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how to maintain your position w/target entry & exit price


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how to maintain your position w/target entry & exit price

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  #1 (permalink)
Athens Greece
 
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hello all,

I am a newbie in strategy development and I am trying to set up an algo in NinjaTrader that among others will try to keep a long position after a certain price level. This is about futures. So, I would like to set a limit and then make sure I always have a long position above that limit but never below. Which means that every time the price drops (assuming a Long position has already placed and filed) the position needs to close. I have tried to do this in StrategyBuilder module just by setting entry and exit conditions but it executes too many trades and also isn't very successful in live trading.

I wonder whether there are any indicators that could allow me to filter the orders so I don't have to place that many. A high frequency moving average indicator might help but haven't really tested apart from modifying the bar sizes.

Have you ever tried to do something like that and have you used any indicators that could filter out such small price movements?

thanks,
trdX

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  #2 (permalink)
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trdX View Post
hello all,

I am a newbie in strategy development and I am trying to set up an algo in NinjaTrader that among others will try to keep a long position after a certain price level. This is about futures. So, I would like to set a limit and then make sure I always have a long position above that limit but never below. Which means that every time the price drops (assuming a Long position has already placed and filed) the position needs to close. I have tried to do this in StrategyBuilder module just by setting entry and exit conditions but it executes too many trades and also isn't very successful in live trading.

I wonder whether there are any indicators that could allow me to filter the orders so I don't have to place that many. A high frequency moving average indicator might help but haven't really tested apart from modifying the bar sizes.

Have you ever tried to do something like that and have you used any indicators that could filter out such small price movements?

thanks,
trdX

Sorry, but it seems like, from your description, you would frequently be chopped up, when price orbits around whatever level you've chosen as your entry/exit level, unless the level changes, based on some rules you haven't mentioned.
If you do this manually and are trying to reproduce it in an algo, you need to figure out how to tell the computer to look for what you look for, in terms of filtering your entries. And your exits, of there are conditions other than price falling below your 'level'.
Maybe a more detailed explanation of what you're trying to do would help.

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  #3 (permalink)
Athens Greece
 
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Well, there is no much else to add. This is an essential part of the strategy. Need to maintain a Long position above a certain level. It is exactly what you described. I am looking for ideas on how to filter the data in order to decrease the ups and downs and execute as less trades as possible.
I was checking a couple of indicators used for day trading, but haven't tested all of them yet. So, maybe an indicator that can work with good results under high frequency operations (like 1 sec or 1 tick bars) would do the job. If anyone has similar experience could help.

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  #4 (permalink)
Milwaukee, WI, USA
 
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trdX View Post
Well, there is no much else to add. This is an essential part of the strategy. Need to maintain a Long position above a certain level. It is exactly what you described. I am looking for ideas on how to filter the data in order to decrease the ups and downs and execute as less trades as possible.
I was checking a couple of indicators used for day trading, but haven't tested all of them yet. So, maybe an indicator that can work with good results under high frequency operations (like 1 sec or 1 tick bars) would do the job. If anyone has similar experience could help.

Well, I hope you find what you're looking for, but I don't think price simply being above a level is enough filtering to prevent overtrading, no matter how short the time frame is. Price is vibrating at every level. Faster and smaller on short time frames and slower and larger on longer ones.

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trdX View Post
hello all,

I am a newbie in strategy development and I am trying to set up an algo in NinjaTrader that among others will try to keep a long position after a certain price level. This is about futures. So, I would like to set a limit and then make sure I always have a long position above that limit but never below. Which means that every time the price drops (assuming a Long position has already placed and filed) the position needs to close. I have tried to do this in StrategyBuilder module just by setting entry and exit conditions but it executes too many trades and also isn't very successful in live trading.

I wonder whether there are any indicators that could allow me to filter the orders so I don't have to place that many. A high frequency moving average indicator might help but haven't really tested apart from modifying the bar sizes.

Have you ever tried to do something like that and have you used any indicators that could filter out such small price movements?

thanks,
trdX

I think the strategy is probably too "simplistic" to work but one thing you could do is to enter with a stop order at the price level you want (let's call it level_1), and set a stop (to get out) of your trade some point below your level. Then you can have another level above your level (let's call it level_2) and set up the platform so that after the price reaches level_2 the stops move to level_1.
This is easy to do with most of the platform, level_2 acts as a trigger for the stop.... for instance in many platforms there is triggered trailing stop.
This is one way to make your strategy work. .... if you are new to trading it will take some time to make it work, but I think you can get something out of it.

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SBtrader82 View Post
I think the strategy is probably too "simplistic" to work but one thing you could do is to enter with a stop order at the price level you want (let's call it level_1), and set a stop (to get out) of your trade some point below your level. Then you can have another level above your level (let's call it level_2) and set up the platform so that after the price reaches level_2 the stops move to level_1.
This is easy to do with most of the platform, level_2 acts as a trigger for the stop.... for instance in many platforms there is triggered trailing stop.
This is one way to make your strategy work. .... if you are new to trading it will take some time to make it work, but I think you can get something out of it.

Thanks for you input DavidBodhi. I have tried something similar but still, too many executions (= cost..). I was wondering what kind of indicators you use to filter noise.

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  #7 (permalink)
Milwaukee, WI, USA
 
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trdX View Post
Thanks for you input DavidBodhi. I have tried something similar but still, too many executions (= cost..). I was wondering what kind of indicators you use to filter noise.

I have found no indicator that satisfactorily filters out noise. My own eyeballs have been best, and still not good enough.

Generally, it seems that one has to be willing to accept a stop loss that's several multiples of the average noise of the timeframe you're trading on in order to really avoid noise. (Tho excellent entry points help a lot.)

And going to shorter and shorter timeframes only increases the impact of noise, though it does reduce the size of a stop loss. That's why it's even harder than hard to trade without being well funded.

All that said, don't listen to me. I am underfunded and not consistently profitable.

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