Big Mike's Trading Blog

Day trading futures, discussing money management and trade management techniques, and more

VIDEO TUTORIAL: How to create an advanced NinjaTrader Strategy

The strategy contains a few optimizable parameters such as SMA length, EMA length, HMA length, three different targets with custom tick settings on each, a stop size, and the option to move target 2 to breakeven after target 1 is hit, as well as move target 3 to breakeven after target 2 is hit.

Tutorial: Create NinjaTrader Strategy from Big Mike Trading on Vimeo.

(dont forget to click the bottom-right icon to expand to full screen mode, so you can read the text in the video)

The strategy is just an example! It took all of 10 minutes to write. Even though it says it made 20k in 90 days over 700 trades, it will likely fail going forward. Simple strategies are usually best, but this one is too simple to work fully automated. Most strategies I write for customers take me hours of work (this one took 10 minutes), so don't just go and copy this strategy and expect good results.

Instead, I created this so you could get your feet wet and learn some of the basics of a more advanced strategy than what Ninja includes with the base install. I also created it so if someone shows you backtest results where it makes tons of money, you can see just how easy it is to produce those results.

Also, don't forget that optimizing based on net profit is virtually worthless. I've spent two years tweaking my custom optimizer type and it considers everything you can imagine such as balanced longs/shorts, trade counts, commission costs, profit factors, expectancy, trade duration, and a bunch of other stuff I don't want to go into because I am not giving it away.

With the normal drop-down list of optimizer types in NT, you don't want to just pick the result that shows the most net profit. You should factor in as many other variables as you can. Unless you're going to do what I did with the custom optimizer, the easiest way is to dump the results to an Excel spreadsheet (feature is built-in to NinjaTrader) and then work some analysis there.



Anonymous said...

Great video Mike. Keep em comin!

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