Turtle Trade end of day with Ninja?

April 18th, 2013, 12:25 AM

Hi I'm brand new to Mikes and Ninja. for the past several months I've been basically doing channel breakout with Donchian channels similar to the turtle traders. I will hold trades inter-day and do most of my stuff in the evening. I've been working with basically a charting program, google docs, and IB for this and have recently wanted to turn to automation hoping that Ninja will help me.

Does anyone have any experience using Ninja for inter-day (not intra) trading, setting and resetting buy and sell stops as channels move and pyramiding. Basically I've gotten to here, this strategy works except it seem to ignore the pyramiding rules in the strategy analyzer and I'm not sure how to get it to work. I also worry that over night if I stop and re-start the strategy or reset my computer it will loose the information on in flight trades

Code

            // Condition set 1 
           // enter long stop order for high channel
            if (MACD(12, 26, 9).Avg[0] > MACDMinimum
                && Position.MarketPosition != MarketPosition.Long)
            {
                EnterLongStop(1, DonchianChannel(HighChannel).Upper[0], "Donch20Upper");
            }

            // Condition set 2
            // reset the sell stop for the low channel
            if (Position.MarketPosition == MarketPosition.Long)
            {
                ExitLongStop(DonchianChannel(LowChannel).Lower[0], "ResetStop", "");
            }

            // Condition set 3
             // pyramid, enter another trade only after x days   
            if (MACD(12, 26, 9).Avg[0] >= MACDMinimum
                && BarsSinceEntry() >= DaysPyramid)
            {
                EnterLongStop(1, DonchianChannel(HighChannel).Upper[0], "");
            }
        }

I would love any assistance you can render this ATS newbie. It seems like it should be easy to automate. The trick is that I want to potentially have multiple strategies running and want to keep them separate for entries and exits.

Thanks!

April 18th, 2013, 09:50 AM

@Tealcosmo: Let me make a few considerations

Turtle Strategies worked well back in the 90s, I am not sure whether they still work today. Furthermore, trendfollowing strategies are known for large drawdowns. You may have 3 or 4 losing trade, before you enter a winning trade. Also many winning trades will have large drawdowns. Psychologically it is not easy to stay in a turtle trade, as there is a temptation to exit early.

In any case you should do backtests, before you start trading with real money.

If you hold positions over several days, then there are some restrictions that apply:

-> TWS is reset once during night, this will produce a dis-connect, and NinjaTrader will not reconnect on its own.
-> Some brokers do not allow orders GTC but only GTD, which means that all orders will be cancelled end of day and reset. I am not holding positions overnight, so I do not know, whether Interactive Brokers accepts automaticallly generated orders with GTC.

I do not see any need to have an automated strategy running. The backtest will be performed in COBC = true. To obtain results that are comparable to the backtest, you would only need to check your position once per day.

April 18th, 2013, 11:31 AM

Fat Tails

@Tealcosmo: Let me make a few considerations

.
.
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If you hold positions over several days, then there are some restrictions that apply:

-> TWS is reset once during night, this will produce a dis-connect, and NinjaTrader will not reconnect on its own.
-> Some brokers do not allow orders GTC but only GTD, which means that all orders will be cancelled end of day and reset. I am not holding positions overnight, so I do not know, whether Interactive Brokers accepts automaticallly generated orders with GTC.

.
.

I can confirm that Interactive Brokers does indeed have GTC orders that are pushed to the exchange each day at the start of RTH.

Regarding the disconnect issue it is indeed a pain.

However placing your system on hibernate and then resuming it after the disconnect period passes gets NinjaTrader and TWS reconnected.

The hibernate can be programmed - not sure if startup (motherboard self-boot or something) can also be programmed - would be grateful if someone can let me know if that is possible.

Hope that helps.

April 18th, 2013, 12:11 PM

Fat Tails

@Tealcosmo: Let me make a few considerations

Turtle Strategies worked well back in the 90s, I am not sure whether they still work today. Furthermore, trendfollowing strategies are known for large drawdowns. You may have 3 or 4 losing trade, before you enter a winning trade. Also many winning trades will have large drawdowns. Psychologically it is not easy to stay in a turtle trade, as there is a temptation to exit early.

In any case you should do backtests, before you start trading with real money.

If you hold positions over several days, then there are some restrictions that apply:

I do not see any need to have an automated strategy running. The backtest will be performed in COBC = true. To obtain results that are comparable to the backtest, you would only need to check your position once per day.

Just to address, I've done my backtesting using my charting software where I programmed in the trades, ProRealTime. The strategy works well for most stocks. Part of the backtesting I want to do with ninja is to get the strategy to work on this platform.

To answer why, well because I'm the kind of person who doesn't like to do repetitive tasks that a computer would be better at, so therefore I want my computer to do it for me. And the Turtle is what I know right now, I haven't studied the other trading strategies as yet and have only been trading (as opposed to investing) for about 4 months now. Of course we are all looking for the holy grail, even though there isn't one, and partly using the computer is to get over the psychological effects of trading and gunslinger attitude.

Turtle Trade end of day with Ninja?

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Turtle Trade end of day with Ninja?