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What worked?
Started:November 23rd, 2009 (12:30 PM) by statarb1 Views / Replies:941 / 0
Last Reply:November 23rd, 2009 (12:30 PM) Attachments:0

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What worked?

Old November 23rd, 2009, 12:30 PM   #1 (permalink)
Just starting out...
ellicott city, maryland
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: BarCharts,LightSpeed
Favorite Futures: stocks
Posts: 2 since Nov 2009
Thanks: 0 given, 1 received

What worked?

Hello everyone. I am interested in finding out what has worked and generating this so all of us can see what would have been the optimal strategy to trade the following markets:

(1) ES - S&P500
(2) CL - Crude Oil
(3) TY - 10 year bond

Let's say using 1 minute bars over the last 60 days. If we use ticks data and more days, it could take a long time to generate.

Now, the question I have is how can I do this in Ninja-Trader. Note that I'm not a C# programmer so will need some input/help here. It seems like the Optimizer can show you for a given indicator and an array of parameters, what would have been the top historical performance by max. profit factor (could someone tell me what this is, I've been trained to look at max sharpe ratio but don't see it here).

But, if you try to compare two indicators, like MACD and BollingerBand, you can't do it, can you? It seems like you need to output each to Excel and then sort the results, right? Could someone gently show me how to do it? Better yet, could someone help me automate this?

Well, any how I thought generating this for all would be interesting. I'm open to learn more about what indicators should be used and how to output this so that we all can see it, in a meaningful way.

Stat Arb Trader 1

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