Momentum Trading Strategy

[Valyo]

Hi all,

I want to develop a momentum trading strategy.

Here is my code:

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class MyMomentumStrategy2 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int myInput0 = 1; // Default setting for MyInput0
        // User defined variables (add any user defined variables below)
		double maxMomentum = 0;
		// Series of best performing instruments
		IntSeries InstrumentIndexes;
		// This DateTimeSeries is for test and debug purpose only
		DateTimeSeries MomentumChangeDates;
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {

            CalculateOnBarClose = true;
			// I add additional instruments
			Add("ABC",PeriodType.Day,1);
			Add("ABT",PeriodType.Day,1);
			//
			InstrumentIndexes = new IntSeries(this, MaximumBarsLookBack.Infinite);
			MomentumChangeDates = new DateTimeSeries(this, MaximumBarsLookBack.Infinite);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Condition set 1
			// Check if there are enough bars
			if(CurrentBar<14)return;
			if(BarsInProgress==0)
				{
					// First instrument
					maxMomentum=Momentum(14)[0];
					InstrumentIndexes.Set(BarsInProgress);
					MomentumChangeDates.Set(Time[0]);
				}
			else if (maxMomentum<Momentum(14)[0])
				{
					// This is for additional instruments
					maxMomentum=Momentum(14)[0];
					InstrumentIndexes.Set(BarsInProgress);
					MomentumChangeDates.Set(Time[0]);
				}
			if(BarsInProgress==2)
				{
					// For last instrument only:
					// The Print statement is for test and debug purpose only
					Print(MomentumChangeDates[0] + " " + InstrumentIndexes[0] + " " + maxMomentum);
					// Exit previous Long
					ExitLong(InstrumentIndexes[1]);
					// Enter new Long
					EnterLong(InstrumentIndexes[0], DefaultQuantity, "EnterLongSignalName");
				}	
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int MyInput0
        {
            get { return myInput0; }
            set { myInput0 = Math.Max(1, value); }
        }
        #endregion
    }
}

I test it with instrument "A" ("ABC" and "ABT" added). The strategy detects best performing instruments, here is the output:

10.2.2012 23:00 0 3,14
13.2.2012 23:00 0 1,24
14.2.2012 23:00 2 -0,0800000000000018
15.2.2012 23:00 0 0,980000000000004
16.2.2012 23:00 0 1,15
17.2.2012 23:00 2 0,940000000000001
21.2.2012 23:00 2 1

The second column is with InstrumentIndexes, that is BarsInProgress for best performing instruments. So the strategy detects them correctly.

I expect to ExitLong with Instrument_0 on 14.2.2012 23:00 and to EnterLong with Instrument_2. Then ExitLong with Instrument_2 on 15.2.2012 23:00 and EnterLong with Instrument_0, and so on.

But the strategy executes only one entry on 27.01.2012 (the first day) and only one exit on 25.01.2013 (the last day).

What is wrong with my strategy?

[NinjaTrader_Joydeep]

Hello Valyo,
Welcome to the forum and I am happy to assist you.

You have set the value for InstrumentIndexes at BarsInProgress == 0. Thus it will always return 0. Is that what you meant to do.

If you are trying to enter in one data series and exit on another then please refer to this sample code which is on similar lines

http://ninjatrader.com/support/forum/showthread.php?t=5787

I would suggest further debugging you code. Please refer to this post which further illustrates how to debug a NinjaScript code with NinjaTrader.

http://www.ninjatrader.com/support/forum/showthread.php?t=3418

[Valyo]

Hello Joydeep,

I corrected the code:

#region Variables
        // Wizard generated variables
        private int myInput0 = 1; // Default setting for MyInput0
        // User defined variables (add any user defined variables below)
		// Series of max Momentum
		DataSeries MaxMomentum;
		// Series of best performing instruments
		IntSeries InstrumentIndexes;
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {

            CalculateOnBarClose = true;
			// I add additional instruments
			Add("ABC",PeriodType.Day,1);
			Add("ABT",PeriodType.Day,1);
			//
			MaxMomentum = new DataSeries(this, MaximumBarsLookBack.Infinite);
			InstrumentIndexes = new IntSeries(this, MaximumBarsLookBack.Infinite);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Condition set 1
			// Check if there are enough bars
			if(CurrentBar<14)return;
			if(BarsInProgress==0)
				{
					// First instrument
					MaxMomentum.Set(Momentum(14)[0]);
					InstrumentIndexes.Set(BarsInProgress);
				}
			else if (MaxMomentum[0]<Momentum(14)[0])
				{
					// This is for additional instruments
					MaxMomentum.Set(Momentum(14)[0]);
					InstrumentIndexes.Set(BarsInProgress);
				}
			if(BarsInProgress==2 && (InstrumentIndexes[0] != InstrumentIndexes[1]))
				{
					// For last instrument only:
					// The Print statement is for test and debug purpose only
					Print(Time[0] + " " + InstrumentIndexes[0] + " " + MaxMomentum[0]);
					// Exit previous Long
					ExitLong("ExitLongSignalName","EnterLongSignalName");
					//ExitLong(InstrumentIndexes[1]);
					// Enter new Long
					EnterLong(InstrumentIndexes[0], DefaultQuantity, "EnterLongSignalName");
				}	
        }

