mtzimmer1 

What modifications have you made? I've been trying out some different ideas and have found mixed results thus far.

I use order flow (Jiigsaw ladder) and the volume profile provided by ninja to set unconventional stops and targets. I also come in with 2 contracts, take my first profit, set my breakeven, and let the last contract ride.

MiamiTrader 

I've been testing a modified strategy of this and here are my results so far. It's for the MES and only around 140 trades but looks promising so far.

You need to include commission in your back test, but nonetheless, impressive PF!

JonnyBoy 

You need to include commission in your back test, but nonetheless, impressive PF!

Thanks. Right, I believe there is a section in NT to put that info. For what its worth I use Phillip Capital and round trip with 2 CT is $1.84 (see breakdown below).

COMMISSION -0.36 USD
NFA FEE -0.08 USD
ROUTING FEE -0.60 USD
CLEARING FEE -0.80 USD
TOTAL COMM & FEES -1.84 USDE

MiamiTrader 

Thanks. Right, I believe there is a section in NT to put that info. For what its worth I use Phillip Capital and round trip with 2 CT is $1.84 (see breakdown below). COMMISSION -0.36 USD NFA FEE -0.08 USD ROUTING FEE -0.60 USD CLEARING FEE -0.80 USD TOTAL COMM & FEES -1.84 USDE

There sure is.

Tools > Commissions and then under 'Future' add in 50% of your full round $ turn in the 'Per-unit commission'.

When you tick the Commission box (when running a back test) the commission will be applied for opening and closing of a position which will equate to the full round turn cost. Are you really paying $1.84 for a full round turn on the Micros? That seems a little higher than average.

Also, was this just a regular back test under Strategy Analyzer or Market Replay? If it was under Strategy Analyzer then your results might fall into the category of one of NinjaTrader's back testing gotcha's, in that the "real'' results could be quite different.

Typically, I use the Strategy Analyzer to get me in the ballpark of whether I want to continue pursuing a particular strategy. Simply put, I would back test using market replay on a playback connection. The results will be much more accurate as the granularity of the back test will be per tick.

If this is in Market Replay, then I would say you may have a good setup here to explore further using a larger data set, in and out of sample, walking forward etc. that kind of thing.

EDIT: On reflection I was probably too harsh on Strategy Analyzer. It is actually very good to use for very quick testing and saves a lot of time rather than doing market replay. It sucks at back testing exotic bars but if you don't use these I am going to say that Strategy Analyzer will probably be good enough.

JonnyBoy 

There sure is. Tools > Commissions and then under 'Future' add in 50% of your full round $ turn in the 'Per-unit commission'. When you tick the Commission box (when running a back test) the commission will be applied for opening and closing of a position which will equate to the full round turn cost. Are you really paying $1.84 for a full round turn on the Micros? That seems a little higher than average. Also, was this just a regular back test under Strategy Analyzer or Market Replay? If it was under Strategy Analyzer then your results might fall into the category of one of NinjaTrader's back testing gotcha's, in that the "real'' results could be quite different. Typically, I use the Strategy Analyzer to get me in the ballpark of whether I want to continue pursuing a particular strategy. Simply put, I would back test using market replay on a playback connection. The results will be much more accurate as the granularity of the back test will be per tick. If this is in Market Replay, then I would say you may have a good setup here to explore further using a larger data set, in and out of sample, walking forward etc. that kind of thing. EDIT: On reflection I was probably too harsh on Strategy Analyzer. It is actually very good to use for very quick testing and saves a lot of time rather than doing market replay. It sucks at back testing exotic bars but if you don't use these I am going to say that Strategy Analyzer will probably be good enough.

Actually these are my discretionary live trades on real $$$. I haven't updated the last bot to reflect any of these changes YET. The goal is to eventually move to the ES when i have enough hands so the commissions are minimal.

I have the multi-broker lifetime license. Can you recommend another broker with better commissions than these below that work good with NT? *** BEGIN EDIT **** Just reread your post and there appears to be a misunderstanding. It's $0.92 per round and I'm opening up with 2 contracts which is where I get the $1.84. *** END EDIT ****

https://ninjatrader.com/PDF/ninjatrader_futures_commissions.pdf

With respect to strategy analyzer i never use it. I always run a market replay as I want complete accuracy. I just need to find a better way of storing my results of Market Replay because NT does not save them or the charts. Having to review 2-3 years of charts and numbers is not easy to do in a short period of time. Currently i output my results to Excel to review for later.

