Equity calculation in backtests

[tbmuc]

Hello,

may I ask how the equity can be calculated on historical EOD bars during a backtest since AccountSize and GetAccountValue returns zero ?

Best Regards

Thomas

[NinjaTrader_RyanM1]

Hi Thomas,

Thanks for the post and welcome to the NinjaTrader forums. You can see here for how all performance statistics are calculated:

http://www.ninjatrader.com/support/helpGuides/nt7/statistics_definitions.htm

If you're looking for something that isn't on that page, can you please let us know where in NT you are looking?

[tbmuc]

Hello Ryan,

I would like to use the current equity in a strategy during a backtest. How can I calculate it in the ninjascript code on historical bars?

Thanks

Thomas

[NinjaTrader_RyanM1]

You would have to custom code any calculations that are not yet provided in the existing trade performance class. Equity seems fairly straightforward. Are you looking for position quantity * share price?

if(Position.MarketPosition != MarketPosition.Flat)
{
	double myEquity = Position.Quantity * Close[0];
	Print(myEquity);
}

[tbmuc]

Hello Ryan,

thank you for the fast answer. For my money management I have to calculate the free amount of money in the account. Normaly that would be delivered by GetAccountValue() during live trading. But how can I get this amount in a backtest on historical data?

Best Regards

Thomas

[NinjaTrader_RyanM1]

It needs to be custom coded. Specify an arbitrary starting point for the account in the variables region.

If you want to deduct trade results from this, can use the built in RealizedPnL.

#region Variables
private double myAccountValue = 100000;
#endregion

protected override void OnBarUpdate()
{	
double myAccountAfterTrading = myAccountValue - Performance.AllTrades.TradesPerformance.Currency.CumProfit;
Print(myAccountAfterTrading);
}