Now MaxMomentum is a DataSeries.
For every current bar MaxMomentum is set to be equal to the greatest momentum and InstrumentIndexes is the index of the corresponding instrument.
Then ExitLong and EnterLong are executed only if there is a change in InstrumentIndexes.
As far as I understand SignalName and FromSignalName are some identifiers for positions.
So

ExitLong("ExitLongSignalName","EnterLongSignalName");

means

Exit Long with identifier "EnterLongSignalName" (if there is such long position) and identify this exit as "ExitLongSignalName"

Is this correct?
The above code still doesn't work. It doesn't execute ExitLong. There is only one entry - on the first day and exit on close (on the last day).
I tried to specify explicitly the instrument:

ExitLong(InstrumentIndexes[1],DefaultQuantity,"ExitLongSignalName","EnterLongSignalName");
					
					// Enter new Long
					EnterLong(InstrumentIndexes[0], DefaultQuantity, "EnterLongSignalName");

And it doesn't work. There is something I don't understand.

[NinjaTrader_Joydeep]

Hello Valyo,
You logic for assigning the values for the series InstrumentIndexes is still not clear.

What exactly you are trying to achieve using it.

if(BarsInProgress==0)
{
	// First instrument
	MaxMomentum.Set(Momentum(14)[0]);
	[B]InstrumentIndexes.Set(BarsInProgress);[/B]
}
else if (MaxMomentum[0]<Momentum(14)[0])
{
	// This is for additional instruments
	MaxMomentum.Set(Momentum(14)[0]);
	[B]InstrumentIndexes.Set(BarsInProgress);[/B]
}

The code as highlighted in bold gets reassigned on BarsInProgress 1 or 2.

[Valyo]

Hello Joydeep,

OnBarUpdate() is called for every BarsInProgress. I am trying to set values of InstrumentIndexes[0]. I need it to be equal to BarsInProgress index of the instrument with greatest momentum.

Is this code correct or I should use:

if(BarsInProgress==0)
{
// First instrument
MaxMomentum.Set(Momentum(14)[0]);
InstrumentIndexes[0]=BarsInProgress;
}
else if (MaxMomentum[0]<Momentum(14)[0])
{
// This is for additional instruments
MaxMomentum.Set(Momentum(14)[0]);
InstrumentIndexes[0]=BarsInProgress;
}

?

[Valyo]

Let's say I have opened long position with Instrument_0. On the next day I see that the price of Instrument_1 is increasing faster than the price of Instrument_0, that is

Momentum(Instrument_1)>Momentum(Instrument_0)

Then I want to update my portfolio, I want to close my long position with Instrument_0 and to open long position with Instrument_1.

This is what I am trying to achieve with the strategy.

[NinjaTrader_Joydeep]

Hello Valyo,
You have coded a multi instrument strategy and as such the variable InstrumentIndexes may get reassigned when a subsequent secondary bars series gets updated (on the same day).

Yes, the orders will be tagged with the entry order name if coded so.

[Valyo]

Hello Joydeep,

For the moment I want the strategy to work with historical data and backtest.

It seems that InstrumentIndexes.Set(BarsInProgress); works well, because I see different values of InstrumentIndexes in the output screen.

I just need to set up ExitLong and EnterLong, so that every time when the instrument with highest Momentum changes, I exit long position with the previous instrument and enter long position with the new instrument.

How can I specify what order I want to exit?

Yes, the orders will be tagged with the entry order name if coded so.

How can I code the orders to be tagged with signal names? It seems it is not enough to add strings to ExitLong and EnterLong. Should I add actions with the strategy wizard and with the signal names? Can I do it in the script directly?

[NinjaTrader_Joydeep]

Hello Valyo,
Tagging the name should be enough to tie an Entry and Exit order. Please refer to this sample code which further demonstrates it.

http://ninjatrader.com/support/forum/showthread.php?t=5787

[Valyo]

It works! Deep thanks, Joydeep!

The strategy analyzer output is strange. The Instrument column is strange, but I compared Order time values with the Output screen time values and they are the same.

One more question: Is there any way to import Forex historical data in the free version of NinjaTrader? I see only Index and Stock master instruments in Instrument Manager.

Thanks again.

[NinjaTrader_Joydeep]

Hello Valyo,
Yes, Forex is supported in NinjaTrader. However it would depend if your connectivity provider supports forex or not.

Please refer to the section "Understanding the data provided by your connectivity provider" from our help guide to know which of our supported connectivity provider supports forex

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

[Valyo]

Hello Joydeep,

I connected to Kinetick and now I have Currency instruments. Thanks!