Historical vs PaperTrading/Live?

[ErikHR]

I have a strategy that trades multiple Instruments and I am backtesting it for ~10 years using daily bars. Since this strategy trades many Instruments and could eaily over draw the account of say a starting balance of $50,000 I added some code to back test the strategy to keep track of the account and not place trades if the account balence gets close to zero. The code is as follows and seem to be accurate when looking at historical backtest Summary and Trades/Execution tabs (the strategy only goes long)

[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]protected[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]override[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]void[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] OnStartUp() {[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] (Historical) {[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]this[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].myAccountSize = 50000;[/SIZE]
[SIZE=2]Print([/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]string[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].Format([/SIZE][SIZE=2][COLOR=#a31515][SIZE=2][COLOR=#a31515]"OnStartUp: {0},{1}"[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2], Time[0].ToShortDateString(), [/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]this[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].myAccountSize));[/SIZE]
[SIZE=2]}[/SIZE]
[SIZE=2]}[/SIZE]
 
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]protected[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]override[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]void[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] OnExecution([/SIZE][SIZE=2][COLOR=#2b91af][SIZE=2][COLOR=#2b91af]IExecution[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] iexec) {[/SIZE]
[SIZE=2][COLOR=#008000][SIZE=2][COLOR=#008000]// if backtesting keep track of account size by hand, [/COLOR][/SIZE]
[/COLOR][/SIZE][SIZE=2][COLOR=#008000][SIZE=2][COLOR=#008000]// otherwise use GetAccountValue(AccountItem.CashValue)[/COLOR][/SIZE]
[/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] (Historical) {[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]lock[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] ([/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]this[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].lockObj) {[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] int[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] Qty = iexec.Quantity;[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] double[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] Price = iexec.Price;[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] string[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] BuyOrSell = [/SIZE][SIZE=2][COLOR=#a31515][SIZE=2][COLOR=#a31515]"Sell"[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2];[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] if[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] (iexec.MarketPosition == [/SIZE][SIZE=2][COLOR=#2b91af][SIZE=2][COLOR=#2b91af]MarketPosition[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].Long) {[/SIZE]
[SIZE=2]   Price *= -1;[/SIZE]
[SIZE=2]   BuyOrSell = [/SIZE][SIZE=2][COLOR=#a31515][SIZE=2][COLOR=#a31515]"Buy"[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2];[/SIZE]
[SIZE=2] }[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] this[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].myAccountSize += (Qty * Price);[/SIZE]
[SIZE=2] Print([/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]string[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].Format([/SIZE][SIZE=2][COLOR=#a31515][SIZE=2][COLOR=#a31515]"{0},{1},{2},{3},{4}"[/COLOR][/SIZE]
[/COLOR][/SIZE][SIZE=2] , Time[0].ToShortDateString(), Instrument.FullName, BuyOrSell, (Qty * Price), [/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]this[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].myAccountSize));[/SIZE]
[SIZE=2]}[/SIZE]
[SIZE=2]}[/SIZE]
[SIZE=2]}[/SIZE]

I have the code in these event handlers wrapp with "if (Historical)". The idea is that once I start paper trading (Using IQFeed) and then trading live (using MB Trading) that I can just use "GetAccountValue(AccountItem.CashValue)" in my code instead of "this.MyAccountSize". Am I doing this right or will this not work?

Thanks,
Erik

[NinjaTrader_Austin]

Erik, this looks like a valid approach to keep track of your account value and you will be able to use GetAccountValue() to get the account balance during real-time trading.

[ErikHR]

So I am going to add this logic to my strategy for live trading and then I think my code should work for live trading as well as backtesting and optimization. Does this look right?

Thanks,
Erik

[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]protected[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]override[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]void[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] OnBarUpdate() {[/SIZE][SIZE=2][COLOR=#008000]
[/COLOR][/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] for[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] ([/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]int[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] i = 0; i < CurrentBars.Length; i++) [/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] (CurrentBars[i] <= BarsRequired) [/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]return[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2];[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff][B]if[/B][/COLOR][/SIZE][/COLOR][/SIZE][B][SIZE=2] (!Historical) [/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]this[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].myAccountSize = GetAccountValue([/SIZE][SIZE=2][COLOR=#2b91af][SIZE=2][COLOR=#2b91af]AccountItem[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2].CashValue);[/SIZE][/B]
[SIZE=2] TryExit();[/SIZE]
[SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff] if[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2] (!PassedFilters()) [/SIZE][SIZE=2][COLOR=#0000ff][SIZE=2][COLOR=#0000ff]return[/COLOR][/SIZE][/COLOR][/SIZE][SIZE=2];[/SIZE]
[SIZE=2] TryEnter();[/SIZE]
[SIZE=2]}[/SIZE]

[NinjaTrader_Austin]

Erik, I'm not sure what those additional methods are (TryExit(), PassedFilters(), etc), but the code looks like it should work fine.