If I could ask for just two things for NT7, it would be support for custom performance metrics (so I can add monthly Sortino, SQN, a real Sharpe ratio [including unrealized gains], average rolling monthly/yearly returns, etc.) and more built-in position sizing algorithms (including a base class to add custom ones).
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Position Sizing Custom Code
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Position Sizing Custom Code
Has anyone developed any position sizing code that you could add to a strategy base class (@Strategy.cs or your own custom base class) and then be available to all descendant strategies. I was thinking about at least having a position sizing option based on % of current account value (starting account value + realized gains, not % of starting account value as NT has built-in) and maybe a few others such as a % of Optimal-F, a % of Kelly F, or fixed $ invested (allowing fractional shares).
If I could ask for just two things for NT7, it would be support for custom performance metrics (so I can add monthly Sortino, SQN, a real Sharpe ratio [including unrealized gains], average rolling monthly/yearly returns, etc.) and more built-in position sizing algorithms (including a base class to add custom ones).Last edited by Anagoge; 04-20-2009, 01:18 AM.Tags: None
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Originally posted by Anagoge View PostHas anyone developed any position sizing code that you could add to a strategy base class (@Strategy.cs or your own custom base class) and then be available to all descendant strategies. I was thinking about at least having a position sizing option based on % of current account value (starting account value + realized gains, not % of starting account value as NT has built-in) and maybe a few others such as a % of Optimal-F, a % of Kelly F, or fixed $ invested (allowing fractional shares).
If I could ask for just two things for NT7, it would be support for custom performance metrics (so I can add monthly Sortino, SQN, a real Sharpe ratio [including unrealized gains], average rolling monthly/yearly returns, etc.) and more built-in position sizing algorithms (including a base class to add custom ones).
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Yes, I would love to be able to add several custom strategy analyzer metrics to the result grids for backtests and optimizations and also have some more expansive built-in position sizing algorithms and/or a base class to add custom position sizing algorithms that would be selectable in any strategy.
PRTester, I'll look at your position sizing code. It might be a good place to starting place to start implementing something close to what I need.
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Yes, exporting to a file works, but I'd definitely rather be able to see the metrics inside the GUI and sort the optimizer grids by my custom metrics, etc. A tool similar to NT that I've used allows adding custom metrics to both individual trades and the strategy results using a method called AddCustomMetric. These custom metrics show up in the backtest/optimize result grids and can be sorted/filtered/exported/graphed just like the built-in metrics. I find this feature very powerful.
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Originally posted by PrTester View PostMaybe this help a little http://www.ninjatrader-support2.com/...ad.php?t=11614
[I'm aware of the dangers of backtesting/optimizing using cumulative profit type statistics, but I mainly need this number when showing a potential strategy to someone else who wants to see these statistics.]
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