Tactical Portfolio Strategies

[oyz79]

I have been using the strategy wizard to develop some basic strategies. Is it possible to use NT to build a trading system for allocating among multiple instruments?

For example, a simple system might involve going long the 1 ETF among SPY, TLT, and EEM with the highest momentum over the past x bars and rebalancing or rerunning the system every y bars.

Could a system like this be created using the strategy wizard?

[NinjaTrader_Joydeep]

Hello oyz79,
Unfortunately you cannot do it using the strategy wizard. You can however do it using the NinjaScript Editor by creating a multi-series NinjaScript code.

Please refer to our help guide to know more about multi-series NinjaScript code logics

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

[oyz79]

Thanks, I found a good example on the forum of what I am looking to create in terms of multi-instrument systems.

Scripting question: how can relative returns for multi-instruments in a certain period be scripted (not RSI, but returns relative to the instruments in the rest of the portfolio)?

For example, buy the top x instruments that have the highest returns over the past 10 days?

[NinjaTrader_Joydeep]

Hello oyz79,
Unfortunately there are no native ways to do it. You have to create a multi-instrument NinjaScript code to do it.

Though not in similar lines, you can refer to this member submitted code which will give you ideas on how to code a multi-instrument NinjaScript code

http://www.ninjatrader.com/support/forum/local_links.php?action=ratelink&linkid=456&catid=-1&lpage=1