Tracking Performance of Multiple Strategies on Same Instrument

[Mikefra]

Hello, I want to run 6 different strategies on the ES and track the individual P/L performance of each strategy. If I use the Performance.AllTrades.TradesPerformance.Currency.C umProfit it seems to include all P/L from all 6 strategies.

What is the preferred method for obtaining individual performance information?

[NinjaTrader_AdamP]

Mikefra,

I would suggest in this case using separate simulation accounts.

The reasons can be read about here : http://www.ninjatrader.com/support/h..._account_p.htm

Here is more information on using multiple simulation accounts : http://www.ninjatrader.com/support/h...n_accounts.htm

[Mikefra]

Ok, I will look into that as an option. On a different note, when is the Performance.AllTrades.Count value supposed to update? It is only updating after the close for me. Is there a setting that forces an update as soon as a position is closed?

[NinjaTrader_AdamP]

Mike,

Are you using CalculateOnBarClose = false?

This may be helpful as it has some comments in it about the Performance.AllTrades :

http://www.ninjatrader.com/support/forum/showthread.php?t=19289

Also, you may be interested in this :

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?realtimetrades.htm

[Mikefra]

Yes, I am using CalculateOnBarClose = false.

[Mikefra]

I get the same behavior when I set the CalculateOnBarClose = true.

[NinjaTrader_AdamP]

Mikefra,

Could I see a code sample of where you are using the Performance.AllTrades.Count?

[Mikefra]

protected override void OnBarUpdate()
{
if (Bars.FirstBarOfSession)
{
// Store the strategy's prior cumulated realized profit and number of trades
priorTradesCount = Performance.RealtimeTrades.Count;
priorTradesCumProfit = Performance.RealtimeTrades.TradesPerformance.Curre ncy.CumProfit;
}
if (Performance.RealtimeTrades.TradesPerformance.Curr ency.CumProfit - priorTradesCumProfit > 0
&& Performance.RealtimeTrades.Count - priorTradesCount >= 1)
{
targetReachedToday = true;
}
if (Performance.RealtimeTrades.TradesPerformance.Curr ency.CumProfit - priorTradesCumProfit < 0
&& Performance.RealtimeTrades.Count - priorTradesCount > 0)
{
trySecondLevel = true;
}
if (Performance.RealtimeTrades.Count - priorTradesCount > 1)
{
trySecondLevel = false;
targetReachedToday = true;
}
if (CurrentBar < 2) return;
if (Time[0].DayOfWeek != Time[1].DayOfWeek) // new day, reset bool flag
{
targetReachedToday = false;
trySecondLevel = false;
}
DrawTextFixed("MyTag0", ("The strategy has taken " + Performance.RealtimeTrades.Count + " real-time trades."), TextPosition.TopRight);
DrawTextFixed("MyTag1", ("SecondLevel=" + trySecondLevel + " TargetReached=" + targetReachedToday), TextPosition.BottomLeft);
DrawTextFixed("MyTag2", (Performance.RealtimeTrades.Count - priorTradesCount).ToString(), TextPosition.TopLeft);

[Mikefra]

I had a return; line in the section that now contains targetReachedToday=true that was causing the problem I believe. I replaced the return; with an update to a boolean and everything works as expected.

[NinjaTrader_AdamP]

Mikefra,

Ok, thanks for letting me know. I'm happy you resolved your issue. Please let me know if I may assist further.