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PositionSizer for ninjatrader


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PositionSizer for ninjatrader

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  #31 (permalink)
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
 
monpere's Avatar
 
Posts: 1,858 since Jul 2010
Thanks: 300 given, 3,331 received

Try these indicators on futures.io (formerly BMT):

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RiskReward

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  #32 (permalink)
PORTLAND, OR
 
Experience: None
Platform: NinjaTrader
Trading: Futures
 
Posts: 185 since Jul 2011
Thanks: 74 given, 166 received

I found this discussion very useful thank you @Fat Tails, even if it wasn't necessarily the intended purpose for this sub-forum. If I may provide some feedback to the vendor, as I had previously looked at this product before it was posted on futures.io (formerly BMT) because well....im lazy and just wanted to deal with my need quickly by throwing some $$ at it, but not $$$ .

1) Your site returns a malware warning in Chrome, im assuming/hoping this is not intended but you should look into it as it's 30%+ of the browser space.

2) Ninja is starting to lose traction and MC,Sierra and others are taking on more users, including myself most recently, I noticed a post by you on Sierra's forums over a year ago that you would work with them to code your tools functionality into the platform, this never happened.

3) The price is excessive for what you are providing, you may disagree but I am your target audience and my perception and reason for leaving your site within 5 minutes is that I do not value my time so highly that I can't write up my own spreadsheet to link to my platform (which I did), live if I wish (just switched to Sierra) and do these same analytics. Or I can pay far less than your price (and have) for a C# course if I want to integrate my need more seamlessly. I'm sorry but these money management systems are not proprietary and is easily implemented in a realtime environment, your pricing model should target the lazy people out there like myself, and not the uninformed with deep pockets, you'll run out of those.

Just advice to cater to my audience is all .

Edit: my comments above were in reference to using Sierra's spreadsheet functions for my purpose on FX trades (multi-lots), not coding in Ninja which has more of a time investment on the user im sure.

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  #33 (permalink)
PORTLAND, OR
 
Experience: None
Platform: NinjaTrader
Trading: Futures
 
Posts: 185 since Jul 2011
Thanks: 74 given, 166 received


Also, if vendor could maybe reply to the malware warning issue once he/she looks into it, it sort of bothered me as I had already visited it from other browsers.

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  #34 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,839 since Mar 2010
Thanks: 4,238 given, 26,582 received

Did you ever visit Google? This is also dangerous.

Google has infected at least 39 other sites, as disclosed by Google.

I admit that this is little in relation to the traffic generated ......


Advisory provided by Google
Safe Browsing
Diagnostic page for google.com


What is the current listing status for google.com?

This site is not currently listed as suspicious.

Part of this site was listed for suspicious activity 9 time(s) over the past 90 days.

What happened when Google visited this site?

Of the 521038 pages we tested on the site over the past 90 days, 33 page(s) resulted in malicious software being downloaded and installed without user consent. The last time Google visited this site was on 2012-08-15, and the last time suspicious content was found on this site was on 2012-08-15.

Malicious software includes 245 trojan(s), 19 scripting exploit(s), 17 exploit(s). Successful infection resulted in an average of 3 new process(es) on the target machine.

Malicious software is hosted on 31 domain(s), including viralblog.com/, happynewyear.osa.pl/, relay-hosting.net/.

24 domain(s) appear to be functioning as intermediaries for distributing malware to visitors of this site, including seowicked.com/, thisprimallife.com/, googleusercontent.com/.

This site was hosted on 95 network(s) including AS15169 (Google Internet Backbone), AS12956 (TELEFONICA), AS36040 (Bandaid XT+).

Has this site acted as an intermediary resulting in further distribution of malware?

Over the past 90 days, google.com appeared to function as an intermediary for the infection of 39 site(s) including stroupecondoblog.com/, https://sites.google.com/site/wwwjazaancom/, nuhyapi.com.tr/.

Has this site hosted malware?

Yes, this site has hosted malicious software over the past 90 days. It infected 19 domain(s), including hausofthequeen.co.cc/, soneternity.co.cc/, deivydcds.co.cc/.

Next steps:

Return to the previous page.
If you are the owner of this web site, you can request a review of your site using Google Webmaster Tools. More information about the review process is available in Google's Webmaster Help Center.

