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shodson's Trading Journal
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shodson's Trading Journal

  #31 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
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9/10 - Rolled into the Dec contract. BOT1 took a trade for a loser. Can't win them all. So far it's got 5 winners and 2 losers. Going to make some enhancements to it and keep working on BOT2 this weekend, a more frequent-trading, momentum-based strategy.

6E - 0 winners, 1 loser = -33 ticks

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  #32 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
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9/17 - BOT1 missed an early Monday morning trade because I didn't have the robot running. I stop it during the weekends. I wanted to make a few more tweaks over the weekend but didn't get around to it. Bummer.

Encountered another bummer today. It fired off what should have been a winning trade, but I had one of my money management settings incorrect and it used a trailing stop instead of a fixed stop and stopped me out just before it turned in the direction I was looking for. And the trailing stop fired at the absolute bottom of the move! I wish I could have had just 1 more tick!

So these are some of the travails of operating and maintaining automated strategies. I hate how NT makes you reload your strategies and reset all of the parameter settings if you ever shut down NT. I keep my settings in a spreadsheet for each instrument, but it's still no fun doing it this way. I know v7 is supposed to address this, but I could have used that now!

Still working on BOT2, stay tuned. I do my testing on ES because if a strategy can momentum-trade the ES it can do it on just about anything! ES is so messy...

6E - 0 winners, 1 loser = -12 ticks

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Last edited by shodson; September 17th, 2009 at 05:27 PM.
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  #33 (permalink)
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Manta, Ecuador
 
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shodson View Post
I hate how NT makes you reload your strategies and reset all of the parameter settings if you ever shut down NT. I keep my settings in a spreadsheet for each instrument, but it's still no fun doing it this way.

I create a base copy of the strategy, and then do one of two things

a) Setup all the variables for each unique instrument inside the strategy, and then ask the strategy to look at the instrument name/symbol and apply the appropriate settings

or

b) (simpler) Create multiple copies, like strategy_ES, strategy_CL, strategy_ZN ... and customize the defaults for each instrument.

However, if you use option b) there is a nasty bug in Ninja where the variable settings will not get updated in the strategy menu from one strategy to another unless you make the names themselves unique. I brought this up about a year ago, I doubt it will ever be fixed. So I advise you don't name stuff "stop" and "target" but instead name it "stop_zn" and "target_es" etc so it is unique name in the strategy menu (Parameters).

Mike

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  #34 (permalink)
 Vendor: www.probabletrades.com 
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Thanks for the advice, I'll take it into consideration. I have the parameters to make backtesting and optimization simpler, but when I put it live, aka "release" the software, I should hard-code the parameters.

So Mike, do you have many automated strategies running? Are they running on-their-own and auto-trading, or do you use them for your discretionary trading?

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  #35 (permalink)
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shodson View Post
So Mike, do you have many automated strategies running? Are they running on-their-own and auto-trading, or do you use them for your discretionary trading?

I've got 10-12 strategies at any given time, I've not had much time for discretionary lately in fact, but I do have strategies that I wrote for the purpose of assisting me in discretionary trading and not so much automation (ie: fast moving markets or hard to calculate decision points/triggers, order management, etc).

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #36 (permalink)
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Is it possible to have flat file with strategy parameters, and every time strategy starts it should read file and make selection based on instrument and may be other criteria?
Other issue mentioned by Mike is quite surprising!

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  #37 (permalink)
 Vendor: www.probabletrades.com 
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9/18 - BOT1 picked off another winner this morning. I'm going to work on enhancing it this weekend to only enter a trade after I get my first counter-trend bar. Most of the losers I get (though, few in number they are) are because the trend continues and never reverses in before hitting my stop loss. If I wait for a sign that a reversal may be in place I can usually get a better entry price, but I'll have to back test this.

6E - 1 winner, 0 losers = +22 ticks

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Last edited by shodson; September 18th, 2009 at 05:14 PM.
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  #38 (permalink)
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record100 View Post
Is it possible to have flat file with strategy parameters, and every time strategy starts it should read file and make selection based on instrument and may be other criteria?
Other issue mentioned by Mike is quite surprising!

Yeah I though of that too. Perhaps some XML or .config file.

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  #39 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
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shodson View Post
Yeah I though of that too. Perhaps some XML or .config file.

Let's do it.
Our strategy have 5 parameters.
Let's say the first 2 parameters are the stop win and the stop loss.
We create a file in our NT directory, delimited by ',', name here strat-01.txt for ex.:
ES 12-09,12,20,33,14,51
NQ 12-09,11,12,43,54,53


Then, include in the strategy:

 
Code
                            
 #region Variables        
private int stop 20// Default setting for StopLoss
private int[] _parameters;
private 
string path Cbi.Core.UserDataDir.ToString() + "strat-01.txt";
private 
bool found=false;
#endregion 
Then in the "initialize" part (only the first 2 parameters are use here):
 
Code
                            
       protected override void Initialize()
        {            
            if (
System.IO.File.Exists(path)==false) {
                Print(
"File "+path+" doesn't exist, exiting.");                
                return;    
            }                                 
            
string S;
            
CalculateOnBarClose true;            
            
System.IO.StreamReader SR;
            
            
SR=System.IO.File.OpenText(path);
            
S=SR.ReadLine();
            while(
S!=null)
            {        
                
string[] content=S.Split(',');
                if (
content.Length != 6){
                    Print(
"Bad number of parameters");
                    return;
                }
                if (
content[0]==Instrument.FullName){

                    Print(
"found it, my contract is "+content[0]+" stop loss: "+content[1]+" stop gain: ");
                    
SetStopLoss(""CalculationMode.TicksConvert.ToInt32(content[1]), false);
                    
SetProfitTarget(""CalculationMode.TicksConvert.ToInt32(content[2]));
                    
found=true;
                }                
                
S=SR.ReadLine();
            }
            
SR.Close(); 
Then, in the OnBarUpdate() part, just be sure that there is a:
 
Code
                            
if (found==false)
return; 

Good idea record100 !!!

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  #40 (permalink)
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Posts: 1,859 since Jun 2009
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Very nice sam028, that looks like it would work. I've never explored the Cbi.Core namespace. What other tidbits of goodness might I find in there?

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