Portfolio Testing

[mrlogik]

Hi Guys,

I have some questions about the strategy analyzer, basket testing function.

I envision using this to analyzer the P&L curve of the system as a whole on a basket of instruments, as well as calculate the position size according to the account size on a day by day basis.

For analyzing the P&L curve of the system on the whole, I assume the Combined Results Instrument created will give me this information.

For the position sizing, I don't believe I can do that with the basic supported methods. Can you tell me how the Combined Results instrument is created?

I suspect the strategy is ran on day 0 for all instruments, then day 1 for all instruments, etc.

Thanks,
Anthony

[NinjaTrader_Brett]

Hello,

Sure no problem.

Your in uncharted territory here on this item. As NinjaScript strategies are designed to be there own separate black box which has no communication between other running strategies, either live or in backtest.

May be possible however I really don't have any supported or unsupported tricks to give you hear on this other then doing 1 script with multi series and add in all the BarsInProgress's for the other instruments then you would be able to track a strategy wide performance variable here then.

-Brett

[mrlogik]

Hi Brett,

Thanks for the reply.

I intended to do some global variable design with classes and such, which I understand is all unsupported.

Do you know anything about the process of the basket trading on an architecture level? Can you let me know which of the following is done, assuming three days of test data?


A.
- Test instrument 1 day 1
- Test instrument 2 day 1
- Test instrument 3 day 1

- Test instrument 1 day 2
- Test instrument 2 day 2
- Test instrument 3 day 2

- Test instrument 1 day 3
- Test instrument 2 day 3
- Test instrument 3 day 3

B.

- Test instrument 1 day 1
- Test instrument 1 day 2
- Test instrument 1 day 3

- Test instrument 2 day 1
- Test instrument 2 day 2
- Test instrument 2 day 3

- Test instrument 3 day 1
- Test instrument 3 day 2
- Test instrument 3 day 3

Thanks again!
Anthony

[NinjaTrader_Brett]

Hello,

I would not know on the internal operation. I have asked my product manager to see if he knows and will let you know.

[mrlogik]

Great! Thank you.

Looking forward to hearing from you.

[NinjaTrader_Brett]

Hello,

We believe it is A is how it runs, however to verify this add Print(Time[0]) to a script you optimize and then see the sequence of times stamps to confirm this is the case on your PC.

I look forward to assisting you further.

[mrlogik]

Thanks Brett.

I'll try the method you described to verify.

[mrlogik]

Hi Brett,

I created a basic strategy that only prints the date on a date change. This was the result of basket testing two instruments.

Instrument = $EURJPY Date = Monday, August 01, 2011
Instrument = $EURJPY Date = Tuesday, August 02, 2011
Instrument = $EURJPY Date = Wednesday, August 03, 2011
Instrument = $EURJPY Date = Thursday, August 04, 2011
Instrument = $EURJPY Date = Friday, August 05, 2011
Instrument = $EURJPY Date = Sunday, August 07, 2011
Instrument = $EURJPY Date = Monday, August 08, 2011
Instrument = $EURJPY Date = Tuesday, August 09, 2011
Instrument = $EURJPY Date = Wednesday, August 10, 2011
Instrument = $EURJPY Date = Thursday, August 11, 2011
Instrument = $EURJPY Date = Friday, August 12, 2011
Instrument = $EURJPY Date = Sunday, August 14, 2011
Instrument = $EURJPY Date = Monday, August 15, 2011
Instrument = $EURJPY Date = Tuesday, August 16, 2011
Instrument = $EURUSD Date = Monday, August 01, 2011
Instrument = $EURUSD Date = Tuesday, August 02, 2011
Instrument = $EURUSD Date = Wednesday, August 03, 2011
Instrument = $EURUSD Date = Thursday, August 04, 2011
Instrument = $EURUSD Date = Friday, August 05, 2011
Instrument = $EURUSD Date = Sunday, August 07, 2011
Instrument = $EURUSD Date = Monday, August 08, 2011
Instrument = $EURUSD Date = Tuesday, August 09, 2011
Instrument = $EURUSD Date = Wednesday, August 10, 2011
Instrument = $EURUSD Date = Thursday, August 11, 2011
Instrument = $EURUSD Date = Friday, August 12, 2011
Instrument = $EURUSD Date = Sunday, August 14, 2011
Instrument = $EURUSD Date = Monday, August 15, 2011
Instrument = $EURUSD Date = Tuesday, August 16, 2011

Looks like its option B. Is this something that could be updated on your end to follow option B? It would be a first step in portfolio testing.

Thanks
Anthony

[NinjaTrader_Brett]

Hello,

I will get this added to the suggestion list for our next major software revision. Thanks for submitting.