stop trading after you reach your max DD

[paschall]

If I want to stop the strategy from executing each day if I reach my personal, maximum daily draw down limit, e.g.,:

protected override void OnBarUpdate()
{
if(Performance.AllTrades.TradesPerformance.Currenc y.DrawDown > 5000)
{
trade_allowed = false;
}

.....does Performance.AllTrades.TradesPerformance.Currency.D rawDown get reset each day? How often does it change? Or is it a cumulative number that only increases as long as the strategy is going?

thanks,
D

[NinjaTrader_CalH]

Hi Paschall,

Thank you for your post.

You are correct in that it is a cumulative number that only increase as long as the strategy is running.

Each strategy will have it's own instance of the Performance and can be reset by disabling and re-enabling the strategy.

Let me know if I can be of further assistance.

[paschall]

Hi Cal,
Thanks for the confirmation. So what would be a better way, then, to keep track of a Daily max draw down? And so I can disallow the strategy that DAY (but like they Scarlett O'Hara saiid at the end of "Gone With The Wind"....'Tomorrow is a new day")?

Thanks for your help,
D

[NinjaTrader_CalH]

Paschall,

You will need to assign a variable with the Max Draw Down values.

You can create the filter to stop trading after you've hit your Max Draw Down and then when a new day is reached or new session you can reset that variable

http://www.ninjatrader.com/support/f...ad.php?t=19182

[koganam]

Hi Cal,
Thanks for the confirmation. So what would be a better way, then, to keep track of a Daily max draw down? And so I can disallow the strategy that DAY (but like they Scarlett O'Hara saiid at the end of "Gone With The Wind"....'Tomorrow is a new day")?

Thanks for your help,
D

Iterate backwards through the Trades to find the ones that have an entry and or exit on the current day, and use that to calculate the drawdown. You do that by querying the Trade.Entry or Trade.Exit IExecution object returned.

ref: http://www.ninjatrader.com/support/h.../nt7/trade.htm

[paschall]

Yes, this is my approach. Alreayd assigned the variables. Just wondering if there was a built-in DD function that was reset automatically each session (session DD). Would be a handy feature to have.

Performance.DrawDown.Hour
Performance.DrawDown.Session
Performance.DrawDown.Total

Thanks again.
D