Position management. Portfolio

[alexstox]

Hello.
1) Where can I see tips or samples of using money management etc.
For example, I don't want to use currency in strategy and just want to reduce amount of instrument in size. 1usdcad, 1 MSFT, 0.9usdcad, 0.9MSFT...

2) Can I analyze and trade several instruments in Strategy Analyzer? How can I check Instrument list via script? Can I check the instrument list for condition execution and trade portfolio of instruments?

[NinjaTrader_CalH]

Hello Alexstox.

Thank you for your post.

1) See the reference sample below on Money Management -
http://www.ninjatrader.com/support/f...ead.php?t=4084

2)You would only be able to test one instrument at a time in the Strategy Analyzer.
However, your multi-timeframe orders will show up in the results

[alexstox]

How can I change quantity of order as double?

Hello. How can I change quantity of order as double?
For example, I trade forex EURUSD. And I want to increase or reduce quantity in size and it should be 0.1 contract or 0.5 or 1.3. Is it possible? And what you can advise me if not?

[alexstox]

I did something like this

[FONT="Courier New"] protected override void OnBarUpdate()
        {
if (BarsInProgress==0) //start BarsInProgress for general instrument
{
if(Performance.AllTrades.Count>=1)
	{			
	Trade myTrade = Performance.AllTrades[Performance.AllTrades.Count - 1];
			
	if(myTrade.Entry.Name=="Long1" && myTrade.ProfitPoints>0) LQuantity1=QuantityMultiplier*LQuantity1;
	if(myTrade.Entry.Name=="Long2" && myTrade.ProfitPoints>0) LQuantity2=QuantityMultiplier*LQuantity2;
	if(myTrade.Entry.Name=="Long3" && myTrade.ProfitPoints>0) LQuantity3=QuantityMultiplier*LQuantity3;
	if(myTrade.Entry.Name=="Short1" && myTrade.ProfitPoints>0) SQuantity1=QuantityMultiplier*SQuantity1;
	if(myTrade.Entry.Name=="Short2" && myTrade.ProfitPoints>0) SQuantity2=QuantityMultiplier*SQuantity2;
	if(myTrade.Entry.Name=="Short3" && myTrade.ProfitPoints>0) SQuantity3=QuantityMultiplier*SQuantity3;
              }
than entry rules goes[/FONT]

But quantity in orders didn't change

[NinjaTrader_Bertrand]

alexstox, if you run your script what are the EntryHandling settings and by what property is order qty chosen by? ByStrategy?

To clarify on the portfolio question, there would not be full portfolio backtesting available unfortunately, however a basket test over multiple instruments / a list could be run - http://www.ninjatrader.com/support/h...asket_test.htm

[alexstox]

alexstox, if you run your script what are the EntryHandling settings and by what property is order qty chosen by? ByStrategy?

To clarify on the portfolio question, there would not be full portfolio backtesting available unfortunately, however a basket test over multiple instruments / a list could be run - http://www.ninjatrader.com/support/h...asket_test.htm

EntryHandling = EntryHandling.UniqueEntries;

Order qty was "DefaultQuantity". Than I tried to manage qty and change to my variables.

I just need to reduce qty after loss and increase qty after profit. So, what is wrong in #4 post script. What you can advise?

[alexstox]

Well, I tried to do that in OnExecution(), where I manage all orders (Long1,2,3 and Short1,2,3). So, as always I need to think of coonditions by myself. I will write when try something.

[alexstox]

Difference between Total Net Profit and Cumulative Profit

1) Good day to you! Why in Strategy Analyzer stat Total Net Profit != Cumulative Profit ?


2) There are unique entries. How to get profit/loss from one of unique entry? For example, position's 1 trailOrder1 was executed. How to get profit from it?

3) How to use double with int? Because % as double, quantity in orders as int. E.g. I need 10% from AccountSize: quantity = 0.01*AccountSize
I've found on 3rd question how: yourInt=(int)yourDouble

[NinjaTrader_CalH]

Alexstox,

What part of the Strategy Analyzer are you looking at for those numbers?

With the Unique Entries, you can look for a specific trade with the signal name using the below -
http://www.ninjatrader.com/support/h...?gettrades.htm
http://www.ninjatrader.com/support/h...erformance.htm

Correct, you can cast the double as an (int) as you have done

[alexstox]

Alexstox,

What part of the Strategy Analyzer are you looking at for those numbers?

With the Unique Entries, you can look for a specific trade with the signal name using the below -
http://www.ninjatrader.com/support/h...?gettrades.htm
http://www.ninjatrader.com/support/h...erformance.htm

Correct, you can cast the double as an (int) as you have done

1. Strategy Analyzer - Summary. I backtasted EURUSD. So, if CumProfit=52.51% and orderquantity=1, TotalNetProfit should be = 0.5251*1=0.5251. But it = 0.57. Why?

[NinjaTrader_CalH]

Was this from a regular backtest, optimizer, or walk forward optimization?

[alexstox]

Was this from a regular backtest, optimizer, or walk forward optimization?

backtest

[NinjaTrader_CalH]

Alexstox,

The CumProfit in percentage is a ratio return where the Total Net Profit is showing Monetary value. Try changing the drop down in the top of the Strategy Analyzer to Currency to have these two match up

[alexstox]

Alexstox,

The CumProfit in percentage is a ratio return where the Total Net Profit is showing Monetary value. Try changing the drop down in the top of the Strategy Analyzer to Currency to have these two match up

Are you kidding? =))) I knew that. Let me explain what I mean.
orderquantity=1,
Let's imagine 2 trades: 1.39*1-1.38*1=0.01, 1.38-1.375=0.005
CumProf=0.01+0.005=0.015 or 1.5%
0.01/1=1%, 0.005/1=0.5% 1+0.5=1.5%

From example below:
CumProf=52.51% or 1*0.5251=0.5251 in points
TotalNetProfit=0.57. Why? Where my mistake?

[NinjaTrader_CalH]

Alexstox,

CumProfit is based off of profit / entry price

Here is the formula for CumProfit with Percentage -
http://www.ninjatrader.com/support/h...efinitions.htm

Additionally, if you have a GrossLoss and GrossProfit showing, as your screenshot shows, you would have had at least two trades taken, not 1.