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NinjaScript has two functions that you may want to look into: Low[x], which gives you the low price of the x. bar back, and LowestBar(y) which gives you the index number of the lowest bar within a lookback period of y bars. So, for example, the lowest price within the last 100 bars would be =...

Couldn't you just manually issue 2 OCO orders (each with an ATM strategy, if desired), one above the low and one below the high of the day? Check Help if you don't know how OCO orders are issued.

I also think it is possible, but I don't think you could do it without line-by-line NinjaScript programming. Working with 10 different data series is a little challenging, but feasible.

Ninjatrader lets you program your own indicator as well as your trading program that uses your indicator as input. Both could be programmed without any knowledge of the programming language (NinjaScript) using a program editor, although with limited capabilities compared to using the language.

NinjaTrader has a strategy wizard that lets you develop rule-based strategies (like IF-THEN strategies) without writing code.

The answer depends somewhat on what you trade. If it is stocks, forex or futures, then you could give NinjaTrader a try. The programming capabilites of their language - NinjaScript - are pretty good, and it comes with a wizard for creating a NinjaScript program that lets you automate trading...

I use NinjaScript a lot. Help and documentation is not bad, and because it is an extension of C#, you can use the huge documentation of Microsoft's C language family. NinjaScript comes with an easy-to-use wizard for simpler programs, where you don't have to actually write code.

I would post that question in the NT forum. They are pretty fast with responding, although quality is mixed...

One common problem is, as you sure know, curve fitting. On testing a new strategy, my first approach to check curve fitting sensitivity is to optimize parameters for a first period, e.g. two years, and then see how performance is in the following year(s) using these parameters. Sometimes I...

Sorry, yes, NinjaTrader.

Is there a way to let the Strategy Analyzer run on several instruments simultaneously, using the same strategy but different parameters for each instrument?

I looked into that, and IB told me there is no way around the auto shut-off. I could have lived with that, if there were an auto log-on to re-connect you. But at the time I checked there wasn't. So, I concluded that IB is not for automated trading if you want to hold and trade positions overnight.

If you look for a broker, IMO the "best" one (whatever that is) depends on what you want to trade. I found the following: For options, it's TOS (far better software than anything else I tried) for stocks, it's IB (good platform and low commissions) for futures, it's important to pick a...

Try this, it may be right for you: http://ensign.editme.com/ninja Most traders having experience with both data feeds - including myself - know that ZenFire is far superior to the IB/API data feed.

Finally, I did what edbar suggested: Instead of actually trading the randomly generated entry and exit signals, I registered the bid prices and calculated a theoretical profit/loss based on the bid prices of each entry/exit pair. After a few hundred "trades", the results were close to zero...

I like your idea of eliminating the bid/ask spread. Now the outcome has to be close to zero, provided the sample is big enough. We'll see.

I said earlier it is about 250 trades in one continuous run. I think it is very difficult (impossible?) to prove if a significantly higher number of trades - like the 10,000 you suggested - would bring out significantly different results. By the way - I made about a total of 8 runs (about 2,000...

That's an interesting thought. The reason why I chose to threw randomly short or long orders at the market is that usually the price action itself is biased, at least over a reasonable period of time. So, if my run contains only long trades and the market trends up during that time, I would...

I use the random class available in .NET languages, it generates pseudo random numbers; but I always change the seed value, so it should be "random" enough for my purposes.

Not at all. After a time span determined by the random generator the trade is closed, no matter what the result is. Remember, this trading program is not about making money. The only purpose is to find out what the market's response is to randomly generated entry and exit orders.