NT7 Strategy/Strategies Needed

August 18th, 2010, 09:59 PM

I would like to test some trading ideas. Since I have no programming experience whatsoever and I would like to be able to trust the historical results, I thought it best to have someone more qualified than me. I'm willing to either pay someone to do this or make a donation to futures.io (formerly BMT) on behalf of the programmer. While easy to visually backtest such a simple approach, it's unbelievably time consuming, so it's worth a few bucks for a strategy. This is only for forward & back-testing, not trading live!

There are two different strategies I would like. (They can also be programmed into just one strategy with user entered variables to select the differences between them, if possible) It would also be nice if it was constructed in such a way as to be able to run optimization on the variables.
These are a simple breakout with different methods for exit. The easiest way for me to be able to define breakout is to use a break of the default NT7 donchian indicator. I use a displacement of 1 on my charts to make the break more visual (in case that matters). This will be traded on minute, range or tick charts, so all indicators are calculate on close=false.
The variables:

1)
Donchian = enter with stop on break by X ticks.
Exit Stop = ticks or %ATR
Profit Limit = ticks or %ATR
Start Time & Stop Time = (HH:MM) (close/cancel all @ stop time)
Max trades per day
Slippage = X ticks

2)
Donchian 1 (slow) = enter with stop on break by X ticks.
Donchian 2 (fast) = exit with stop on X ticks break
Start Time & Stop Time = (HH:MM) (close/cancel all @ stop time)
Max trades per day
Slippage = X ticks

It would be great (but not necessary) if the two could be combined into one strategy with exit options for scaling out. i.e. Exit 3 lots @ X ticks(or %ATR), then exit remaining @ break of fast donchian (or greater ticks/%ATR).
(or maybe just the option to assign an ATM strategy for scaling out).

August 19th, 2010, 02:33 PM

Did you try to create it with the "Wizard" ?
I don't use it, but I know that simple things can be done with it, just in clicking
You wont be able to have the start/stop time, nor the max number of trades/day with it, but i will give you a first "image" of the strategy.

August 19th, 2010, 05:57 PM

Remember... I have ZERO programming skills. I tried the wizard several times, and they didn't function at all. No trades. I tried reading the tutorials and watching the videos and it might as well have been in Greek. I was completely lost after the first minute or so.

The start stop time & max trades are the core of the strategy as this is basically testing open range breakouts.

I do also have 6.5 installed, so if somebody is more at ease with it, that will do... I just don't have much historical data for 6.5. I've tried exporting NT7 data & importing into 6.5 = No joy.

August 19th, 2010, 07:36 PM

Hey Slipknot,

Don't worry, you're from the SHOWME state, so just hang in there. You'll eventually get it.
Also, I'd recommend you stay with V7, it appears to me to be stable enough going forward, I'm still on v7.19 and don't yet want to migrate to 7.20 til I know it's working fine.

Try a couple screenshots for the community to demonstrate what you're trying to achieve. Someone who loves coding but doesn't like to keep tweaking it because of misunderstandings or unspoken ideas will get frustrated after awhile. Someone might like to give you some basic help.

Keep looking at the helpful videos, then, try the wizard one more time - or in my case, until I got it. If you get satisfaction from hands-on do-it-yourself projects, you may just get there sooner than you think.

HTH,
kz

August 20th, 2010, 12:15 AM

Thanks, I do eventually want to learn C# and NT7 programming.

Here's a screen cap of today's chart.
My start time is 8:40 CST... no trades before then (I have an indi that automatically highlights it on my chart).
The blue lines are an 8 bar donchian (basically the highest high and low of the last 8 bars).
The red lines are my 2 bar donchian (highest high & lowest low for the last 2 bars).
Breakout of 8 bar is entry.
Break of 2 bar donchian is trailing stop.
First target is 10 ticks. Second target is the stop being hit.
With these rules, there were 2 trades today. Today was an unusually good day because of the news spike down.

