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Sunday, May 5, 2013

PM_ATR_BarColor Strategy for NinjaTrader

PM_ATR_BarColor Strategy for NinjaTrader

The last changes on the ATR_BarColor Indicator have been defined after testing several automated instances of variations on the logic.
The final result is the PM_ATR_BarColor_v2 which is now ready to the public.
Note : The version 2 refers to the indicator version it is using.

This final release of the PM_ATR_BarColor Strategy has the following features :

  • User defined Target and Stop
  • User defined Time to Start and Time to Stop
  • Auto Exit of Positions at Neutral ( Yellow ) State
  • Money Management Module

The Auto Exit Feature allows to use Big Targets, and the system will get out at first yellow signal, where a possible reversal can happen.

Example Chart with all debug info turned on ;
  • Vertical Lines at Entry signals
  • Markers of the Upper, Lower MutiTrail Lines
  • Text info after each trade ; xxx/yy where xxx is current daily PnL and yy is the consecutive loser count. On this chart we can see the last trades shows a positive $500 daily profit

The Money Management Module allows to stop trading for the remainder of the day if one of the following levels are reached :
  • Max Daily Profit
  • Max Daily Loss
  • Max consecutive losers in Row

This is the daily performance report of last week :

The input parameters that we need to optimize for each instruments are just a few, so it will not take too much time to get a good working configuration :

This is the Performance Report for an example configuration on CL

 You can take a look at the strategy in action on this YouTube video

Please feel free to post any comment or suggestion here...

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TIS_ATR_BarColor Indicator for NinjaTrader Update

TIS_ATR_BarColor Indicator for NinjaTrader Update

Since the release of the ATR_BarColor Indicator ( see previous post ), I’ve been experimenting changing some parts of the logic and adding different conditions to improve the performance of the signals when trading this indicator as an automated system.

Lets make a review of how this indicator works ;
As we have described before, we are using a well known trailing indicator, known as SuperTrail, SuperTrend, MultiTrail, etc as a complete trading system, with entries, exits and reversals.
On the following example we can see the standard TIS_MultiTrail Indicator showing an up trend ( blue bars ) changing to a down trend ( red bars ) when the lower blue multitrail line is broken. The bear move finishes when the red upper multitrail line is broken.
Used as Trailing stop, we exit the Long position on “A” and exit a Short Position on “B”.
If we want to use this Indicator as Trade Setup, now we need an entry signal. The most obvious entry is the same signal we use as exit ; for example we enter Short closing the Long at “A” and then close the short while entering Long at “B”.
This is a valid setup but it would be always in the market reversing positions, having very good winners while market moves, but the performance on sideways markets would be low, producing lot of reversals with small loses on each.
That was the reason of the creation of the ATR_BarColor Indicator, which adds a Neutral State ( yellow bars ) after each trend change.
After a Neutral State, it is required to break a pivot to produce an entry signal.
The old version of ATR_BarColor used fixed strength pivots of 1 bar length, while this new version ; ATR_BarColor_v2 has user defined pivot strenth.
We can see the effect on changin the pivot strength on the following pictures.

Using a 4 Bar Pivot

Using an 8 Bars Pivot

Another change in the logic includes a Fast Move Detection avoiding to wait a pivot creation when the trend change is fast.
This example shows a fast transition from Red to Blue with only 1 yellow Bar :
On this example the first Long signal happens at the close of the first Blue Bar.

The updated version of this indicator for Ninjatrader can be found on this link.

Please feel free to post any question or suggestion here...

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