Combined results for a backtest of a complete instrument list

[adamus]

I'm running backtesting and walkforwards for my trading strategies on an instrument list of 10 forex pairs.

While it's great that NT6.5 runs the tests on all the instruments in the list, I'm surprised the results are seperated by instrument in the Strategy Analyzer when it's finished.

What I really need to see is the combined result of trading in all instruments, especially the summary stats and the account equity chart.

Is there any way to do this in NT? Is it coming in NT7?

Otherwise, can I export the trades so that I can do the collation myself in another piece of software?

Thanks!

[NinjaTrader_RyanM1]

Hello adamus,

Thank you for your post.

This is not currently available but in NT7 you will be able to view combined results when a backtest is run on a group of instruments.

You can download the public beta at the link below:
http://www.ninjatrader.com/webnew/download_trading_software.htm

[adamus]

That would be ideal. I'm installing it now. Thanks.

[nt2010]

Hello, i ran an strategy analyser on a instrument list of my choice.
Then i like to download any trade that was made in each underlying that is included in my instrumentlist as a *.csv for further analysis in excel.

However, i didnt find a way how to do that. I had to klick on any underlying seperately and then save as file and give it an individual name.

Do i make anything wrong ?
In the screen you attached, its also looking suspicious, because the total net profit in the lower box shows -307 and the total net profit in the upper box shows under combined results -13.380. So thats probably not the way it goes.

It would be great if you could let me know if it is possible to download the complete trade list of each underlying that is included in an individual instrument list with one file.

Thank You !

[NinjaTrader_RyanM1]

Hello nt2010,

Unfortunately there is no way to export all items. Each grid is separate, and can only be exported with the Right Click > Grid options.

That screenshot was posted last year to show the original poster a new feature available in 7. I have removed it if is misleading. Please let us know if you have any issues with backtesting a group of instruments.

[nt2010]

Hi Ryan,

it would be great if this feature would be available sometimes in the future because it would make it much more easyer to work with the backtested data.

Hoewer, the backtest itself is running ok for me, but it hurts in my fingers when i export hundreds of stock backtest results every day...

Thanks
NT2010

[NinjaTrader_RyanM1]

I can see how exporting these results all at once would be useful. Thank you for the suggestion. I will forward to our development team for consideration in a future release.

[naxo79]

The "Max Drawdown" in combined results is still an average in NT version .04?
Not the actual DD if the instruments were traded simultaneously?

[motownlucas]

Hi Ryan,

it would be great if this feature would be available sometimes in the future because it would make it much more easyer to work with the backtested data.

Hoewer, the backtest itself is running ok for me, but it hurts in my fingers when i export hundreds of stock backtest results every day...

Thanks
NT2010

I agree, this is very frustrating!

[Shahar]

Useless and misleading

The "Max Drawdown" in combined results is still an average in NT version .04?
Not the actual DD if the instruments were traded simultaneously?

What is average drawdown good for?

In addition, the percent drawdown does not match the "currency" drawdown.
This really needs to be fixed!

[NinjaTrader_RyanM1]

Hi Shahar,

Thanks for the post. Percent mode is calculated according to this example below. The Max Drawdown in this example is 10,000. Percent is this value compared to the 50K value. 10 / 50 = .2

Max. Drawdown
The maximum drawdown statistic provides you with information regarding the biggest decrease (drawdown) in account size experienced by your strategy. Drawdown is often used as an indicator of risk.

Drawdown = local maximum account size – local minimum account size
Max Drawdown = single largest Drawdown

As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.

[Shahar]

Ryan,

Thanks for your quick reply. Unfortunately, drawdown does not work for a list of instruments. NinjaTrader_Dierk, back in 2009, claimed that "DrawDown is a weighted average. This is by design." Well, if it is an average, than by definition max drawdown for a list of instruments is not really max, is it? I have to admit I don't get this "design" or understand the logic behind it (and I'm not alone in this community).

This makes NinjaTrader all but useless for me. The program has some great features, but if I cannot see the max drawdown for my strategy (which has to run with multiple instruments), or the simulated account equity, how can I test a strategy? And if I cannot reliable test a strategy, how am I supposed to design it and develop it?

These features were requested years ago on this forum by several participants. It is very disappointing that they have not shown up yet.

And again, some of these stats are very misleading: if you run a startegy with 10 instruments and your "Combined" max drawdown shows up as 5%, you may be in for a very nasty surprise should all of your trades dip simultaneously. Which brings up another question: is this behavior documented in the help files? I have not found it, and think at the very least the help files should be updated, if not the platform. Important features should not have to be discovered by digging up in old forums.

I apologize for this long rant. Hopefully others here can sympathize with my frustration...

[naxo79]

I have heard some export all trades from a backtest to excel and have an excel script calculate the combined max DD

[Shahar]

I am sure there are workarounds. However, even exporting backtest results for multiple instruments is tedious and time-consuming. This is really something that needs to be built in to the software. I am wondering if the developers at NinjaTrader are planning to do so, and when we might expect it?

[adamus]

The work-around that I use to obtain multiple instrument drawdown (or portfolio drawdown for want of a better term) is to code a multiple instrument strategy.

There are big downside issues - coding the strategy is really complex, it's tedious and error-prone to change the instruments in the portfolio, and you also lose the ability to see the breakdown of backtest results by single instrument.