I usually don't trade this mechanically. For example, in Dec. 09, and Mar. '10, these rigid rules had piss poor returns. While it didn't lose money, the equity curve was pretty gut wrenching.

What I hope to accomplish with the strategy is to test other parameters for exits. 10 ticks is arbitrary and the market tended to move only 9-10 ticks last winter, so a limit target didn't get filled. Perhaps a %of ATR would make for better targets as it could adapt to volatility. Maybe I'd be way better off not taking the first target and just letting the whole order run to the stop. (Today, that would have netted me another $100. Other days, I'd not pocket the 19 ticks at all). What about exiting all contracts at 20 ticks?

The entry works for me. The market is usually in breakout mode during the first hour. At this point, it's all about managing the position and having a good exit strategy. Considering how long it took me to come up with a satisfactory entry and timeframe, it would take forever to nail down an exit strategy without computer backtesting of different ideas.

That's where I'm at and what I'm looking for. I have all sorts of money management rules and such. I don't need all that coded, I merely want to see if a particular idea has a decent edge or not. Also, I've only traded this on the mini Russell. With a strategy, I could test this on other markets to see if the general idea is robust. Plus, with a strategy, I could also test this over various slices of time and markets (Sort of a poor man's Monte-Carlo).

Also, I've added a snapshot of a losing day... last Wednesday, so you can see this isn't the holy grail by any means. That day was about as pleasant as passing a kidney stone. Typically, the stops are wide initially, but tighten very fast. This was one of the few exceptions. Wed was about as bad as it gets with this method... unless you just keep on trading. Then it could get much worse.
"Gotta know when to fold 'em"

August 20th, 2010, 10:27 AM

Here's today's chart showing a little of the discretion I take, plus it shows how some alternate exits may/may not be much more profitable over the long haul.

Today was a $200 day, but could have been $400 or $600 had I simply targeted 2 or 3 pts instead of scaling out. I need a strategy to see if this would be profitable long-tern though. So you can see why it's easily worth a couple hundred bucks for me to have a well-built strategy made.

I'm going to take a whack at the wizard again this weekend. I think the easiest way for me to create the most flexible and versatile strategy is to make it call upon an ATM for trade management. That way I have an infinite choice of exit strategies that I can easily change without having to modify the strategy itself. I think I can probably pull that off. It's simple enough. The only variables I need are:

Start time
Entry channel (stock donchian indi)
Stop ATM
Max trades per session

While this won't lend itself to optimization, it would be a great start & would suit my purposes.

I'll chronicle my feeble attempts here and let's see if we can get this done. I know there's some amazingly talented people on this forum who could do this in their sleep. But I do enjoy a challenge and will probably learn a lot trying the DIY approach. Plus most people are more willing to help those who are willing to help themselves.

Besides the NT support forum, any other hints tips would be appreciated. But be gentle... it's my first time.

August 21st, 2010, 11:16 AM

Well, only being able to use the wizard if frustrating. It's very limited.

For starters, the biggest problem is the COBC=false problem. I can only run this with replay data, otherwise the results are worthless. Frankly, It's quicker to backtest with pen and paper than to fiddle around with replay. And since I need intrabar execution, that makes optimization out of the question. The only work around I can think of is to run this on a 1-second chart and multiply my breakout channel by 60.
Since I haven't yet invested anything in NT strategies or learning C#, I have to wonder if it wouldn't be better to start with MultiCharts for backtesting purposes. Hell, I may even switch completely if they implement a chart trader.

August 22nd, 2010, 01:39 AM

There is a demo script on the Ninja support site that shows how to backest with intrabar granularity. You basically add a smaller time frame data series and trade off that using COBC=true. Say your signals are 5 min bars, but you actually trade off 1 sec bars.

IMHO it is worth your while in the long run to learn to code rather than use a Wizard, be it on ANY trading platform or language. Short term pain, long term gain etc etc.

NT7 Strategy/Strategies Needed

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NT7 Strategy/Strategies Needed