Is it possible to have a meta analysis?

[Nick99]

I'm just getting acquainted with NT and I tried creating a strategy and running it on the Dow 30. The result was a series of individual results for how the system performed on each of the 30 stocks. However, I'm looking for a meta analysis of how the system preformed as a whole. Is this available and I'm missing it?

[NinjaTrader_Jason]

Hello Nick99,

Unfortunately this is not supported. The results will be reported per instrument.

[Nick99]

Hello Nick99,

Unfortunately this is not supported. The results will be reported per instrument.

Okay, so I'm assuming since a meta analysis is not possible, you also cannot have portfolio level money management and position management rules? For example, if I wanted to create a rule that said my strategy can only carry a maximum of 10 positions at one time, could that be done? Or a rule that said my strategy can only enter into a max of 3 positions in one day?

Also, if the strategy analyzer cannot do portfolio level money and position management, can the auto trader?

[NinjaTrader_JoshP]

Nick99,

You can create a multi-instrument strategy which will allow you to run a portfolio esque strategy in the Strategy Analyzer as well as live trading. Is this what you are trying to do?

[Nick99]

Nick99,

You can create a multi-instrument strategy which will allow you to run a portfolio esque strategy in the Strategy Analyzer as well as live trading. Is this what you are trying to do?

Here's a simple example of a stock strategy and its rules (all daily and this will be used on a basket of 500 stocks). Please tell me whether Ninja Trader can analyze this and auto trade it.

Go long when CCI is less than -100 AND when DELL is above its 50 day EMA.

Go short when CCI is greater than 100 and when DELL is below its 50 day EMA.

Use 1/10th of the account's money on each trade, and the maximum number of trades you can carry at one time is 10. If there are more signals to enter into positions than the max 10 positions will allow, then randomly narrow down the choices. Finally, don't enter into more than 3 positions per day.

This is basically the strategy I would like to code.

[NinjaTrader_JoshP]

With proper programming you can do what you want. What will limit you is having a data provider that will offer you 500 simultaneous symbols though.

Please see this article on multi-instrument strategies: http://www.ninjatrader-support.com/H...struments.html

[Nick99]

With proper programming you can do what you want. What will limit you is having a data provider that will offer you 500 simultaneous symbols though.

Please see this article on multi-instrument strategies: http://www.ninjatrader-support.com/H...struments.html

This would be end of day data that's analyzed at market close. All trades would be entered the next morning at the open. Do you still think finding a data provider would be a problem? Thanks.

[NinjaTrader_JoshP]

It is not necessarily a problem. It is just something that you need to be aware of when dealing with 500 stocks. You can find our supported data providers here: http://www.ninjatrader-support.com/H...HistoricalData

[Trevor.Richter]

[quote=Nick99;81586]...if I wanted to create a rule that said my strategy can only carry a maximum of 10 positions at one time, could that be done? Or a rule that said my strategy can only enter into a max of 3 positions in one day?
quote]

Just wondering whether you've figured out how to limit the number of positions opened when backtesting a basket of instuments? If so, could you share the solution, as this has been frustrating for me too.

Thanks,
Trevor

[NinjaTrader_JoshP]

Trevor,

Basket backtesting is backtesting each instrument in your basket independent of each other. NinjaTrader does not currently offer portfolio backtesting.