PnL for separate instruments

[hliboi]

Hello,

I have the following code to close the strategy based on amount of losses suffered for a day:

if (base.Bars.FirstBarOfSession)
			{
  			  priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
			}
			// *** Calculate the total profit (cumulative profit minus prior profit plus the current position profit 
			double myMaxLoss = maxloss;
			double cumProfit = (double) Performance.AllTrades.TradesPerformance.Currency.CumProfit;
			double curPosition = (double) Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);
			double totCumProfit = (double) (cumProfit - priorCumProfit) + curPosition ;
					
			// *** STOP the strategy! if a total profit or loss exceeds the max
				if (totCumProfit <= myMaxLoss )
				{
				if (Position.MarketPosition == MarketPosition.Long) {ExitLong("DMA: Exit Long ", "");}
				if (Position.MarketPosition == MarketPosition.Short) {ExitShort("DMA: Exit Short", "");}
				return;
				}

What I'm seeing is that when running the strategy with multiple instruments every instrument counts to this code while in backtesting this doesn't happen (its calculating only for one instrument). I'm wanting to have this code calculate only for each instrument I wouldn't like to multiply the total loss by the number of instruments traded. Each instrument should have their own maxloss.

Could this be achieved? Is there any workaround ?

Thank You

[NinjaTrader_ChelseaB]

Hi hliboi,

Without seeing the rest of the script it would be hard to say.

Are you using a BarsInProgress index when submitting the order?

Are you using multiple data series that are the same instrument?

Are you using multiple variables to track the profit for each series?

I am including a test that shows when you add multiple instruments to a script, both series will affect the last trade count.

Each series in the test will place one order.

Then on the last historical bar, you will see in the output a print for each trade in the trade collection.

[hliboi]

Hello ChelseaB,

Im only using Add(PeriodType.Tick,1); to add granularity. Should I add the series of all the instruments that i trade in in the strategy and have the Performance.AllTrades.TradesPerformance.Currency.C umProfit be calculated for each instrument? should i create a separate strategy for each instrument?

Thank You

 public class Strat24: Strategy
    {
		private int	amp = 40;
		private int	trail1 = 30;
		private int	trail2 = 30;
		private int	be2	= 1;
		private int	be3	= 1;
		private int breakeven = 1;
		private int	quantity1 = 5000;
		private int startTimeInt = 600;
		private int exitTimeInt = 1700;
        private int lastEntryTimeInt = 1630;
        private DateTime exitTimeDT;
        private DateTime startTimeDT;
		private double priorCumProfit= 0;
		private double maxloss= -20;
		
		
		
        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
         	CalculateOnBarClose = false;
			EntryHandling		= EntryHandling.UniqueEntries;
			Add(PeriodType.Tick,1);

			
		}

        private void GoLong()
		{
			EnterLong(quantity1,"Long1");

		}
		
		private void GoShort()
		{
			EnterShort(quantity1,"Short1");

		}
		
		
		private void ManageOrders()
		{
			if (Position.MarketPosition == MarketPosition.Long)
			{
				if (BE2==1 && High[0] > (Position.AvgPrice +( (breakeven*100)*TickSize)))
					SetTrailStop("Long1", CalculationMode.Ticks, trail1, false);
				
				if (BE3==1 && High[0] > (Position.AvgPrice +( (breakeven*100)*TickSize)))
					SetTrailStop("Long2", CalculationMode.Ticks,trail2, false);
			}
			
			if (Position.MarketPosition == MarketPosition.Short)
			{
				if (BE2==1 && Low[0] < (Position.AvgPrice + ((breakeven*100)*TickSize)))
					SetTrailStop("Short1", CalculationMode.Ticks,trail1, false);
				
				if (BE3==1 && Low[0] < (Position.AvgPrice +  ((breakeven*100)*TickSize)))
					SetTrailStop("Short2", CalculationMode.Ticks, trail2, false);
			}
		}
		
		
		
        protected override void OnBarUpdate()
			
        {
			EntryHandling		= EntryHandling.UniqueEntries;

			
			//	Daily Loss
            if (base.Bars.FirstBarOfSession)
			{
  			  priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;
			}
			// *** Calculate the toal profit (cumulative profit minus prior profit plus the current position profit 
			double myMaxLoss = maxloss;
			double cumProfit = (double) Performance.AllTrades.TradesPerformance.Currency.CumProfit;
			double curPosition = (double) Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);
			double totCumProfit = (double) (cumProfit - priorCumProfit) + curPosition ;
					
			
						
