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In AutoTrading is a phantom (dummy) contract and a live (replay) contract possible?


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In AutoTrading is a phantom (dummy) contract and a live (replay) contract possible?

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  #1 (permalink)
Green Bay WI
 
Experience: Intermediate
Platform: NT
Broker: AMP/CQG
Trading: 6E
 
rpm123's Avatar
 
Posts: 321 since Apr 2010
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I've played with a number of bots, mostly simple SAR ones that do not make money, but they still show a positive # of ticks on a high 80% of trades before moving adversely. I.e., very few trades are entered at the top or bottom of the move (except in the worst chop). So naturally I add a target and stop loss to catch the initial surge and limit my downside. But then, of course, the simple algo increases the total number of trades, and I am worse off than I started.

So my question is, can a bot have that first contract not actually trade live (or replay), but be used as a signal to the second contract to enter live (replay), the second contract having the stop loss/target requirements on it, but the second contract, after closing out, would not take another action, until the first contract signaled it again?

Is this a common mis-perception of trade analysis or am I on to something here?

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  #3 (permalink)
Green Bay WI
 
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Here's a picture of a bad patch of trades, that 8 out of 10 could have been profitable with a 5 tick PT and a 10 tick Stop. But building that in increases the number of trades.

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  #4 (permalink)
Green Bay WI
 
Experience: Intermediate
Platform: NT
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Trading: 6E
 
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Posts: 321 since Apr 2010
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So the final two columns in this trade list assumes all trades that did not reach $50 took a $100 loss. And all the winners just took $50.

It turns a -$4162 month into a positive $1800 month. With a much more livable Draw down.

This is a a simple SAR strategy based on the MACD average line turning red/green and entering appropriately. Nothing fancy.

Attached Files
Register to download File Type: xls NinjaTrader Trade List, 9_17_2012 - 10_12_2012.xls (107.0 KB, 5 views)
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  #5 (permalink)
las vegas
 
Experience: Intermediate
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Posts: 1,147 since Feb 2010
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I do it in Sierra Chart, so I'm pretty sure you can do it in Ninja. I just create a separate calculation with a virtual position using natural entries and exits and control the units with a series of if statements then make my entry the same as the virtual entry but exit on fixed stops and targets.

For example something like,

//Virtual Position
If( PositionQuantity[0]<4 && EMA1[0]>EMA2[0] && EMA1[1]<EMA2[1] )
{
PositionQuantity[0] = PositionQuantity[1] + 1;
}

else if( PositionQuantity[0]>-4 && EMA1<EMA2 ) && EMA1[1]>EMA2[1] )
{
PositionQuantity[0] = PositionQuantity[1] - 1;
}

else
{
PositionQuantity[0] = PositionQuantity[1];
}


//Live Position
If(PositionQuantity[0] > PositionQuantity[1])
{
Buy 1 Unit;
Stop = Entry price minus 5 ticks;
Target = Entry price plus 10 ticks;
}

If(PositionQuantity[0] < PositionQuantity[1])
{
Sell 1 Unit;
Stop = Entry price plus 5 ticks;
Target = Entry price minus 10 ticks;
}

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  #6 (permalink)
Green Bay WI
 
Experience: Intermediate
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Trading: 6E
 
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Posts: 321 since Apr 2010
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thanks @vegasfoster,

I build with strategy wizard on NT. Slowly trying to learn programming.

Attached is my simple MACD SAR strategy file. It uses MACDBBLinesV4.

If anyone could take a crack and add code to this, and post it back, it would seriously satisfy my curiosity.

Thank you in advance. -Patrick

Attached Files
Register to download File Type: cs rpmMACDEMA.cs (36.4 KB, 9 views)
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  #7 (permalink)
Arizona, USA
 
Experience: Intermediate
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Posts: 116 since Jan 2011
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I have sort of done this. My development stuff tests its own performance using "internal trades." I wanted to be able to invoke OnBarUpdate from within the strategy without potentially actually initiating a trade.

Far from elegant, I ended up creating algorithms parallel to the commonly-called structures in NT (such as Performance and Position). In NT you have Position.MarketPosition types. Essentially, I added a new type myInternalPositon.myInternalPosition type that declares Flat, Long, and Shrot positions for the internal/virtual trades. Doing this, writing stop and target catch logic for the internal trades, and writing a wrapper around OnBarUpdate enables the strategy to backtest and optimize itself.

With the same logic, you could by default operate in the internal/virtual mode. Once you hit a certain success criteria, you could automatically switch on for real.

You can do it in NT, it just is not elegant.

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  #8 (permalink)
NC, USA
 
Experience: None
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Posts: 403 since Jun 2011
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I can do this using one strategy as a "master trader" placing sim trades and another as the "slave trader" placing sim or live trades. So for every strategy you would have two running at once, one controlling the other.

If anyone is interested PM me to discuss payment.

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October 15, 2012


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