Automated Strategies for Ninjatrader

Hello Traders !

On this article we are going to review all our trade setups that have a Strategy for Ninjatrader fully automated and can be back tested, optimized and traded live.

This is a list of all those ordered in function of its low complexity ;

1. EMA ( it trades an Exponential Moving Average ; Read More )
2. Bouncer ( it is an anti EMA ; as it trades against it )
3. Vwap ( it trades the Volume Weighted Average Price )
4. SRS ( Custom Setup ; Read More )
5. ATR_BarColor
6. Impulse
7. High Low Crossover

1) PM_EMA_TraderV52

On this setup we only need to optimize a pair of parameters ;

• The period of a Moving Average
• The size of an envelope

The size of the envelope is slightly lower than the stop we are planning to use, so we can focus on finding the Period

This is an example using the Optimizer to scan Moving Averages on ES, looking for a 1.5 points of target against 2 points of Stop :

Depending on the level of the commisions, then we have a few areas with good moving averages to trade with.

This is an example of the equity curve using an EMA(166) :

Now we can optimize all other settings trying to obtain a better shaped equity curve ;

2) PM_EMA_Bouncer

This systems trades agains the PM_EMA, so we can use the same PnL vs Period Chart, and trade the worst performing moving averages. It works better on non trending, but more volatile markets like Crude Oil or Gold

3) PM_VWAP

Similar logic used by PM_EMA, but replacing the moving average by the vwap.

Something interesting about the vwap is that it produces the same result on any timeframe, so this setup is almost not related to time frame. The only impact changing the time frame is the possibility of taking more trades over same entry.

4) PM_SRS_Trader

This is a system that uses an envelope, a moving average and a donchian channel to define the trend and entry logic.

It can be configured with or against the trend. (Read More)

This is an optimized report example on CL using a Range 9 Bar Chart taking into account last 2 months ( Dec 2013 and January 2014 )

5)PM_ATR_BarColor

UNDER CONSTRUCTION

Best Regards,

Pablo

Pablo Maglio , The Indicator Store  Pablo@TheIndicatorStore.com www.TheIndicatorStore.com

      

Supertrend Setup for Ninjatrader

Hello everyone !

Most of you may already know the Supertrend Indicator, it has been available for most platforms including Ninjatrader.

There are several versions, some of them free and including different calculation modes.

It is basically a trend detection systems very useful also for trailing stop management purposes.

On the following chart we can see the trend changes indicated by arrows when the line is calculated with the default settings ; an HMA(14) and a multiplier of 2.618

and on the following chart, the HMA is changed by the Median ;

Using an SMA :

Same SMA, but changing the multiplier from 2.618 to 1

As we can see, this is a very flexible and powerful indicator to define trend and reversals.

If we are in the Market, the indicator can be used to keep the trailing stop slightly below its line.

If we are looking for an Entry, once a trend change is detected ( red and blue arrows are painted ) we have several options :

• Enter at Market
• Wait for a pullback with a Limit Order Entry

If we decide to use the pullback entry option, then we need to define How to Calculate the Entry.

A suggested approach is using same line study used for the supertrend but with a slower period.

Lets review the SMA example where the supertrend is calculated with an SMA(8) and a multiplier of 2.618.

Now we add an SMA(17) ( dotted line ) and we have a complete trade setup :

Once we have a trend change ( arrow ) we place a limit order at the SMA.

On the following chart we can see a short at red dotted line and then a long at blue dotted line.

Entry time bars are marked with vertical lines :

Another example with HMA : supertrend with HMA(10) and Entry with HMA(50)

How to Manage the Trade

It is evident that this system will get the best results on impulsive and trending markets when we use runners.

When holding a position and using a trailing stop, at some time the trend will lose impulse and there will be a reversal.

For example, on the following Chart we can see a long filled after 4 or 5 bars of the arrow up :

If our trailing stop is big enough to survive all the way up and then we get a red arrow down we have several options ;

• Close the long after a red down arrow is painted
• Leave the position alone being managed by its trailing stop
  
• Reverse the Long Position at New Short Entry ( red dots ) assuming the long trailing stop is not triggered.

On The Indicator Store we have a Custom TIS_Supertrend Indicator with all the User defined settings to define the Trend and also a user defined Entry as shown on previous Chart.

If you like the Supertrend possible Setups using the rules explained, it can be automated by Markers ; a Semi Automatic and also Full Automatic System that trades all possible trade setups described. 

It has the option of Early Exit; in case we are holding a position, and an inverse arrow ( trend change ) is painted we can decide if closing actual position or not.

If we decide not using early exit, then the current position will be exited at trailing stop or reversed at new entry.

Let me know if you have any question or suggestion...

Best Regards,

Pablo

Polynomial Regression Channel Analysis for Ninjatrader

Hello Traders,

The topic for today is the PRC ( Polynomial Regression Channel ).

What is, and how can be used the PRC ?

There are hundreds of sites, mostly mathematical sites where we can get a lot of info about it.

This is a brief summary :

When we have a series of data points ( price bars ) and we want to find a formula that best fits all points of the analyzed data set, we can use a linear regression :

Where Y = a.X + b

( picture from wikipedia )

and it represent all the data points by a straight line.

This is the more elemental and easy to calculate... but with more error.

