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and NinjaTrader Tradestation platform! Capital

Finally!, After several weeks without lifting head of the code, migrating and testing systems on Monday I started to work with Tradestation.
'm feeding it with the IB data feed through Owndata and release orders in the TWS I am using the super interface of NinjaTrader.

The Tradestation is an impressive platform, it seems that every last detail has shined. The Easy Language is relatively easy and fast, most of the functions are abbreviated and this makes the program a system does not require many lines of code in other languages \u200b\u200bsuch as Visual Basic or AFL. Apart
this, in the default program are many strategies that can serve to give us ideas on how to improve systems, different trailings stops, entrances, exits, etc.
statistics are complete systems and everything is perfectly detailed, ultimately ... Now I can see that we're playing in first division! .

The NinjaTrader software is a simply spectacular, I came on the recommendation of a friend (thanks James) to use its interface between TWS and Tradestation, and that's how I'm using now, but I'm giving use can assume only 5% of all the tools you have. It is a complete platform for developing and implementing automated systems.
Among the many functions have:

• Language Ninjascript for the development of indicators and strategies.

• Interface to automate systems from Tradestation and eSignal.

• strategies Optimizer (normal variables).

• Optimizacior strategies through Walk Forward method .

• Automation in NinjaTrader strategies designed in 12 different brokers.

• FA supports both bills as NinjaTrader Tradestation.

• Statistics very comprehensive systems (drawdowns, net profit, MAE, MFE etc.).

is an innovative platform that I'm sure will be talking about in the coming years, the team notes that more work in the software content in the presentation itself (although is also is good) and that is something that gives me confidence.

And now the big question what platform or use NinjaTrader Tradestation?

In my time I have not yet drawn a definitive answer, but I've noticed a few details.
The tradestation software is a much lighter, consumes less resources and frequency of plotting is a bit faster than that of NinjaTrader. The latter seems to be a little heavier and it takes longer to load, is slow to load the workspaces and charting the frequency is slower.
For now I can not make an objective assessment as to which of the software is better, what is clear is that both platforms are impressive. And possibly in the coming months I will do is to develop systems in the NinjaTrader (since the Walk Forward Optimization method saves a lot of work) and deploy them to the Tradestation because it is something less heavy.


That's all for now folks, a greeting and good weekend.
Marting.

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initial risks and drawdowns.

I wanted to write this article for some time, but in recent weeks with this "monkey business" platforms I just had some time to devote to anything but not this. The

issue of how to determine the initial capital to launch a system or set of systems is something on the one hand many brokers or companies that provide management services to customers recommended minimum capital in most cases is extremely low, there are even companies that appear to compete with each other to see who gets to offer their customers more for less money systems. Actually and unfortunately, some of these companies are more interested in the customers' money to generate commissions be monetized, and this is the root of most problems are caused by mismanagement in monetary management.

On the other side after searching and searching information in books and implementation of systems have not found any concrete way of determining the capital that is clear and convincing. In most cases the typical formula for calculating it is explained:

Initial Capital = Maximum Drawdown * (2 or 3) + guarantees

The main problem with this formula is the risk involved .
If we had a real operational Drawdown that will provide 2 times the maximum calculated Drawdown Back-testing this would nothing more and nothing less than a total loss of 50%! ( in the event that guarantees maximum is equal to Drawdown)

may well think that this situation is very difficult for you want, but you just have to shop around the net to see that there are dozens of systems qu and have multiplied X 2 and X 3 peak Drawdown in recent years.

If we operate with a set of systems the chances of this happening are increased even more, because systems, like that markets can go from having a negative correlation to positive quickly and that do two drawdowns that occurred at different points in simulation are given at the same moment in a situation real.

For these reasons I do not like this way of calculating the initial capital, so after giving a lot around the issue have come to a conclusion much more conservative calculation, that is:

Calculate what Drawdown will be the future, this will be the maximum Drawdown thrown in back-testing multiplied by 3, and this information must account for 25% of initial capital for just one example:

If I have a set of systems with a maximum Backtesting drawdown of € 5,000 in then: DD

future = 15,000 €
Initial Capital = 15,000 / 25% = 60,000 €.

