Big Mike's Trading Blog

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

NinjaTrader 7 and Matlab / R

If you are interested in using R or Matlab with NinjaTrader 7, then you should really join this discussion on the trading forum.

To get you started, check out the instructions on how to get R and NT7 to talk to each other.


In the thread, there is an example NinjaTrader 7 to R ADF Test indicator.  ADF is Augmented Dickey–Fuller test, testing for a unit root in a complicated set of time series modules.

The testing procedure for the ADF test is the same as for the Dickey–Fuller test but it is applied to the model

\Delta y_t = \alpha + \beta t + \gamma y_{t-1}
 + \delta_1 \Delta y_{t-1} + \cdots + \delta_p \Delta y_{t-p} + 
\varepsilon_t,

Now personally my head just exploded.  But for those with an understanding in mathematics, this type of integration can be an invaluable resource for your advanced trading systems.

Mike

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