If we increase the degree of the polynomial to 2, then we get a parabola ;

Where Y = a.X² + b.X + c

( charts generated with arachnoid page )

This kind of polynomial is always predicting a turning point ( polynomials with odd degree ( 1, 3, 5, etc ) will have the starting point and ending point with same trend )

So, for trading analysis, most people use degree = 3

On the following examples, I am using bigger samples ; 128 data points ( bars )

The PRC line is the gray dot-dashed line, and then I add two Bollinger bands. And the space between them is painted to create a zone:

On this CL 5 Minutes Chart we can see a 1 degree ( straight line ) polynomial calculated over the last 128 bars.

This is a 5 Minutes Gold Chart using a grade 3 polynomial :

So, selecting a big enough sample size and using a 3 degree optimized polynomial, we can create accurate trading zones that we can use on our daily trading.

We can use the PRC approach to any time frame, even a quick tick chart.
But I suggest using more slow and widely used charts, in the range of 5 Minutes or even higher. The most people looking and trading those levels, the better it will work...

On this example, we can see a 150 Ticks Gold Chart, using the levels provided from the 5 Min 3rd degree PRC ( previous chart )

Using the custom Indicator Pack TIS_PRC_OT from The Indicator Store we get the Basic PRC Indicator and its Muti Time Frame Version.

We can apply the TIS_PRC_OT indicator to any of our work charts, any time frame ( range, tick , volume, etc )...it will always calculate the levels from the user defined time frame ( shown in the red box ). By default I use 5 Minutes, but again, we can select any time frame, even non standard types.

One important factor that must be taken into account ;
All the data points of the sample ( 128 on last examples ) are recalculated at each new sample.
That means that the PRC analysis repaints.
This is one of the reasons why it is suggested to use high time frame PRC's to define the levels and use them into a quick day trading chart, where we can get a target in an insignificant number of samples ( bars ) of the original Chart were the PRC was calculated.

Hope this information has been useful for you...
Please let me know if you have any questions...

Best Regards,

Pablo

Pablo Maglio , The Indicator Store  Pablo@TheIndicatorStore.com www.TheIndicatorStore.com

      

Semi Automatic Systems for Ninjatrader - January 2014

Hello Traders,

Following our plans to upgrade all our PMS Systems to the last version, as shown on PMS_Reversal System for Ninjatrader Upgrade

We are prod to announce that our 3 Setups ; EMA, SRS and Reversal are upgraded to the last version including Position Management and Money Management.

About the PMS Systems

The PMS Systems are an integration of a Setup Indicator and an Entry Technique.

As we know, Ninja do NOT allow to use Chart Trader on a Chart were we have a strategy applied...

To solve that issue, we developed the PMS Systems ; that integrates an indicator and a strategy...

The indicator is applied to the Chart, and it calculates all the trade Setup and Entry Price.

Once the Indicator ( PMS_SRS, PMS_EMA or PMS_Reversal ) is applied to the Chart, we get the following toolbar, with indications of the name of the Setup ( EMA on this example ), Enable Next Long , Enable Next Short and the name of the ATM to be used on Orders.

The Strategy ( with same name as the Indicator ) is applied to Control Center Strategy Tab, not to the chart, so we can use Chart Trader.

The indicator send Entry Price Info to the strategy, and it convert them to orders to be sent to the exchange.

The Orders can then be moved and managed by the user without affecting the strategy.

All the settings are defined in the Indicator. The strategy has no parameters other than the Instrument to trade, and the Account were to send the Orders.

The current version of PMS on all our Setups now include these settings :

• ATM_Name : default name of ATM. Can be changed from the toolbar
• Manual Mode : If Long button is enabled, after a fill it gets disabled, so we need to press it again for a new trade. If manual mode is set to false, the button status will remain unchanged after a fill
  
• MM_Max_Daily_Loss : It is a negative value. If Daily Loss is equal or greater, the system will not take more trades
• MM_Max_Daily_Profit : It is a positive value. If Daily Profit is equal or greater, the system will not take more trades
  
• Position Manage : If we get a signal while being in the Market we have 4 options : 1=do nothing, 2=Enter New trade, 3=Close current Position, 4=Reverse (default and suggested)
• Show_PnL : Show Current Daily PnL and Last Trade Result
  

Please let me know if you have any question...

Best Regards,

Pablo

Pablo Maglio , The Indicator Store  Pablo@TheIndicatorStore.com www.TheIndicatorStore.com

      

PMS_Reversal System for Ninjatrader Upgrade

Hello Traders !

We all know that one of the Key Factors to success on any Setup is the Money Management.

So we decided to upgrade all our PMS Semi/Full Auto Systems adding this feature.

Even being the PMS's Systems originally focused to Manual Trading with Automatic Assisted Entry, when we trade several setups at the same time, it turns complicated to keep track each Setup Performance.

The first Setup Upgraded is the PMS_Reversal, currently on version v4b :

On the following Picture we can see Both New Input Parameters :

If current Daily Profit or Daily Loss exceeds those input parameters. no more orders will be issued by the rest of the session, or until the user change the parameters.

Example with a Daily Limit Profit of $500

Another additional feature asked by several traders is the Delayed Entry Order Cancellation.

On this YouTube video we can see the New PMS_Reversal in Action :

On the following days, the rest of the PMS Systems ; EMA, SRS will include the Money Management Feature. Stay tuned for more Features !

If you are a current user of the PMS_Reversal, log into your account to download the last version.

Best Regards,

Pablo 

Pablo Maglio , The Indicator Store  Pablo@TheIndicatorStore.com www.TheIndicatorStore.com