Position Sizing During Backtest

[NinjaTrader_Bertrand]

sburtt, sorry do not recall any specifics now after those 2 yrs.

[sburtt]

sburtt, sorry do not recall any specifics now after those 2 yrs.

Bertrand
. In my strategy I need to create a DataSeries object to store values. I’ve defined a variable “lastProfit” to hold the DataSeries object and created a new DataSeries in the Initialize() method. Finally in the OnBarUpdate() method I’ve defined how to define the value to be stored in the DataSeries (please see code below).

What I would need to know is what function to use to obtain the cumulative sum of the values stored in the DataSeries, basically I want my strategy to return the cumulative sum of the lastProfit DataSeries. Please help

{
            [Description("")]
            public class ABC : Strategy
            {
                        #region Variables
		private DataSeries lastProfit;
                        #endregion

                        protected override void Initialize()
                        {
			lastProfit = new DataSeries(this, MaximumBarsLookBack.Infinite);
                        }

                        protected override void OnBarUpdate()
                        {
                                    if (...)
                                    {
                                         	lastProfit.Set(lastTrade.ProfitCurrency * lastTrade.Quantity / lastTrade.Exit);
			else
				lastProfit.Set(0);
}
}
}

[NinjaTrader_Bertrand]

There's a summation method available that takes a series as input, however before doing that - why not use the CumProfit from the PerformanceClass directly? You have AllTraders and Realtimetrades here as choice as well to further differentiate.

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

[sburtt]

There's a summation method available that takes a series as input, however before doing that - why not use the CumProfit from the PerformanceClass directly? You have AllTraders and Realtimetrades here as choice as well to further differentiate.

http://www.ninjatrader.com/support/h.../cumprofit.htm

the reason is I need this for trading forex and the CumProfit will be in TermAmount whist I need the CumProfit in BaseAmount that is obtainable by dividing the profit by the ExitRate at the time the trade occured

[sburtt]

There's a summation method available that takes a series as inpu

Do you know where I could find this?

[NinjaTrader_Bertrand]

Sure, this would be documented in our helpguide - http://www.ninjatrader.com/support/h...mation_sum.htm

However then you would need to specify over how many bars you would want the SUM to be taken.

An alternative way using C# collections was discussed for example here -

https://www.bigmiketrading.com/ninjatrader-programming/27789-bar-score-over-n-bars-array-question.html

[sburtt]

Sure, this would be documented in our helpguide - http://www.ninjatrader.com/support/h...mation_sum.htm

However then you would need to specify over how many bars you would want the SUM to be taken.

An alternative way using C# collections was discussed for example here -

https://www.bigmiketrading.com/ninja...-question.html

So the simple summation would work, but how could I make sure that it sums all observations since the launch of the strategy? any idea?

[NinjaTrader_Bertrand]

You would need to keep track of the start bar / DateTime, so you would have a reference for the SUM to work with. If you want to know a bar number for a DateTime object, use GetBar.

http://www.ninjatrader.com/support/helpGuides/nt7/getbar.htm?zoom_highlightsub=GetBar

[sburtt]

You would need to keep track of the start bar / DateTime, so you would have a reference for the SUM to work with. If you want to know a bar number for a DateTime object, use GetBar.

http://www.ninjatrader.com/support/h...ightsub=GetBar

Thanks to one of our veteran subs I think I found a good solution, by simply adding an iteration DataSeries, such as: CumulativeLastProfit.Set(CumulativeLastProfit[1] + lastProfit[0]);

Now my final doubt is the following, please have a look at the code below. What I need is these DataSeries: LastProfit and CumulativeLastProfit to be calculated only at the end of a trade/ or beginning of a new trade, NOT OnBarUpdate(), do you think my code below does this properly? Thanks for your help!

namespace NinjaTrader.Strategy
{
            [Description("")]
            public class ABC : Strategy
            {
                        #region Variables
                        private double   AccbalNewIR                             = 0; 
                        private double   AccountSize                              = 100000; //In US$ Terms
                        private double   Riskf                                        = 1; //Percent of Account Size to Risk on each Trade
                        private double   Psize                                        = 0;
                        private DataSeries lastProfit;
                        private DataSeries CumulativeLastProfit;
                        #endregion

                        protected override void Initialize()
                        {
                                    lastProfit = new DataSeries(this, MaximumBarsLookBack.Infinite);
                                    CumulativeLastProfit = new DataSeries(this, MaximumBarsLookBack.Infinite);
			SetTrailingStop(...);
                        }

                        protected override void OnBarUpdate()
                        {
                                    if (Close[0] > Close[1])
                                    {
                                               GoLong();
                                               EnterLong((int)Psize,"");
                                    }
                        }

void GoLong()

                        {
                                                            lastProfit.Set(lastTrade.ProfitCurrency * lastTrade.Quantity / lastTrade.Exit);
                                                            CumulativeLastProfit.Set(CumulativeLastProfit[1] + lastProfit[0]);
                                                AccbalNewIR = AccountSize + CumulativeLastProfit;                                                               
Psize = Math.Round(...);
}
}
}

[NinjaTrader_Bertrand]

You take your trades in OnBarUpdate(), as that's where you conditions would update and fire as a new bar is seen - so that's then the correct place for the trades updates to track as well.