Accessing historical & real time performance factor/ratio

[birdog]

Hi folks:

I would like to access the historical & real time performance or profit factor/ratio. When right-clicking on a strategy, there is a selection for strategy performance>historical & real time performance. When this is run, it can output the performance factor/ratio seen the the second column title "performance".

Here is what I would like to do:

In my strategy code for entering a long or short position, I would like to access this ratio/factor and make it a condition for going long or short respectively.

For example, in the strategy code, I could load, say, 14 days. Then, as an additional condition, I would like to add:
if the historical & real time "performance" ratio/factor over the last 14 days (include right up to the present moment in the current day) is above 2.50 go long or short respectively.

What code could I use to access the that performance factor?



Thanks...

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your post.

You can find this under TradesPerformance: http://www.ninjatrader.com/support/h...erformance.htm

[birdog]

@PatrickH

Thank you.

I have a BarArray set for daily (Day.1).

How would I express:

If the Performance.RealtimeTrades.TradesPerformance.Profi tFactor > 2.50 over the past 14 days (via the BarArray).

I use a 5 min primary bar.

OR, would it be the same thing to just load 14 days into the strategy upon enabling and simply use:

alone without the BarsArray and it will just pull the ProfitFactor from the days that I allow it to load in the strategy itself?

if (Performance.RealtimeTrades.TradesPerformance.ProfitFactor > 2.50)

***Also, will this pull "historical" days I allow to load and real time or just real time trades? If not, I think I need something to make it calculate for both historical (from the amount of days loaded) and real time?

***Lastly, is there a way to split out the ProfitFactor to where specifically in order for a long trade to happen ALL long trades only (not short) has to have a profit factor of above 2.50 and vica versa instead of both long/short together?



Thanks Patrick!

Greg

[birdog]

Hi @patrickh

any thoughts on the last post if you are able?

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

The following code will work on any bar type to pull the Profit Factor over the past 14 days:

        #region Variables
		private double totalProfitAtSessionStart = 0;
		private DataSeries pFactorPerDay;
        #endregion

        protected override void Initialize()
        {
			Add(PeriodType.Day, 1);
			pFactorPerDay = new DataSeries(this);
        }

        protected override void OnBarUpdate()
        {
			if(pFactorPerDay == null)
			{
				pFactorPerDay = new DataSeries(SMA(BarsArray[1], 1));
			}
			
			if(BarsInProgress == 0)
			{
				if(Bars.FirstBarOfSession)
				{
					pFactorPerDay.Set(Performance.AllTrades.TradesPerformance.ProfitFactor - totalProfitAtSessionStart);
					totalProfitAtSessionStart = Performance.AllTrades.TradesPerformance.ProfitFactor;
				}
				
				int count = 0;
				for(int i = 14; i >= 0; i--)
				{
					if(pFactorPerDay[i] > 2.5)
						count++;
				}
				if(count == 14)
					Print("Profit Factor greater than 2.5 over the last 14 days");
			}
		}

As long as you use Performance.AllTrades it will be all trades in the collection, not just real time. And splitting it by short or long is performance with Performance.LongTrades or Performance.ShortTrades: http://www.ninjatrader.com/support/h...erformance.htm