Thanks

Hi JonnyBoy,

Hopefully I'm not being a pest. I posted the following question a while back and didn't see a response. Hopefully, you just missed it and you're not giving me the cold shoulder . I appreciate your time and all the knowledge you've shared in this thread. Also, greatly appreciate all the stock charts you posted with the VWAP setup.

Q: Assuming this isn't part of your proprietary secret sauce, may I ask what you mean when you say the market is VWAP long or VWAP short? And in this statement are you referring to ETH or RTH VWAP? (You mentioned this in post #326 in this thread).

Much obliged.


BTW, to answer your question in the previous post, the $1.84 commission for micros in MiamiTrader's post was for 2 contracts. NT Brokerage charges $0.92 per round turn per micro contract (commission plus fees) for lifetime NT license holders. It was $0.82 just a few weeks (or so) ago.

Thanks you.

MiamiTrader 

Can you recommend another broker with better commissions than these below that work good with NT?

I'm unsure if NT works with AMP, but I pay $0.78 R/T using CQG.

sg72 

Hi JonnyBoy, Hopefully I'm not being a pest. I posted the following question a while back and didn't see a response. Hopefully, you just missed it and you're not giving me the cold shoulder . I appreciate your time and all the knowledge you've shared in this thread. Also, greatly appreciate all the stock charts you posted with the VWAP setup. Q: Assuming this isn't part of your proprietary secret sauce, may I ask what you mean when you say the market is VWAP long or VWAP short? And in this statement are you referring to ETH or RTH VWAP? (You mentioned this in post #326 in this thread). Much obliged. BTW, to answer your question in the previous post, the $1.84 commission for micros in MiamiTrader's post was for 2 contracts. NT Brokerage charges $0.92 per round turn per micro contract (commission plus fees) for lifetime NT license holders. It was $0.82 just a few weeks (or so) ago. Thanks you.

Oh yes, I must have missed it. Maybe you didn't tag me?

Although the chart markers (red /green dots) are proprietary, the term VWAP long/short is probably mine, I think anyway. The idea behind them is based the probabilities of price discovery probing the next VWAP line. So, this literally means when a dot triggers on a bar close, price has a high(er) probability of probing the nearest VWAP line in the said direction.

I typically read the first new dot as a "something has changed" read. I.E. the market has gone from VWAP long to VWAP short. Any subsequent dots can be read the same way in that price has a high(er) probability of probing the next "available" VWAP line.

But, as you can see from the attached chart even when a dot plots in the opposite direction (say red to green) and the dot is "wrong" (look at around 08:16 at the VWAP band - after the green dot plotted price never made it to the +SD1 envelope line), however if the next bar subsequently closes below that "wrong" dot that is essentially an entry all by itself in that new direction.

And if you take this logic and say that the next bar that closes higher/lower than the last dot plotted is a change from VWAP short to long and vice versa and you can follow up with an entry, you can essentially bounce a single contract all day and keep reversing position accordingly. But, this is good for certain types of days only.

So, although that may have answered your question, the logic behind it is part of the sauce so that is probably about as useful as a chocolate teapot. However, it is all based on volume profile, price discovery and the local VWAP range of a specific selection of bars.

MiamiTrader 

Actually these are my discretionary live trades on real $$$. I haven't updated the last bot to reflect any of these changes YET. The goal is to eventually move to the ES when i have enough hands so the commissions are minimal. I have the multi-broker lifetime license. Can you recommend another broker with better commissions than these below that work good with NT? *** BEGIN EDIT **** Just reread your post and there appears to be a misunderstanding. It's $0.92 per round and I'm opening up with 2 contracts which is where I get the $1.84. *** END EDIT **** https://ninjatrader.com/PDF/ninjatrader_futures_commissions.pdf With respect to strategy analyzer i never use it. I always run a market replay as I want complete accuracy. I just need to find a better way of storing my results of Market Replay because NT does not save them or the charts. Having to review 2-3 years of charts and numbers is not easy to do in a short period of time. Currently i output my results to Excel to review for later. Thanks

Well you got the best commission out there for sure! And if all of those trades are discretionary then I think you certainly have something great to build on!

JonnyBoy 

Well you got the best commission out there for sure! And if all of those trades are discretionary then I think you certainly have something great to build on!

To clarify, he said his rate is $0.92 per micro R/T (his attached sheet confirms with 0.46 per side) which is significantly higher than the lowest cost retail option I know of ($0.74 in my case).