What is wrong with Strategy performance?

[joanNT]

Hi again!

Please, I've ran an strategy that labels it's entries and exits, while the chart shows the right pair positions (entry & close) the strategy performance in its Trades label don't, please see the chart annexed first and then have a look to the entry name and exit name of the strategy performance window also annexed.

What is wrong?

Thank you very much.

[NinjaTrader_RyanM1]

Hello JoanNT,

I'm sorry - not following the issue here. Can you please clarify what you are expecting the platform to do with the labeling of entries and exits on performance?

[joanNT]

Of course Ryan,

What I think it's supposed to happen in strategy performance is that entry labeled with entry IN1.12 it's paired with exit OUT1.12 like it's showed in the chart

[NinjaTrader_RyanM1]

Thanks for the reply. What is the source for these two images?

Is it a standard chart or from the strategy analyzer?
How was the performance image created? From the strategy analyzer or from right clicking performance in control center? If ran from the control center, what performance option was selected?
Are these actual trades executed by the strategy or virtual executions?

[joanNT]

Replies:
What is the source for these two images?
It's from an own strategy that ran over the historical data from a spread chart (two instruments)

Is it a standard chart or from the strategy analyzer?
It's standard, I can run backtests in an standard chart also while I'm connected.

How was the performance image created? From the strategy analyzer or from right clicking performance in control center?

from right clicking in the same chart, also I've tried from the control center an the results are the same

If ran from the control center, what performance option was selected?
Historical

Are these actual trades executed by the strategy or virtual executions?
virtual executions, like I've explained in the first question this is like doing backtest but from chart source.

Thanks again

[NinjaTrader_RyanM1]

Thanks - I'll check into this scenario here and will reply to this thread later today.

[NinjaTrader_RyanM1]

Hi JoanNT,

We're still investigating this. I will update as I have more information. Thank you for your patience.

[NinjaTrader_RyanM1]

Hi joanNT,

Thank you for your patience. We have looked into this and the trade pairing in this case is FIFO. It's not tied to entry names. Thank you for the suggestion. We will add this to our list for a future version.

[joanNT]

Thanks Ryan,

how can be FIFO the strategy performance and not the chart plotted trades? is right now posible to get my own statistics? do you have any code exanple about managing your own statistics?

Thanks in advance

[NinjaTrader_RyanM1]

It works in the strategy analyzer to pair exits with the specific entries. If you are interested in historical performance, the strategy analyzer should do this for you.

If run from a chart it will pair trades as FIFO which you have noticed. Unfortunately there isn't user control to change this.

We have a sample on working with performance class available here:

http://www.ninjatrader-support.com/vb/showthread.php?t=4084

[WSquared]

Hi Ryan, I'm not set up for realtime trading your platform yet, so I can't test this out myself, But are you saying that as of this version that in Live, Realtime execution we have NO control over entry & exit paring?

if I have 10 different Entry Names and 20 different Exit Names, even though I am using "fromEntry" in my orders I have no control over which Exits will be executed in realtime on what entries?

i'm not concerned about the mix up in the trades tab, but with the integrity of the order execution.

can you please clarify.

Thanks. W2

[NinjaTrader_RyanM1]

The pairing works correctly for associating exits to entries. You can tie exits to entries using fromEntrySignal and your orders will obey these principles.

JoanNT reports that performance for these trades does not pair according to signal name and this is true. Performance pairs entries and exits together as FIFO, not by signal names.

You can evaluate this now, without requiring a live account. Set up a scaling strategy that enters in sequence 1, 2, 3 but exits in 2, 3, 1. It will exit according to your rules but performance does not pair the same way.