Tracking Performance of Strategies

[billr]

I asked this a year or so ago, but was wondering if the new release includes any way to track performance on a strategy level? For traders, it is very useful (critical in fact) to know how each trading strategy is working. Just like the output provided by the Strategy Analyzer.

Ideally, a user could send each strategy's activity into the same framework you already have set up in the Strat Analyzer. How can this be done?

Thanks.

edit: To clarify, I am talking about live/actual trading activity fed into the same performance reports that can be generated by the Strat Analyzer for backtesting for each strategy.

[NinjaTrader_Austin]

Bill, this has been possible for quite a few NT7 beta revisions. From the Strategies tab, you can right-click on a strategy and view three different performances depending on the timeframe you're interested in (real-time only, historical only, real-time + historical). Once you right-click one of those options, it will bring up the strategy as analyzed by the Strategy Analyzer for further analysis.

If you are interested in manual trading performance, you can get that information from the Account Performance tab.

[billr]

That is great to know. If I select real-time or real time/historic, how does it determine the date range? What transactions does it track? Does it only include actual trades, or does it also include strategic trades if the broker connection was lost or some time was spent in a broker demo acct?

Thanks.

[NinjaTrader_RyanM1]

Hello billr,

Real time performance is generated by actual trades made since the time you most recently enabled the strategy.

Historical performance should line up with what you would see when backtesting the strategy.

[billr]

I hate to be a pest, but the details of what 'actual trades' are is important. Once the strat is enabled, there are several things that can happen:

1. normal live trades triggered by strat and executed by broker;
2. trades that are triggered by strat but NOT executed by broker due to server disconnect, etc;
3. manual trade exit of strategic position. (sometimes required with MBTrading prior to FX rollover).

Could you comment on conditions 2 & 3?

Thanks.

[NinjaTrader_RyanM1]

billr,

Actual trades mean that orders must be submitted to the account by the strategy. Cases 2 & 3 won't be included in real time performance.

[billr]

So in case #2, even though the strat did try to trade, the fact that the broker did not execute prevents a virtual trade being included in the perf. report?

In the instance of #3, the entry trade would be normal. How does NT deal with the manual exit or sometimes an NT crash with an open position?

[NinjaTrader_RyanM1]

Right - no actual trade means that it won't be included in real time performance. If you run the strategy again, this trade would likely be picked up in the historical performance for the strategy.

The trade is noted, but it's not part of the strategies real time performance. You can view performance information related to trades outside of a strategy context with the Account Performance feature.

[billr]

It sounds like historical=actual + hypothetical. Meaning that if I wanted to see how my strat ACTUALLY traded for the last 30 days, I would need to keep it enabled the entire time. Otherwise, I would be really looking at a typical strategic analysis based on hypothetical trades. Or possibly a mix of actual trades along with strategic/hypothetical trades filled in. Correct?

[billr]

Maybe I am dancing around the issue here. What I would like to know is how my strategy performed in real trading over some period of time. This would include actual trades within the strategy only. No artificial fill-ins when the strat was not running. And not how my account performed over the same time frame. Just a specific strategy evaluated using the strat performance reports. Is this possible?

[NinjaTrader_RyanM1]

Hello billr,

It sounds like you have a good handle on how it works. Real time performance is only from the time the strategy was started so you would have to aggregate these results each time you turned off and restarted.

One feature that would make this easier for you - filter account performance by NinjaScript strategy. I will pass this along as a request for a future version of the platform.

[billr]

Thanks Ryan. I think that would be a very good feature. Frankly, I don't know why anyone would really be interested in performance reports that are a combination of real time and hypothetical. The strat analyzer is good, but the compliment to really benefit traders would be the actual trades plugged into the performance reports.

[asteriskstar]

any news on this(historial P/L performance which can be quoted by strategy) ?

any news on this(historial P/L performance which can be quoted by strategy) ?

[NinjaTrader_RyanM1]

Thank you for the post, asteriskstar. Unfortunately no time frame on new features is available. Any new features are announced in the release notes for that version.

[Camdo]

At the end of each day, export the Control Center "Orders" tab to Excel. From there you can quickly sort by account, strategy id, instrument and time. Trades match up nicely and allows for a quick edit of manual trades and cancels etc. Keep a running file of all your trades for however long you want. I have found this to be far superior to anything NT could ever do because of all the variations that occur in real trading.