Updated 6 hours ago

Google - Google Home

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  #35 (permalink)
PORTLAND, OR
 
Experience: None
Platform: NinjaTrader
Trading: Futures
 
Posts: 185 since Jul 2011
Thanks: 74 given, 166 received


Fat Tails View Post
Did you ever visit Google? This is also dangerous.

Google has infected at least 39 other sites, as disclosed by Google.

I admit that this is little in relation to the traffic generated ......


Advisory provided by Google
Safe Browsing
Diagnostic page for google.com


What is the current listing status for google.com?

This site is not currently listed as suspicious.

Part of this site was listed for suspicious activity 9 time(s) over the past 90 days.

What happened when Google visited this site?

Of the 521038 pages we tested on the site over the past 90 days, 33 page(s) resulted in malicious software being downloaded and installed without user consent. The last time Google visited this site was on 2012-08-15, and the last time suspicious content was found on this site was on 2012-08-15.

Malicious software includes 245 trojan(s), 19 scripting exploit(s), 17 exploit(s). Successful infection resulted in an average of 3 new process(es) on the target machine.

Malicious software is hosted on 31 domain(s), including viralblog.com/, happynewyear.osa.pl/, relay-hosting.net/.

24 domain(s) appear to be functioning as intermediaries for distributing malware to visitors of this site, including seowicked.com/, thisprimallife.com/, googleusercontent.com/.

This site was hosted on 95 network(s) including AS15169 (Google Internet Backbone), AS12956 (TELEFONICA), AS36040 (Bandaid XT+).

Has this site acted as an intermediary resulting in further distribution of malware?

Over the past 90 days, google.com appeared to function as an intermediary for the infection of 39 site(s) including stroupecondoblog.com/, https://sites.google.com/site/wwwjazaancom/, nuhyapi.com.tr/.

Has this site hosted malware?

Yes, this site has hosted malicious software over the past 90 days. It infected 19 domain(s), including hausofthequeen.co.cc/, soneternity.co.cc/, deivydcds.co.cc/.

Next steps:

Return to the previous page.
If you are the owner of this web site, you can request a review of your site using Google Webmaster Tools. More information about the review process is available in Google's Webmaster Help Center.

Updated 6 hours ago

Google - Google Home

Im sure it's an aggressive cookie or something silly but I wouldn't purchase something from any site that was actively categorized as malicious, just a reason for customers to be turned away--feedback to vendor.

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  #36 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,839 since Mar 2010
Thanks: 4,238 given, 26,582 received


gonzofist View Post
Im sure it's an aggressive cookie or something silly but I wouldn't purchase something from any site that was actively categorized as malicious, just a reason for customers to be turned away--feedback to vendor.

You are absolutely right. The day before yesterday I looked up the website of my local bicycle shop as I needed some new tires. The website was also labelled dangerous by Google, so I informed them to check with the company hosting it.

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  #37 (permalink)
San Jose, CA
 
Experience: Intermediate
Platform: SC
Broker: Multi
Trading: CL
 
Posts: 733 since Mar 2012
Thanks: 1,954 given, 811 received

Has anyone heard from this guy? I bought a lifetime license($995) from him and have not heard back from him since I got a late stage beta from him maybe a year ago. The product looked great. You could enter a position from a Chart Trader style interface and update the stop on the IB side each time the market moved up with a mechanisim that worked alot like FatTails' U11. Just before he disappeared he announced a partnership and was offering a package with the MT Predictor software (with a big discount on MT) vendor. Does anyone know how long the position sizing aspect has been in that product? I always wondered if DJ the PositionSizer guy sold his position sizing logic to MT. I think he was out of money (he was not a programmer and was contracting out the coding.) after the recode for the new version and NinjaTrader kept requiring him to upgrade to the latest version and he had to send out updates to the software. I pretty much just wrote it off, but if anyone is in contact with him tell him I'd like to hear from him.

Chris

I am a relatively new member, mostly just reading for now. I look forward to being able to contribute to the community as time goes on.

