they are good for.
I use Exit...
Baruch

I think the main advantage is they are place at the market at the same time the Enter does. So if a Internet disconnection occurs, or my computer gets stuck or... the orders are alive at the market.
What would happen if you execute the EnterLongand internet gets desconnected just before the stoploss should be executed with Exit?

Thanks,
Pak

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  #75 (permalink)
 baruchs 
Israel
 
Experience: Intermediate
Platform: NinjaTrader
Broker: pfg
Trading: eminis
Posts: 323 since Jun 2009


Quoting 
I think the main advantage is they are place at the market at the same time the Enter does. So if a Internet disconnection occurs, or my computer gets stuck or... the orders are alive at the market.
What would happen if you execute the EnterLongand internet gets desconnected just before the stoploss should be executed with Exit?

Hi Pak,
I enter the stop and profit orders immediately after the entry is executed. The advantage of using them with IOrder is that you can change the price whenever you like. So the stoploss you move to breakeven and to trailing stop and the profit you can move also if you need. Also they are put in the right place. That means that if you entered the trade at different price because of slippage you place the stop and profit target at correct places.

Baruch

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  #76 (permalink)
 
monpere's Avatar
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
Posts: 1,854 since Jul 2010
Thanks Given: 300
Thanks Received: 3,371


baruchs View Post
Hi Pak,
I enter the stop and profit orders immediately after the entry is executed. The advantage of using them with IOrder is that you can change the price whenever you like. So the stoploss you move to breakeven and to trailing stop and the profit you can move also if you need. Also they are put in the right place. That means that if you entered the trade at different price because of slippage you place the stop and profit target at correct places.

Baruch

I think you can move your stop loss with SetStopLoss()

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  #77 (permalink)
 pakricard 
Indonesia
 
Experience: Beginner
Platform: NT
Trading: FDAX
Posts: 29 since Jan 2011
Thanks Given: 13
Thanks Received: 18


baruchs View Post
Hi Pak,
I enter the stop and profit orders immediately after the entry is executed. The advantage of using them with IOrder is that you can change the price whenever you like. So the stoploss you move to breakeven and to trailing stop and the profit you can move also if you need. Also they are put in the right place. That means that if you entered the trade at different price because of slippage you place the stop and profit target at correct places.

Baruch

Hi Baruch:

Thanks for your clarification. I'll test it straight away ;-)
it's just great to learn from people with more experience willing to share it!

Pak

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  #78 (permalink)
 pakricard 
Indonesia
 
Experience: Beginner
Platform: NT
Trading: FDAX
Posts: 29 since Jan 2011
Thanks Given: 13
Thanks Received: 18

Hi: did some tests with MultiTimeFrame in Ninja and worled out OK. Pls check for details.

Obviosly, the 99% winning trades went way lower :-( but now it's more realistic

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  #79 (permalink)
 buzzsaw 
Leesburg, VA
 
Experience: Advanced
Platform: NinjaTrader
Posts: 80 since Aug 2010
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sefstrat View Post
Just to show you its possible..

This strategy is somewhat naive in that it could be making a lot more profit with a lower win%. It is only taking scalp orders with relatively tight MM, if I enabled the swing orders the win% would go down but profit factor and overall profitability would go way up. (disregard the fact the orders are labeled swing on the chart, its a bug..) I posted details about my MM system on another thread yesterday if you are interested..

Note that I do not trade this exact strategy live but I do trade others very similar to it and the results are valid, its not a ninja backtesting bug =)

(in real trading my win% is low 90s, but win% is irrelevant really.. only profitability and stability matter (stability means low, consistent drawdown, no outliers))

Edit: added another image of the chart from this backtest.. you can see that it is able to isolate tops (and bottoms) very nicely


Is the morphological wavelet displayed in the images available?

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  #80 (permalink)
 illumination 
Hong Kong
 
Experience: Advanced
Platform: MT4
Trading: GBPUSD
Posts: 1 since Mar 2012
Thanks Given: 0
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Thanks to everyone who contributed to this thread for your posts. I learned a lot just from reading them.

Has anyone pushed the issues with backtesting in NT for their next release? If not, please post your wish (a one liner if possible) that I can then compile into a master list and send it of to our friends at NT, and see if they can put our ideas into release 8.

If someone has done this already, please let me know.

Good Trading everyone.

J.

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