Ninja Trader strategy converted to MT4/5

Use comments to trading orders for quick analysis of trading history. Sometimes, trade servers write specific comments to this field. Therefore, your robot may additionally write its own daily log of trading operations.

If your trading strategy uses protective Stop Loss and Take Profit levels, describe an algorithm for their calculation and placing methods. For example, Stop Loss can be set only when the price moves by a specified number of points in the profit direction. If SL and TP are to be set after a successful position opening, describe the procedure to check the position opening - immediately after sending a trading order or at the next tick.

Management of trading positions/orders

The basic rule of trader: let your profits run and cut your losses. In algorithmic terms, this means that you should set a protective Stop Loss for each position without limiting potential profits by Take Profit orders.

The stop order size can greatly affect trading results. Often, traders try to find optimal SL/TP distances to maximize profits. Try to find distance calculation algorithms which take into account market volatility, trend direction and support/resistance levels.

You may study existing trading systems to find a suitable SL/TP idea. Many programmers have ready-made libraries, which can be used when creating a trading robot based on your idea.

Consider and describe the following points in the Requirements Specification:

use of Stop Loss and Take Profit levels, distance calculation algorithm;

use of Trailing Stop, conditions to trigger, step calculation algorithms;

if pending orders are used for entries, mention whether they should be trailed and describe the appropriate algorithm;

the necessity to monitor the floating profit/loss of an open position, to close a position upon reaching the specified profit/loss level;

etc.

Cancellation of orders and closing of positions

Another position and order management method is based on time and opposite signals. You may describe additional closure and deletion options, such as:

based on the floating profit or loss value;

when the price moves at the specified distance from the current pending order opening level (which may mean that the opportunity was missed);

at the specified time;

after the specified number of bars;

after the specified time interval;

in case of an opposite signal;

if the favorable setup/pattern disappears.

Order lot calculation

Some traders include trading lot calculation algorithms at the first stage of robot creation. However, it is not recommended to include the money management algorithms for calculating the lot at this stage, since additional input parameters can lead to history-based overfitting during EA optimization.

Better test your first EA version using a fixed lot. Only forward testing using history data and several-month real trading will enable you to reveal the weaknesses and strengths of your algorithm, after which you can add money management methods.

Here are some approaches to calculating position lot size:

fixed volume regardless of profit or loss;

volume depending on the size of the balance or equity;

based on profit/loss obtained;

based on the last N trades (different martingale and anti-martingale techniques);

depending on risk % with the specified Stop Loss;

other risk-based calculations, such as Vince method.

In any case, before adding lot calculation algorithms to the Expert Advisor, make sure that your trading system has an advantage over random trading. Otherwise you will only deceive yourself. A losing system cannot be turned into a profitable one only through money management methods.

Processing trading errors and environment state

A trading robot is an autonomous program, which operates 24 hours a day. Therefore, provide mechanism to control its operation. Your Expert Advisor actions can be written to the Experts journal using the Print() function. In general, it is recommended to record the emergence of signals, patterns and setups, the current market price and trade request parameters before sending an order for execution.

If trade request execution fails, its results should also be written to the log. Analyze trade server return codes to understand the reason for the failure and to fix it. Describe the following in the Requirements Specification:

the situations, in which the EA should write messages to the journal;

what parameters should be included in the message;

required entry format, such as specification of time, numbers, separators, etc.

Detailed logs of trade orders and execution results will allow you to quickly identify trade errors and save your money.

An important point often forgotten by beginning algo traders is the restart of the terminal and loss of Internet or server connection. In such cases you may request the possibility of notification via messaging functions or e-mail.

Difference between bar-opening and in-bar trading

With each price change, the robot starts processing the NewTick event by the OnTick() function. A lot of ticks can be received during a bar lifetime, so the EA will execute its logic at each incoming bar. If your strategy produces signals only at the opening of the bar, then you need to decide the following:

how to calculate trading signals, get indicator values ​​and the trading environment state only at the first tick, skipping the next ones;

what to do if the necessary actions could not be performed at the first tick.

Let's analyze a simple example: a signal at the intersection of moving averages. If your EA checks a signal at each tick, then there may be a situation where the signal appears and then disappears. As a result, the EA will open and close the position several times during one bar. This may cause problems during online trading.

To avoid such problems, test the Expert Advisor in the "Every Tick" or "Every Tick Based on Real Ticks" mode. If you see a lot of similar operations within one bar, then revise your robot's code. Make sure to perform the visual testing of the Expert Advisor and used indicators, to check their operation on different history intervals directly on the chart.

Tick/scalping strategies

If you are a beginner, choose systems operating at new bar opening. Such strategies are easier to develop and debug, while you will only need to provide a proper handling of the New Bar event. You can check the correctness of the Expert Advisor trading at bar opening: testing results in the "Open Price Only" must match results in the "Every Tick"/"Every Tick Based on Real Ticks" mode.

Trading systems operating inside a bar are more difficult. We recommend reading the article How to quickly develop and debug a trading strategy in MetaTrader 5, which contains the description of all steps required to create, debug and optimize the code of a strategy based on the analysis of the continuous tick flow.

When developing a scalping robot, note that such strategies are extremely sensitive to spread, commission, network delays, history quality and performance speed. Any worsening in trading conditions can "kill" such a strategy.

Do not confuse scalping strategies which try to quickly enter the market and catch small guaranteed profit, with so-called pipsing strategies. Pipsing strategy can be targeting a few pips and tolerate a drawdown of tens and hundreds of pips. Developers of such systems believe that the price is likely to pass several points in the open position direction than 50-100-300 points in an unfavorable direction. As a result of optimization, they can achieve impressive results on history, with 90-99% of trades winning. When you run this robot on a real account, the strategy may show expected profits for some time. But the market can make a sharp move at some point, and everything earned will be lost.

Grid, martingale, averaging and the dark side of these techniques

Sometimes, algo traders try to improve results by increasing the number of orders/positions in one direction and manipulating lot value depending on price level/drawdown/loss (technical solutions), rather than improving the quality of signals (strategic solutions).

Additions in the form of order grids, martingale/anti-martingale elements and losing position averaging techniques complicate the code and increase the possibility of a program error. Also, such additional parameters increase the risk of overfitting. The use of such methods does not increase the stability or profitability of a trading system, but can only delay the collapse.

Instead of using such tricks, we recommend choosing another way:

first, create a portfolio of different uncorrelated trading systems on one symbol;

then, you can gradually create a set of portfolios on different instruments.

A portfolio of simple trading systems will be more resistant to market changes than one complex system with multiple optimizable input parameters.

Important aspects of choosing a developer