Suggestion - Strategies

[cgeorgan]

A suggestion here would be to keep "Unrealized" and "Realize" PnL persistent for any strategy that has not actually been removed.

Currently, any time a strategy is disabled, but not removed, any realized/unrealized PnL numbers disappear. PnL information is still available in the Account Performance tab, but keeping these numbers persistent keeps things consistent and allows an apples-to-apples comparison between strategies at a glance.

[NinjaTrader_ChristopherJ]

Hello cgeorgan,

Thank you for your post and suggestion. I will forward this to our development team for future considerations.

[NinjaTrader_JoshP]

cgeorgan,

When you re-enable a strategy you are starting a brand new instance of the strategy. Strategies can calculate differently as you re-enable it because it needs to now run through all historical bars again and this can be different than what was seen in real-time. Saving PnL would not make be possible for a strategy that is disabled as it does not correspond to anything since re-enabling it is already a brand new instance.

[dave1992]

cgeorgan,

When you re-enable a strategy you are starting a brand new instance of the strategy.

Which is why when resetting an account the strategy template should not disappear. As you say, the template is just that - a template, not an instance, and it should not be deleted when resetting an account, or rewinding a market replay. Similarly when a strategy has failed for some reason it should be re-enable-able, and not need to be removed and re-added.

[NinjaTrader_ChristopherJ]

Unfortunately the strategy will be removed when resetting the account but I will forward this to our development team. With a strategy enabled while connected to Market Replay when you move the slider back or forward can you please let me know if the strategy disappears for a few moments while it gets the current data or does it disappear completely even after waiting?

Also can you please tell me what version of NinjaTrader you currently have installed which can be found under Help-->About.

[dave1992]

You're missing my point. If a strategy entry that is disabled is not an instance, but just a template, there is no valid reason why it should be removed when the account is reset.

I don't use the slider in replay, I use go-to-date-time. Sometimes the strategy disappears completely, sometimes briefly then comes back. I can't say what the difference is. It certainly disappears completely if you reconnect to Replay.

I'm on Beta 7-18

regards
Dave

[NinjaTrader_ChristopherJ]

Unfortunately this is expected behavior since this requires the instance to removed completely upon disconnect within NinjaTrader.

[dave1992]

Well if it's expected why on earth has it been designed that way? Templates don't get deleted when instances need to be. Please don't say 'it's internal'. How about redesigning it? This is recent functionality right? You have no idea how much time me and other users spend each day adding strategies. It's not even a hot key!! I'm getting RSI from all the mouse clicks in the strategies tab - you can't even sensibly tab through it!

thanks
Dave

[NinjaTrader_JoshP]

Dave,

When a strategy is sitting in the strategy grid it is an instance of the strategy, not a strategy template. You can see all performance results of the strategy in the strategy grid in relation to that exact instance that just ran. Disconnecting and reconnecting from the Market Replay invalidates everything about the performance results of a strategy sitting in the grid on the Replay101 account. As such it has to be removed. This is not new functionality.

Your suggestion has been noted and is on our feedback list for future consideration.

[dave1992]

Dave,

When a strategy is sitting in the strategy grid it is an instance of the strategy, not a strategy template

From your post #3

When you re-enable a strategy you are starting a brand new instance of the strategy

You can't start an instance from an instance. Or if you could, why not pass on PnL as the OP asked? Of course, it could be a 'dead' instance, but why design it like that? Why not make it a much more useful template and save everyone a lot of time. And if you are starting a brand new instance, from scratch, why does enable not work after a strategy failure?

You can see all performance results of the strategy in the strategy grid in relation to that exact instance that just ran.

I'm afraid that proves nothing, and fact it is wrong with respect to other accounts. You can see all performance results of a strategy like sim101 even after reconnecting. Also, you can't tie the performance results to the exact instance that just ran - if you've run two on one day, you'll get both. I realise market replay is somewhat different, but this is not just a market replay problem.

[NinjaTrader_JoshP]

A new instance is created when you re-enable the strategy. Having a disabled strategy still contains all the old ones. It is not possible to pass old to new. There is no way to track all the custom strategy variable states which would make a huge difference in how a strategy makes decisions. These need to be recalculated from the start and as such a new instance has to be used which effectively nullifies the old instance's performance in being relevant for passing forward.

Sim101 does not work like Replay101. Connecting/disconnecting from a feed does not reset Sim101. Connecting/disconnecting Market Replay does reset Replay101 thus wiping anything related to Replay101. If you reset Sim101 manually you would just as well lose strategies in the strategies grid that were attached to Sim101, just like what happens with Replay101 when it resets.

This is how the Market Replay has worked even in 6 and 6.5. Unfortunately any changes to this behavior is a complete overhaul of the concept. We will not be changing this behavior this late into the beta, but it is on our feedback list for review after NT7 reaches a production state.

[dave1992]

Sim101 does not work like Replay101.

That's what I said.

If you reset Sim101 manually you would just as well lose strategies in the strategies grid that were attached to Sim101, just like what happens with Replay101 when it resets.

I know! That's what I'm complaining about.

This is how the Market Replay has worked even in 6 and 6.5. Unfortunately any changes to this behavior is a complete overhaul of the concept. We will not be changing this behavior this late into the beta, but it is on our feedback list for review after NT7 reaches a production state.

But strategy persistence is new behaviour - we're not just talking about replay. I guess you just let startegy persistence 'inherit' replay's behaviour from 6.5. I think that was wrong.

And you still haven't explained why you can't re-enable a strategy that has failed.

However, maybe you're as frustrated as I am with this discussion, so if you want to leave it, that's fine. Thanks for your input.

[NinjaTrader_JoshP]

Strategy persistence can only occur when the account remains intact. This works fine with live accounts and sim accounts for the most part because they do remain intact and are generally not reset.

Replay101 account on the other hand is reset on various occasions as it is necessary to restart it. You can see this when you do things like rewinding the replay, connecting/disconnecting. When this reset happens, the strategy is not possible to be persisted. This limitation is the same for sim accounts. Reset=lose strategy persistance. When the account is reset there's no way to just roll all the strategies to the new account. All the account values are different thus potentially invalidating strategies to roll onto it, all the DB references for it are different, all the strategy order references are missing in the new account, etc. Strategies just can't be remapped to the new resetted account.

Please clarify what exactly you mean by a strategy failing. Thank you.

[dave1992]

Strategy persistence can only occur when the account remains intact. This works fine with live accounts and sim accounts for the most part because they do remain intact and are generally not reset.

Replay101 account on the other hand is reset on various occasions as it is necessary to restart it. You can see this when you do things like rewinding the replay, connecting/disconnecting. When this reset happens, the strategy is not possible to be persisted. This limitation is the same for sim accounts. Reset=lose strategy persistance. When the account is reset there's no way to just roll all the strategies to the new account. All the account values are different thus potentially invalidating strategies to roll onto it, all the DB references for it are different, all the strategy order references are missing in the new account, etc. Strategies just can't be remapped to the new resetted account.

I understand all that - it's all very clear. All I, and some other users, want is for the disabled entry on the strategies tab to be just a template. No numbers, accounts etc. You can even change the account on one, and the PnL figures don't persist, so it clearly looks like a template.

Please clarify what exactly you mean by a strategy failing. Thank you.

Well, anything that results in

**NT** Error on calling [....]

[NinjaTrader_JoshP]

The error not being able to re-enable has been fixed in the next beta. Thank you.