Pyramide and Kelly-f,Optimal-f and Secure-f

[NinjaTrader_AdamP]

pedro,

Please find attached a screen shot.

I would suggest attending the Automated Strategy Level I webinar to learn more about using the Strategy Wizard.

http://www.ninjatrader.com/webinars

[pedroivo96]

Adam,
Can you tutorial how make this strategy for me see if I understand all?
Strategy:buy 30% of account AAPL when closes>=the upper Donchian Channel,buy with the remaining money(70%) when the fast SMA crosses above the lower SMA.
Pedro
Ps:I don't know when I change EnterLong(3, "Entry1") to EnterLong(7, "Entry2")

[NinjaTrader_AdamP]

pedro,

I can show you a couple screen shots but generally we don't do custom development for our customers as it would adversely affect our standard of support due to the time consuming nature of it.

How do you define the number of shares to purchase? How far are you into making this strategy already?

It is important to learn the basics here first before you attempt to make something more complicated. It also helps so that we can "speak the same language" with the strategies as my instructions for how to do this may not be understandable to you until you understand the basics.

I would suggest watching this to get started on strategy development : http://www.youtube.com/watch?v=fVFqw5W8uGI

Here are two tutorials on using the strategy wizard : http://www.ninjatrader.com/support/h...strategies.htm

Here are our NinjaScript educational resources : http://www.ninjatrader.com/support/h..._resources.htm

[pedroivo96]

Adam,
I read everything about strategy development process,but I didn't find anything about buy a percentage of the account in set1 and the the remaining of the account in set2.
I'm sure that you know ho do this,and you will spend only a few minutes to tell me with screen shots.
I searched for how do this in everywhere,but I didn't find anything.
I was looking for this a long time.
Pedro

[NinjaTrader_AdamP]

pedro,

The example I gave you is more for setting some contracts based on a 70% / 30% split of some static value but won't factor in account size. For this you would need to program it in NinjaScript.

Here is an example :

protected override void OnBarUpdate()
{

double account_value = GetAccountValue(AccountItem.BuyingPower);
double percentage_to_risk_of_account = 0.1;  //10%

// calculate how many orders you want here
int totalorderquantity = (int) ( (percentage_to_risk_of_account * account_value) / Close[0]);

if ( CrossAbove(Close, DonchianChannel(period).Upper , 0) )
{
    EnterLong( ((int) totalorderquantity *0.3), "Entry1");
}

if( Position.MarketPosition == MarketPosition.Long  && CrossAbove(SMA(fast), SMA(slow),0) )
{
    EnterLong( ((int) totalorderquantity *0.7), "Entry2");
}

}

To be clear here, you will need to learn NinjaScript to understand this better. I would suggest spending some time browsing our forum, as well as learning from our educational resources. If you ask specific questions we are able to answer them, however we typically do not do any custom coding of strategies nor write individual tutorials unless we get a lot of interest in a particular subject.

NinjaScript support forum : http://www.ninjatrader.com/support/f...splay.php?f=16

Forum reference samples : http://www.ninjatrader.com/support/f...splay.php?f=30

Basic programming concepts : http://www.ninjatrader.com/support/h...g_concepts.htm

Help guide : http://www.ninjatrader.com/support/h..._resources.htm

Good educational video on NinjaScript : http://www.youtube.com/watch?v=JZpo01eSO9c

If you need any further assistance programming your strategy here but don't have the time, I would suggest getting in contact with a NinjaScript consultant.

http://www.ninjatrader.com/partners#NinjaScript-Consultants

[pedroivo96]

Adam,
I code my startegy and added a exit(SMA 5 crosses below SMA 14),but I couldn't compile because had a error.
Please tell me where I went wrong!

protected override void Initialize()
           {
			Add(DonchianChannel(20));
			Add(SMA(30));
                        Add(SMA(50));
			Add(SMA(5));
                        Add(SMA(14));
			
                       CalculateOnBarClose = true;
           }

           /// <summary>
           /// Called on each bar update event (incoming tick)
           /// </summary>
        protected override void OnBarUpdate()
        {
			double account_value = GetAccountValue(AccountItem.BuyingPower);
                        double percentage_to_risk_of_account = 0.1;  //10%