			// *** STOP the strategy! if a total profit or loss exceeds the max
				if (totCumProfit <= myMaxLoss )
				{
				if (Position.MarketPosition == MarketPosition.Long) {ExitLong("DMA: Exit Long ", "");}
				if (Position.MarketPosition == MarketPosition.Short) {ExitShort("DMA: Exit Short", "");}
				return;
				}

			if (base.ToTime(base.Time[0]) < this.startTimeInt * 100 && this.startTimeInt > 0)
            {
                return;
            }
			
			if (base.ToTime(base.Time[0]) >= this.exitTimeInt * 100 && this.exitTimeInt > 0)
            {
				if (base.Position.MarketPosition == MarketPosition.Long)
                {
                    base.ExitLong();
                }
                if (base.Position.MarketPosition == MarketPosition.Short)
                {
                    base.ExitShort();
                }
                return;
            }

		if (base.ToTime(base.Time[0]) <= this.lastEntryTimeInt * 100 || this.lastEntryTimeInt == 0)
			{	
			ManageOrders();
		
			if (Position.MarketPosition != MarketPosition.Flat) return;
			
			if (somevalue> amp && Close[0] > Open[0]) 
				GoLong();
			else if (somevalue > amp && Close[0] < Open[0])
				GoShort();
			}
		}

[NinjaTrader_ChelseaB]

Hi hliboi,

This depends on what you are trying to do.

If you want your script to trade multiple instruments, then add multiple instruments and logic to your script.

If you want your script to trade just one instrument, then do not add multiple instruments to your script, and instead run one instance of the script for each instrument separately.

Each unique instrument will add to the trade collection for that script instance. You can have these filter into performance variables for each instrument if that is what you wish to do.

Are you trying to add multiple instruments to one script and then create individual performance values for each instrument?

If so, have you added a variable to store the performance for each instrument?

[hliboi]

Hello ChelseaB,

I'm guessing that a script for each instrument would work in both the strategy analyzer and live. So I'm thinking for the moment to have a script for each traded instrument.
I'm trying to make this work but i get error could you please clarify what Im doing wrong?

Thank You very much

protected override void Initialize()
        {
         	CalculateOnBarClose = false;
			EntryHandling		= EntryHandling.UniqueEntries;
			Add(PeriodType.Tick,1);//1
			Add("$EURUSD", BarsPeriod.Id, BarsPeriod.Value);//2
		}

        private void GoLong()
		{
			EnterLong(quantity1,"Long1");
		}
		
		private void GoShort()
		{
			EnterShort(quantity1,"Short1");
		}
		
        protected override void OnBarUpdate()
			
        {
			EntryHandling		= EntryHandling.UniqueEntries;
			
			//	Daily Loss
            if (base.Bars.FirstBarOfSession)
			{
  			  priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit[2];
			}
			// *** Calculate the toal profit (cumulative profit minus prior profit plus the current position profit 
			double myMaxLoss = maxloss;
			double cumProfit = (double) Performance[2].AllTrades.TradesPerformance.Currency.CumProfit;
			double curPosition = (double) Position[2].GetProfitLoss(Close[2], PerformanceUnit.Currency);
			double totCumProfit = (double) (cumProfit - priorCumProfit) + curPosition ;
					
			// *** STOP the strategy! if a total profit or loss exceeds the max
				if (totCumProfit <= myMaxLoss )
				{
				if (Position[2].MarketPosition == MarketPosition.Long) {ExitLong("DMA: Exit Long ", "");}
				if (Position[2].MarketPosition == MarketPosition.Short) {ExitShort("DMA: Exit Short", "");}
				return;
				}

[NinjaTrader_ChelseaB]

Hello hliboi,

A script with multiple data series added will work in backtest in the Strategy Analyzer and live.
A script with one data series will also work in backtest in the Strategy Analyzer and live.

May I have a screenshot of the error?

[hliboi]

Sure!
Thank You

[NinjaTrader_ChelseaB]

Hi hliboi,

The issue is you are attempting to call a bars in progress index with Position instead of Positions (plural).

Position is for the current bar in progress' position.

Positions[0] is for the first position collection.

[hliboi]

Thanks ChelseaB

How to call the Performance for that instrument solely?

Thank You

Performance[2].AllTrades.TradesPerformance.Currency.CumProfit;

[NinjaTrader_ChelseaB]

Hello hliboi,

The performance will need to looped through to find your trade.

If it was the last trade you can use:

Performance.AllTrades[Performance.AllTrades.Count-1].ProfitCurrency

[hliboi]

Hello ChelseaB,

What if its not the last trade? What if its a collection of trades that amount to the daily max loss for that instrument.

Thank You

[NinjaTrader_ChelseaB]

Hello hliboi,

You can loop through the collection with a for loop.

You could also accumulate the PnL to a variable for the last trade every time a trade closes.

[hliboi]

Thanks I'll try that.