Question on Account Size and Backtesting

[adheer]

I determine the lot-size (# of shares / contracts) based on stop-loss level and risk per trade. The risk per trade is derived from the account size / cash balance.
E.g. if my account size is $10000 and risk per trade is 2%, I would risk $200 on each trade. Based on my stop-loss and tick-value, the lot-size is determined accordingly.

But in back-testing it seems the values for cash balance etc are returned as 0.

I read about using AccountSize - but instead of hard-coding I would like it to be set by the user. (E.g. user sets trading capital to say $10,000 through properties / settings).

How do I determine whether a strategy is running in back-testing mode ?

Any other suggestions to my problem ?

[NinjaTrader_Bertrand]

adheer, thanks for the post. You can generally set an account size for backtesting for that purpose -

https://www.ninjatrader.com/support/helpGuides/nt7/accountsize.htm

For checking if you're in backtesting, you could check for the Account.Name return to give you the "Backtest" account string.

[adheer]

Betrand,

Thank you for the reply.

The problem with AccountSize is that it is not useful when calculating lot-size via code within the strategy. It does not update dynamically when positions are opened / closed.

This property does not update dynamically for access to updated account size values. It is dynamic for order sizing only. Should you want a dynamically updating account size you will need to track this with your own variables.

If I want to find out how my strategy performed with $10,000 initial capital and a custom position sizing method based on account equity there is no simple way. Writing additional code to calculate account size based on open and realized P/L of historical trades does not make sense.
We end up have two code-paths - one for live trading and one for back-testing.

IMHO, the account size should have been a basic feature available during back-testing.

[NinjaTrader_Bertrand]

Thanks for the thoughtful feedback provided to us, that's correct in understanding. A dynamically updating format is on our feedback lists for future considerations, I'm making sure a vote on your behalf gets added in as well to track.

[LoanShark]

Trade Performance

Does the lastTrade functionality work in backtesting if you wanted to calculate your own running account size?

[NinjaTrader_Bertrand]

Yes, the Performance classes would report in backtesting as well so you could use it to cumulate.