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Correlation trading multiple instruments
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Correlation trading multiple instruments

  #1 (permalink)
Just starting out...
East Windsor, NJ
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: CL
 
Posts: 5 since Jul 2010
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Correlation trading multiple instruments

Hi,

I've been thinking about calculating correlations accross futures (ES, TF, NQ, CL, 6E, 6B, GC, SI and ZS) and along with PA, design entries, position sizing and targets/stops.

But before I spend a lengthy amount of time trying to program this, I wanted to see if there's anyone who's attempted this, or whether anyone has any thoughts on the topic, tips would also be appreciated!

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  #3 (permalink)
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I remember that kdoren and NinjaTrader Tim have coded some correlation indicators. You could check them under downloads of this forum or the NinjaTrader Forum.

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  #4 (permalink)
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MXASJ has also posted and done a lot of work in this on futures.io (formerly BMT):

https://futures.io/platforms-indicators/2437-correlation-indicator-ninjatrader-7-a.html

https://futures.io/psychology-money-management/3411-multiple-non-correlating-strategies-portfolio.html

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  #5 (permalink)
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My question is , is Ninja capable enough to trade Data Series 2 or 3 other then Data series 1 ?

In multicharts its not supported as of now. But I've been promised by MC support that they will look into it n will introduce trading on multiple data series at a single time. That could be handy for pair trading.

does NT7 support such thing ?

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  #6 (permalink)
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Darshiit View Post
My question is , is Ninja capable enough to trade Data Series 2 or 3 other then Data series 1 ?

In multicharts its not supported as of now. But I've been promised by MC support that they will look into it n will introduce trading on multiple data series at a single time. That could be handy for pair trading.

does NT7 support such thing ?

Yes. There are the begginings of a pair and spread trading strategy code in the Elite Trading Methods section. Myself and another user started seperate threads but with similar ideas.

Some Assembly Required.

I've stopped the development of my two-instrument code until a few things are fixed in NT7.

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