                       // calculate how many orders you want here
                       int totalorderquantity = (int) ( (percentage_to_risk_of_account * account_value) / Close[0]);

                      if ( CrossAbove(Close, DonchianChannel(20).Upper , 0) )
                 {
                      EnterLong( ((int) totalorderquantity *0.3), "Entry1");
                 }

                      if( Position.MarketPosition == MarketPosition.Long  && CrossAbove(SMA(30), SMA(50),0) )
                 {
                      EnterLong( ((int) totalorderquantity *0.7), "Entry2");
                 }
		      if( Position.MarketPosition == MarketPosition.Long  && CrossBelow(SMA(30), SMA(50),0) )
	         {
		       ExitLong( ((int) totalorderquantity *1), "");
                 }
             } 
       }

[NinjaTrader_Bertrand]

Please try using this OnBarUpdate() below :

protected override void OnBarUpdate()
        {
	      double account_value = GetAccountValue(AccountItem.BuyingPower);
                    double percentage_to_risk_of_account = 0.1;  //10%

                    // calculate how many orders you want here
                    int totalorderquantity = (int) ( (percentage_to_risk_of_account * account_value) / Close[0]);

                    if (CrossAbove(Close, DonchianChannel(20).Upper, 0))
                 	   EnterLong(((int)(totalorderquantity * 0.3)), "Entry1");
                 

                    if(Position.MarketPosition == MarketPosition.Long && CrossAbove(SMA(30),SMA(50), 0))
                       EnterLong( ((int)(totalorderquantity * 0.7)), "Entry2");
                 
	      if(Position.MarketPosition == MarketPosition.Long  && CrossBelow(SMA(30), SMA(50),0))
	         	 		ExitLong("");
        }

[pedroivo96]

Adam,
I tried to compile the strategy,but had a error.
I've print screen.Please compile the strategy to understand the error.

[NinjaTrader_Bertrand]

The strategy likely would compile fine, but you have another issue in your scalping strategy noted at the bottom of the editor - NT would always compile all your files, so it would be expected in such a case that you can't make progress compiling the opened file at hand. Please remove or fix the other files's offending code lines and see if it would let you take our changes to your script then.

Thanks,

[pedroivo96]

Bertrand,
Now I got!
But I was looking for a better exit strategy,so I tought in ATR.
The stop loss price it's:if the low < (Last Entry Price - (ATR(20)*2)).
How can I do this?
Ps:I'm using the scaling strategy.

[NinjaTrader_Bertrand]

Glad to hear Pedro - you would need to custom calculate a stop price (Position.AvgPrice - ATR) and use SetStopLoss in mode price to set the stop to this value on each bar.

Some traders like to take the entry bar's ATR as reference, other adjust on every bar to amend with changing volatility.

[pedroivo96]

Bertrand,
Of course,I prefer the entry bar's ATR as reference.But I don't know the code to calculate this.
Summary: exit long positions if the low <=(Last Entry Price - (ATR of the First Entry Price(20)*2).
See below to understand better:N = 1.20
I also would like to add positions like the turtle rules,if the high >= Last Entry Price + ˝ ATR of the First Entry Price.But I don't know the code to calculate too.
Please see the images to understand better.
Pedro
To understand the images:
N = ATR(20)
1 Unit = 25% of account
55 Day Breakout = Donchian Channel(55) breakout

[NinjaTrader_Bertrand]

Pedro, we can unfortunately not offer coding services to fully create your system - for this a NinjaScript consultant could be of help offering professional script generation -

http://www.ninjatrader.com/partners#NinjaScript-Consultants

To see how an ATR trailing stop could be constructed you could check out the ATR indicator featured in our user sharing section as a starting point for your own works -

http://www.ninjatrader.com/support/forum/local_links_search.php?action=show&literal=1&search=ATR&desc=1

[pedroivo96]

But can you give me just the code to exit long positions if the low <=(Last Entry Price - (ATR of the First Entry Price(20)*2).
I think it is not difficult.
Pedro

[NinjaTrader_Bertrand]

Pedro, unfortunately we could not custom code this for you - if you're not a programmer or wishing to expand your skills in this area then a certified NinjaScript consultant could be the route to take to get this professionally coded.