Simple Parabolic/Stochastic RSI strategy - help

[KentLaw]

I am new to Ninja Trader. The program I used before was automated for building strategies so I do not have experience programming. I am feeling a little overwhelmed when trying to build a simple strategy.

I would like to use the Parabolic SAR with default settings and the Stochastic RSI with default settings.

Parabolic SAR - AccFactor Value - 0.02, MaxAcc Value - 0.2, Colour on rise - green, colour on fall - red, symbol - dot, Trade Type - stop and reverse, Trade at bars close, Allow multiple entries in the same direction, show indicators on chart, show trades on chart.

Stochastic RSI - RSI Value - 14, % K Value - 8, % D Value - 5, Weighted - N, Style - line, Colour - blue, Trade Type - OvBought/OvSold enter zone, Overbought Line - 80.0, Oversold line - 20.0, Line Colour Red for Overbought and Oversold.

Stop - 70
Profit - 0 - with an option of "with a retracement from high profit of 1%". - I am not sure if this an option in Ninja Trader or not. This particular setting increases the winning trades and decreases the losing trades substantially. Maybe the "chase" feature is similar??

Any help you could give me with this would be so appreciated. I have tried copying and pasting from the original indicators into my strategy but am not sure how they should be put together without all of the errors that I keep getting.

Please let me know if you can help. Thank you so much!
Kathy

[koganam]

I am new to Ninja Trader. The program I used before was automated for building strategies so I do not have experience programming. I am feeling a little overwhelmed when trying to build a simple strategy.

I would like to use the Parabolic SAR with default settings and the Stochastic RSI with default settings.

Parabolic SAR - AccFactor Value - 0.02, MaxAcc Value - 0.2, Colour on rise - green, colour on fall - red, symbol - dot, Trade Type - stop and reverse, Trade at bars close, Allow multiple entries in the same direction, show indicators on chart, show trades on chart.

Stochastic RSI - RSI Value - 14, % K Value - 8, % D Value - 5, Weighted - N, Style - line, Colour - blue, Trade Type - OvBought/OvSold enter zone, Overbought Line - 80.0, Oversold line - 20.0, Line Colour Red for Overbought and Oversold.

Stop - 70
Profit - 0 - with an option of "with a retracement from high profit of 1%". - I am not sure if this an option in Ninja Trader or not. This particular setting increases the winning trades and decreases the losing trades substantially. Maybe the "chase" feature is similar??

Any help you could give me with this would be so appreciated. I have tried copying and pasting from the original indicators into my strategy but am not sure how they should be put together without all of the errors that I keep getting.

Please let me know if you can help. Thank you so much!
Kathy

Your description is a bit too sparse.

You have not specified the entry signal and how it is to be generated.

This will almost certainly have to be explained:
"Stop - 70
Profit - 0 - with an option of "with a retracement from high profit of 1%"."

I cannot fathom its meaning.

[NinjaTrader_Joydeep]

Hello KentLaw,
Unfortunately we do not do custom NinjaScirpt coding.

I will however leave the thread open for any of our forum members.

To develop your custom indicator/strategies you can also contact any of our independent NinjaScript consultants. You can get the list of our NinjaScript consultants from here http://www.ninjatrader.com/partners#...pt-Consultants

[KentLaw]

Koganam

Hi Koganam

Thanks for replying to my thread. I will have to do more digging. I will send more info as I get it.

Thanks
Kathy

[KentLaw]

Further Information on the Parabolic/Stochastic Strategy

Hi Kogonam,

Here is a little more informaiton on the Parabolic / Stochastic Strategy that I need help with.

Parabolic SAR - Sells on first dot of down swing / Buys on first dot of up swing. Stop and Reverse.
Closes on reversal if not already closed by limit or stop order.

Stochastic RSI - Sells when Stochastic RSI line crosses above the Oversold Line at 20. Buys when the Stochastic RSI line crosses above the Overbought Line at 80.
Closes when limit or stop order reached.

The stop is the same for both indicators - set at 70

The limit - I can tell you what I have set in the program that I am currently using. I cannot get into the code so can only assume what it means.

Limit is set to 0. There is an option beside it "Retracement from high profit percentage" which is set to 1%.

I can only assume that when a price moves in the desired direction and then it retraces by 1% from the entry price, then the trade closes. For example: Let's say you enter a buy trade, the price moves up by 10 ticks, and then moves back down by 1 tick - the trade would close. I really am only guessing on this - but if we could figure out a way to make it work in this way, I could then test it against the other system and we could tweek it a bit from there.

Here is a sample of the difference this limit makes:

Example #1:
Parabolic SAR and Stochastic RSI - default settings
Stop 70 Limit 20

Tested over past year
Gross Profit: 10266.48
Gross Loss: (9058.50)
Net Profit: 1207.98
Total Trades: 1014
Winning Trades: 580
Total Losing Trades: 434
% Profitable: 57.2

Example #2:
Parabolic SAR and Stochastic RSI - default settings
Stop 70 Limit 0 and "Retracement from high profit % - set to 1

Tested over past year on same chart as above
Gross Profit: 13844.99
Gross Loss: -280
Net Profit: 13564.99
Total Trades: 1081
Winning Trades: 1024
Losing Trades: 57
% Profitable: 94.73

So you can see what a difference this one option can make that I am trying to figure out.

Thanks again for any help that you can give me and let me know if need any further information.

Kathy

[koganam]

... The limit - I can tell you what I have set in the program that I am currently using. I cannot get into the code so can only assume what it means.

Limit is set to 0. There is an option beside it "Retracement from high profit percentage" which is set to 1%.

I can only assume that when a price moves in the desired direction and then it retraces by 1% from the entry price, then the trade closes. For example: Let's say you enter a buy trade, the price moves up by 10 ticks, and then moves back down by 1 tick - the trade would close. I really am only guessing on this - but if we could figure out a way to make it work in this way, I could then test it against the other system and we could tweek it a bit from there.

Kathy

At first blush, most of what you write seems capable of being handled by the Strategy Wizard, so that should be fast enough to get a quick-and-dirty code base.

However, you will still have to better describe your exit strategy. Unfortunately, as written, it would most likely never make any profit. I believe there must be a quantum of profit made before the retrace exit kicks in. This is because no market goes straight in one direction for long enough for a 1% retrace to be insignificant. Take even the example you give, which incidentally is itself a 10% retrace (1/10), not 1%.

What that means, is that you need at least a 100 tick advance with no retrace (!!), and then a 1 tick retrace would take you out. That is because a 1 tick retrace of any advance before 100 tick will exceed 1%. Assume we shot out of the gate and made (a very unlikely) 20 tick profit. A 1 tick retrace will be 5% and you are out. Much more likely in my experience of this market, You will get a 2, maybe 3 tick advance, then a 1 tick or more retrace. That means that you get, after entry, a 100%, 50%, 33.3333% or more retrace nearly instantly.

[KentLaw]

Additional info on the Retracement from High Profit %

Hi Koganam,
My apologies, I did not use a very good example and you are correct it did not make sense.
This is what I am trying to achieve with the Limit and option of Retracement from High Profit % option:
Once the market passes your initial limit, it will continue to take profit and not close the trade until it retraces “x” percentage that you select from the highest it went bullish. The opposite is the same for bearish movement.
So, if your initial limit is 10 pips and the Retracement from high profit is 2% and the market goes up bullish 100 pips without any pullback, then pulls back 2 pips, the trade will close since it retraced 2% from the highest it went after clearing the 10 pip limit.

Any thoughts on programming something like this?
Although it does not seem that it would make much difference as an added option, it does.
Thanks Kathy