I'm a Software Engineer with trading experience and I'm looking for an experienced intraday trader with an edge in the market to partner with in order to fully use my existing automation trading framework (please do not reply if you don't have a real edge in the market and you just want to test if your idea is an edge). If you think your edge can be automated, please read below and let me know if you want to work with me as a Partner.
I've spent quite some time developing an intraday automation trading framework with NinjaTrader using OOP principles (Object Oriented Programming). The idea was to take advantage of code reuse and inheritance principles for tasks that you'll definitely need on each trade (order management, trade management, risk management, position size, price action reading on multiple timeframes, trading sessions, multiple trading instruments support, P&L, etc - please see below a description of the trading framework) and only implement the entries for specific custom strategies within the framework.
I'm using NinjaTrader for automation as it supports C#, has the capability to run a strategy/indicator on as many timeframes as you would like and also has the capability to record the markets tick by tick (with last bid/ask/close) and run in Market Replay mode to see how your strategies would have been doing in real time (I know the limitations vs real time - but it's way better than a backtest). Because of the above features, I only test intraday strategies in Market Replay mode as I subtract commissions and bid/ask spread before calculating any strategy profitability metrics (which will usually turn an intraday winning strategy into a losing strategy or in a break-even one). I use Interactive Brokers as my broker and I have more than a year and a half of intra-day tick by tick data for all major FX pairs (I've actually recorded those myself) and I also have 4 years of tick by tick data for ES, CL and NQ that I can use for intraday testing using Market Replay mode.
Please see below some of my intraday automation trading framework features:
- capability to run it on different instruments (Futures/FX) as it will adapt based on its tick/pip value
- custom unmanaged order management system with full checks in place for current bid/ask values to avoid order rejection: it has support for all order types
- full risk management implementation (based on some predefined parameters from input files - for example not risking more than 0.8% of your account on a trade, stop trading if during the last day we have a drawdown of 3%, stop if during the last week we have a drawdown of 5%, capability to define a maximum Portfolio Heat)
- dynamic position size (I'm a big fan of Van Tharp work and I've implemented an algorithm that is increasing the risk until a maximum threshold is reached during a winning streak and is decreasing the risk during a losing streak until a minimum threshold is reached based on an exponential function)
- capability to suspend trading and close positions before news events: input them into a parameter file from where they will be read by the framework
- capability to run strategies/indicators on three timeframes and read all the price action on those three timeframes to make trading decisions (the timeframes can be dynamically defined using tick charts or minute charts)
- capability to define Sessions windows when to trade, suspend trading or close positions that are opened
- trade management capability after you enter a trade based on dividing your position in three custom percent values (for example 50%/25%/25%) and manage them with profit target limit order or stop loss order based on each custom strategy requirements
- multiple brokers support with real-time computing of initial margin and maintenance margin requirements (it will not open a trade in order to avoid broker trade rejection if initial margin requirements are not met and will close open positions in order to avoid margin calls - requirements are defined per broker in input …