Correlation trading multiple instruments

July 16th, 2010, 01:18 PM

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!

July 16th, 2010, 01:24 PM

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.

July 16th, 2010, 11:27 PM

MXASJ has also posted and done a lot of work in this on nexusfi.com (formerly BMT):

Correlation indicator (NT7)

I haven't checked it yet but some of you guys/gals may find it useful:

Correlation Indicator - NinjaTrader Support Forum (

Multiple non-correlating strategies or portfolio

What do you guys think about concurrently running multiple automated strategies that have a very low or negative correlation?

If you measure the performance of each strategy individually, and pay no attention to the impact it has with/against the other …

Search - Big Mike's Day Trading Forum

Mike

July 20th, 2010, 12:13 AM

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 ?

July 20th, 2010, 12:30 AM

Darshiit

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.

Correlation trading multiple instruments

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Correlation trading multiple instruments