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Outside the Box and then some....
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Outside the Box and then some....

  #21 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 69 since Jan 2015
Thanks: 4 given, 148 received

Okina, thanks for reading and thanks for adding your perspective and interesting story! There are lots of opinions between discretionary trading vs. automated trading, and there are no right or wrong opinions as everyone has their own style or preference.

The key reasons that I enjoy automated trading so much are as follows:

1. Quicker entries and exits. My programming can do do things that I can not do as fast because it sees and analyzes conditions that would take me far longer to compute manually.

2. 24 hour a day trading vs. how ever many free hours I am willing to do it.

3. Any rules for trading that can be thought of can be programmed, though you have to be a fairly good programmer to do some of the more complex stuff.

4. Visibility to process or incorporate more information into your trading decisions vs. what a human can do. For example a computer can enter, exit or add or subtract contracts based on an infinite number of very specific conditions being true, but as a chart trader looking at a screen I could only ever catch a few conditions before it would be too late to make my move.

5. The ability to test the merit of different trading ideas: This is the big one for me. As a chart / discretionary trader you can only test as much as you can physically sit through in real time. So naturally with only so many hours in the day to dedicate to sim trading you can only really vet / test a system, or idea so much. With programming a system to trade for you it is possible to test it over hundreds of thousands of trades over several years.


I have never thought of an idea or concept for trading that I couldn't program, but I am a professional programmer first and foremost, so I have a slight edge over casual traders that are trying to hack around in C# and can only do basic things.

Just a few pro's that I have noticed that I wanted to throw out there for anyone that is interested in automated trading.


Ian

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  #22 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 69 since Jan 2015
Thanks: 4 given, 148 received

Anyone want to try out a profitable Ninja Trader code

So just for fun, I found a hack or cheat code if you will, that will allow you to profit an obscene amount of money using the ninja trader market replay in NT 7. Here are the settings:

1. Market Instrument = ES, though this would likely work in any market with a little bit of sizing work.
2. Date Range: (Any week in the last x years, it really doesn't matter, they all have the same results)
3. Time Settings: 300 tick to 1000 tick or anything in between seems to work find. I haven't tested much else but I assume they will get the same results.
4. Ninja Trader Settings: Enforce Immediate Fills = checked or true


I am just going to throw this out there to anyone that is interested in testing this and obviously there is a catch here, but at the same time quite a bit of practical application and theory that can be gained from this exercise.

I am interested to see some different perspectives from this community about why this works, what the catch is and hopefully some insight into practical application. I have already developed several real trading systems that can beat any sim on any market and some of them use a basic concept that can be learned from this. So obviously I know the answer the answer to the question: "What if anything can be useful from this, and how can it be applied in real trading". I am interested to see if anyone out here can grasp it and understand it.

For those that can, there may be a chance for future collaboration.

Happy Trading

Ian

Attached Files
Register to download File Type: cs EvenOddsBaseline.cs (2.6 KB, 47 views)
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  #23 (permalink)
Elite Member
Estonia
 
Futures Experience: None
Platform: windows nt
Broker/Data: windows nt
Favorite Futures: everything what moves
 
Posts: 4 since Mar 2014
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Lets kick it off then, this helps favor the odds

- SetStopLoss("", CalculationMode.Ticks, 3.5, false);
+ SetTrailStop("", CalculationMode.Ticks, 3.5, false);

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  #24 (permalink)
Elite Member
Los Angeles CA
 
Futures Experience: Beginner
Platform: NT8
Favorite Futures: NQ YM ES ZN CL GC HG ZS 6E 6A 6J 6C
 
FlyingMonkey's Avatar
 
Posts: 498 since Jan 2016
Thanks: 1,967 given, 1,467 received

Edge is dependent on turning off NT's simulated fill engine (enable immediate fills = true). This alone will tip scales somewhat.

Additionally, placing orders into the engine at half-points off the last price could encourage long fills at bid and short fills at ask, as price must move toward the order.

? Maybe. Don't have nt7 installed at the moment, so this is without actually testing the code.

Real-world strategies can benefit by being on the right side of the noise, scraping a bit of it up into the PnL.


Last edited by FlyingMonkey; April 3rd, 2016 at 11:01 AM. Reason: wording, logic
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  #25 (permalink)
Market Wizard
Houston, TX
 
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Slightly off topic... my favorite tshirt...

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #26 (permalink)
Elite Member
Tulsa oklahoma
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: Emini Es
 
Posts: 2 since Apr 2016
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Very interesting concepts!!

