Backtesting

[superjma]

Hi

I have some problem with the backtesting.

First of all I'm not able to deal with account size in the terms I use it.
I can't figure out how to backtest with an initial amount for the first purchase. Then if I sell this with a profit the profit is included in my account and I am then able to buy more shares next time I buy etc. and in that way operate with compound interest.

Furthermore I do not know how to se a graph of the cumulative profit on daily basis but only every time I sell and realize money. How do I do that?

Do I need some add-ons or something to be able to backtest the way I need to improve my strategy?

[NinjaTrader_RyanM1]

Hello superjma,

It's possible but must be custom coded. You can work with trade performance class to generate PNL figures for historical, hypothetical trades and then base additional trade conditions off these values.

There isn't a graph available until the backtest is complete but you can keep track of Unrealized PnL value on a daily basis and use it in your script as well.

The following samples can help working with Trade Performance class as well as resetting values at the start of each day.

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

http://www.ninjatrader-support2.com/vb/showthread.php?t=19182

http://www.ninjatrader-support2.com/vb/showthread.php?t=19289

There is also possibility of setting account size property for order quantity determination, although mind the "note" indicated below as it seems relevant to what you're looking to do.

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

Note: This property does not update dynamically for access to updated account size values. It is dynamic for order sizing only. Should you want a dynamically updating account size you will need to track this with your own variables.

[superjma]

Thanks

Ok. Thanks.

I will look into it.

I just thought that this was basic stuff for a program like Ninja Trader.

[superjma]

I have been trying to use your links but without luck, and I do not know how to debug the code without visual studio installed.

Can you see what I am doing wrong?

// Condition set 1
if (Close[0] >= SMABand(Pct, Period).Upper[0])
{
EnterLong(Convert.ToInt32(lastProfit / Close[0]), "");
}

// Condition set 2
if (Close[0] <= SMABand(Pct, Period).Lower[0])
{
ExitLong("", "");

// Check to make sure there is at least one trade in the collection
if (Performance.LongTrades.Count > 0)
{
// Get the last longtrade (at index 0)
Trade lastTrade = Performance.LongTrades[Performance.LongTrades.Count - 1];

// Calculate the PnL for the last completed longtrade
lastProfit = lastTrade.ProfitCurrency * lastTrade.Quantity;

// Pring the PnL to the Output window
Print("The last trade's profit is " + lastProfit);
}
}

[NinjaTrader_RyanM1]

To use those samples:
1) Download the files.
2) Import using File > Utilities > Import NinjaScript and select the file.
3) View code using Tools > Edit NinjaScript > Strategy.

What issue are you having with the code snippet posted?

[superjma]

I got it working now.
First it didnt do what I expected.

Now my next issue is why the Sharpe Ratio is 0.01 because it looks on the chart that the volatility in the portfolio is less than the chart.

[neb1998]

6 trades over 20 years, i would start with that problem first.