Daily returns

[arnold.horvath]

Dear Support !

I would like to calculate the "optimal" leverage for my strategy. ( a kind of Kelly's optimal f )

I need the daily returns of the strategy as a basis.

Can you help me to figure out how I can get that from the Trade objects ?

Thank you,
Arnold

PS: I assume Strategy Analyzer/Periods/Period : Daily/Avg.Trade is that I am looking for from Ninjascript.

[NinjaTrader_PatrickH]

Hello Arnold,

Thank you for your post.

You can use Performance.RealTimeTrades to pull only the performance values or the trades for the current day since the strategy was enabled at the following link: http://www.ninjatrader.com/support/h...timetrades.htm

If you wish to view historical trade data day by day rather than only in real-time you can use our reference sample on stopping a strategy after consecutive losers to build your own values for each day historically. You can find this reference sample at the following link: http://www.ninjatrader.com/support/f...ad.php?t=19289

Please let me know if you have any questions.