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  #27 (permalink)
Elite Member
Tulsa oklahoma
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: Emini Es
 
Posts: 2 since Apr 2016
Thanks: 1 given, 0 received

I tried to pm you, however I am not sure you received due to posting minimum?? I just have a few questions regarding one of your concepts... Ty

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  #28 (permalink)
Elite Member
Paris France
 
Futures Experience: Beginner
Platform: TradingView
Broker/Data: CQG
Favorite Futures: ES1!, CL1!, DY1!
 
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Bhenry29 View Post
I tried to pm you, however I am not sure you received due to posting minimum?? I just have a few questions regarding one of your concepts... Ty

Could you ask your questions there ? It may be good to share you thoughts to other people there.

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  #29 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 69 since Jan 2015
Thanks: 4 given, 148 received

So it's been a while, but I am going to try to get back on more often..

It's been a while since I have been on here. But I figured I would share a little more, get a little feedback, etc.. I will be posting some information about some algo trading I do and be providing a little bit of insight here and there. But not too much obviously. I have to have some secret sauce for my self.

The first system I am going to be sharing a little bit of is one I have been testing recently on NinjaTrader 7 market replay. It's been fairly profitable from my initial testing. I am still trying to optimize it and put all the pieces together but I think I have a good start.

The concept behind this one is fairly interesting, It involves some simple machine learning, and I am eventually going to connect this to a SQL database so I can improve the processing power. Right now it is doing a bit too much in memory. I don't use any off the shelf indicators or charts only a few KPIs and metrics I built. Below are some screen grabs from my latest test... (It took about 2 days to run all this) This is an example of a somewhat High Frequency Trading system. I say somewhat because I am only testing this with one contract. If I was trading 5-10 contracts then I suppose it might qualify as HFT system. I haven't seen many HFT discussions or posts on here, so I figured I would throw my hat in the ring.

This is one of about 30 different systems I have, (Each has around 50% in common and 50% variation with different metrics, logic, etc.) and they all have somewhat similar results in back testing. The goal is to take the parts that are working the best with each and combined them into a final algo. None of these are market or time frame specific. They will work with anything, I am still tweaking some of the conversions for various instruments, but I have tested the YM, ES, and NQ and after conversions I have these up and running. I have learned a lot from this process! Some stuff I will share, and some obviously I won't but feel free to take a peak at this journel from time to time because I will be posting some random insights and theories here and there from time to time.

Happy Trading!

Ian

Attached Thumbnails
Outside the Box and then some....-mk1-250-tick-monthly.png   Outside the Box and then some....-mk1-draw-down.png   Outside the Box and then some....-mk1-hourly-dist.png   Outside the Box and then some....-mki-weekly.png   Outside the Box and then some....-mk1-monthly-stats.png  
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  #30 (permalink)
Trading for Fun
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 69 since Jan 2015
Thanks: 4 given, 148 received

Some Trade Statistics on the ES


Enclosed are some screen grabs from another ninjatrader strategy I built. This one tends to take higher profit targets and lower stop losses on most trades. Though it is not a trend following system in any way, it has the type of statistics you would hope to find with a profitable trend following system. (If there is such a thing ). I ran this from Jan 2015 to Feb 2016. I had to break it into two sessions because it takes forever to run these in market replay. But overall this is hitting around $8-$10 dollars per trade. Draw downs are maxing out under $5K and cumulative profits are somewhere around $50K - $60K after commissions. This system is only trading one contract. So I imagine that I could scale this up fairly nicely. Just to be safe I would put $10K per contract just to manage draw dawns.

I will likely never trade this live though because out of all the systems I have this is one of my least favorite for a number of reasons. But someone asked me recently if all my systems were scalping: I.E (Lower Profit Targets, Higher Stop Losses) or something else. I don't scalp or follow trends or anything like that in the traditional sense, as I don't use charts or predict price movements. But this system, does look like a trending a system just by the stats: (Higher Profit Targets, Lower Stop Losses). So it can be done, but just not the way that I imagine most people are going about it.

Happy Trading.

Ian

Attached Thumbnails
Outside the Box and then some....-wallclimber-backwards-monthly-overview-jan-sep.png   Outside the Box and then some....-wallclimber-backwards-monthly-overview-oct-feb.png   Outside the Box and then some....-wallclimber-backwards-details-jan-sep-2015.png   Outside the Box and then some....-wallclimber-backwards-details-oct-feb.png   Outside the Box and then some....-wallclimber-backwards-dd-jan-sep-2015.png   Outside the Box and then some....-wallclimber-backwards-dd-oct-feb.png  

Last edited by iantg; October 21st, 2017 at 07:52 PM. Reason: grammer
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