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  #38 (permalink)
Vendor
 
 
mattz's Avatar
 
Posts: 2,473 since Sep 2010
Thanks: 2,404 given, 3,692 received


calitrader View Post
Has anyone heard from this guy? I bought a lifetime license($995) from him and have not heard back from him since I got a late stage beta from him maybe a year ago. The product looked great. You could enter a position from a Chart Trader style interface and update the stop on the IB side each time the market moved up with a mechanisim that worked alot like FatTails' U11. Just before he disappeared he announced a partnership and was offering a package with the MT Predictor software (with a big discount on MT) vendor. Does anyone know how long the position sizing aspect has been in that product? I always wondered if DJ the PositionSizer guy sold his position sizing logic to MT. I think he was out of money (he was not a programmer and was contracting out the coding.) after the recode for the new version and NinjaTrader kept requiring him to upgrade to the latest version and he had to send out updates to the software. I pretty much just wrote it off, but if anyone is in contact with him tell him I'd like to hear from him.

Chris

I am a relatively new member, mostly just reading for now. I look forward to being able to contribute to the community as time goes on.

I spoke to the guy a few times and I think that development costs have impacted his business.
He build a product that many simply did not appreciate, understood or was too complex to implement.
It was a very good product from what I saw and the owner of the site was a nice guy.

It's really sad as I think he put a lot of faith in a product that lacked marketing/sales.
I hope you are right and he did sell the intellectual property.

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  #39 (permalink)
San Jose, CA
 
Experience: Intermediate
Platform: SC
Broker: Multi
Trading: CL
 
Posts: 733 since Mar 2012
Thanks: 1,954 given, 811 received

Yeah I agree a cool guy and a great product. He certinly believed in the Van Tharp R risk philosophy down to his bones. The first version of his product actually looked a lot like monpere's Risk Reward indicator.

Chris

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  #40 (permalink)
San Jose, CA
 
Experience: Intermediate
Platform: SC
Broker: Multi
Trading: CL
 
Posts: 733 since Mar 2012
Thanks: 1,954 given, 811 received



Fat Tails View Post
This is too easy. I use NinjaTrader to run ATM strategies, and the question arises indeed, how to adapt the stop loss size to volatility, exchange rate and risk allowance. This is what I do once per week:


Input Values: Maximum Risk, Exchange Rate, ATR(36) of a 5 minute chart and Spread

(1) I first enter two values as input -> maximum risk per trade and current exchange rate EUR/USD -> see red fields in the excel sheet below

(2) Then I measure the lowest and highest value for the ATR(36) on a 5 min chart that could be found during the RTH session (my trading times) over the last week, not including holiday sessions.


Money Management Stop-Loss is calculated as ATR(36) plus Spread

I assume that the ATR(36) of the 5 min chart is a reasonable value for my money management stop-loss as required by my setups. Starting from these values I calculate the stop loss in ticks and the number of contracts that I am allowed to trade.


Notes to the Spreadsheet below by Column

A: Instrument
B: Contract Month
C: Tick Size in points
D: Minimum measured for ATR(36) in points
E: Maximum measured for ATR(36) in points
F: The assumed spread, which is added to the ATR to determine the stop loss
G: The stop loss calculated from volatility: Mean of minimum and maximum ATR + spread
H: The selected stop loss, manually adjusted to avoid an uneven number of contracts
I: Contract Multiplier
J: TickValue
K: StopValue in Local Currency calculated from selected stop loss
L: StopValue in Euro converted from local currency
M: Risk allowed in Euro
N: Number of contracts that can be traded calculated from stop loss value

The two red fields are manual inputs. The blue field are taken from a 5 min chart that covers the last week. The two orange columns are my outputs that I use to enter my default strategies for the instruments.

If volatility changes for an instrument, I may have to adjust contract size. The whole process takes a few minutes. The advantage of doing this manually is that a change informs me about different market conditions, in case that I did not realize it during the week.

Result

For the next week I am allowed to trade 6 contracts of TF with a stop loss size of 14 ticks, or alternatively I can trade 4 contracts of CL with a stop loss of 20 ticks. In case that my calculations are wrong, at least it was myself who committed the error and I can take full responsibility for it. The approach is similar to the PositionSizer.

I know I am a little late on this thread but @FatTails could you explain how you get the 36ATR (5 min) spread in your spreadsheet? I am trying to find a good calculation method for setting stops based on the volatility of the market in question. Maybe MAE is a better choice? Do anyone have any thought on how to best accomplish this? Thank you.

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