Pairs Trading Add-On?

[joeydisco]

Hi,

Are there any 3rd party add-ons available for Ninjatrader that allow you to backtest pairs trading strategies?

E.g. IF spread(X-Y) >= 10%
THEN enter long position on Y
AND enter short position on X

etc.

Thanks.

[NinjaTrader_AdamP]

joeydisco,

I am not aware of any premade strategies, but you can take a look at something like this : http://www.ninjatrader.com/support/f...d=4&linkid=367

To get started.

[joeydisco]

That looks like it could be very useful.

Thanks Adam_P.

[novamatic]

If you use that spread calculation, is it actually possible for Ninjatrader to send orders for each of the two seperate instruments in one running strategy? I.e. if the strategy logic indicates you should simultaneously go long A, short B, is NT capable of managing that?
I was always under the impression that one strategy =one instrument.

I would not want to have two strategies each responding to one instrument for each half of a pair trade.

[Radical]

One strategy can handle multiple instruments.

[NinjaTrader_AdamP]

Radical,

Thanks for pointing that out, that is something I forgot to mention.

Strategies can trade multiple instrument or on multiple time frames. As such, you could sell X shares of one stock, and buy Y shares of another. This is known as a "synthetic spread" as you aren't trading the spread itself like an instrument from a broker, you are just buying and selling in some ratio the two stocks that make up your spread.

Currently, it is not possible to trade a spread like an instrument. If you wish to trade "spreads" you would need to trade the synthetic variety.

Here is more information on multi-timeframe and multi-instrument strategies/indicators.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?multi_time_frame__instruments.htm

There is also a reference sample that comes by default with NinjaTrader in Tools > Edit NinjaScript > Strategy known as "SampleMultiInstrument" you may want to look at.

Please note that that indicator I posted in a previous thread is a way of calculating a spread. Strategy logic would be a bit different since you would instruct your strategy to buy and sell at the same time, but on different instruments respectively.