Spread Strategy

[Auxtin Maquieyra]

Hello im doing a spread strategy between ES and YM futures.

I want to make the difference between the logs of the two series (create a spread variable), then Standard Deviation of the new variable spread is calculated and enter the market when another variable integer is ¨x¨ times the Standard Deviation. How can I make this easy?

Thank you a lot. Im getting crazy whit this.

Auxtin.

[NinjaTrader_PaulH]

Hello Auxtin Maquieyra,

Thanks for your post and welcome to the NinjaTrader forums!

This could be done using a custom written ninjascript strategy. Just to be clear, NinjaTrader support does not provide coding or debugging services.

If you would like to create this on your own, we can assist with providing links to learning Ninjascript which is based on C# programming language.

You may want to look at the NinjaTrader indicators file sharing area here on the forums as there are a few "spread" type indicators that may get you started. You can access the file sharing area here: https://ninjatrader.com/support/foru...ks.php?catid=4

Alternatively, if you would like this strategy created for you, we can provide references to 3rd party programmers who can provide the coding service.

[Auxtin Maquieyra]

Actually im trying to code it. The problem is that I cannot make a variable that is iqual to the difference between two log timeseries, i get an error when making the difference of timeseries. How would it be? Then i will calculate the standar deviation of that variable and I have what i want.

Thank you for the quick response.

Salutes from Argentina.

Auxtin.

[NinjaTrader_PaulH]

Hello Auxtin Maquieyra,

Thanks for your post.

If you can post part of the code that is generating the error (and the supporting parts) I would be glad to take a look to see if there is anything out of order.