In this way we ensure that even in an extreme case where we have a real Drawdown 3 times higher than in back-testing, it will not be a loss of more than 25% of the total capital and this would be an 8, 33% in back-testing.

In the case of decreasing the risk even further could reduce the% Max Drawdown will mean the future, the less risk as ever greater capital in icial and vice versa.



Finally I uploaded a screenshot that represents the different initial capital as a function of different percentages assumptions Drawdown for a maximum of 15,000 €

That's all for now, if anyone has come up here and have not fallen asleep or is drooling keyboard thank you very much! and over if you want to leave a message with your opinion a lot better still.

A greeting and good weekend!

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Comparison system closures AmiBroker

This system Buy 2 contracts when today's close is greater than yesterday's close. If given the opposite condition sold 2 contracts.
has 3 buttons that are configured Start Trading, Trading and Close End Open positions.

Copy and paste in the Formula Editor window

StaticVarGet Autotrading = ("Autotrading");
if (IsNull (Autotrading)) StaticVarSet (Autotrading ", 0);
ATonTrigger = ParamTrigger (" Start Trading Machine "," START ") ;
ParamTrigger AToffTrigger = ("Weekend Trading Machine", "STOP");
if (ATonTrigger) StaticVarSet (Autotrading ", 1);
else if (AToffTrigger) StaticVarSet (Autotrading", 0);
Autotrading = StaticVarGet ("Autotrading");
/ / terms of purchase
Buy = Ref (C, -1)> Ref (C, -2) AND (Autotrading)
if (LastValue (Buy)) {

Avulsion
GetTradingInterface ibc = ("IB");
/ / check that
ok if (ibc.IsConnected ()) {

/ / comrobamos no
positions if (ibc.GetPositionSize (Name ()) {< 0 )
/ / / / retrieve orderID from previous run, will be empty if no order WAS Placed Before StaticVarGetText
OrderID = ("OrderID" + Name ());
/ / launched a market order and transmit
ibc.ModifyOrder OrderID = ( OrderID, Name (), "Buy", 2, "MKT", 0, 0, "Day", True);
StaticVarSetText ("OrderID" + Name (), OrderID);
}}



} / / terms of sale
Sell = Ref (C, -1) < Ref( C, -2 ) AND (AutoTrading);
if (LastValue (Sell)) {
Avulsion GetTradingInterface
ibc = ("IB");
/ / check if this ok
(ibc.IsConnected ()) {

/ / Check that there is an open position
if (ibc.GetPositionSize (Name ())> 0)
{/ / / / retrieve orderID from previous run, will be empty if no order WAS Placed Before StaticVarGetText
OrderID = ("OrderID" + Name ());
/ / launched a market order and transmit
OrderID = ibc.ModifyOrder (OrderID, Name (), "Sell", 2, "MKT", 0, 0, "Day", True);
StaticVarSetText ("OrderID" + Name (), OrderID);

}}}


CerrarTodo = ParamTrigger ("Close all positions "," CLOSE ALL ");
if (CerrarTodo AND autotrading) {

ibc.CloseAllOpenPositions ();
StaticVarSetText (" OrderID}


",""); / / Draw arrows
Plot (Close, "Close", 1, 128);
PlotShapes (IIf (Buy, shapeUpArrow, shapeNone) 5.0, L, -20);
PlotShapes (IIf (Sell, shapeDownArrow, shapeNone), 4.0, H, - 20);

/ / notice if trading is active or not
Title = "\\ n" +
"MODE OF TRADING:" + WriteIf (Autotrading, "ON", "OFF");

IMPORTANT: To make the system work the first order is to launch at market manually.

This system had run for an hour without any problem, this is the capture of all orders made:



Once the system is working to stop and cancel the press position Right-click on the graphic that is inserted the system (in this case below) go to Settings / Cancel All positions.

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