custom performance metrics

[NickyD]

I've just started looking at custom performance metrics. I'd like to calculate some performance numbers with a "Position" focus...i.e to calculate some metrics from Position Initiated to Position Flat. (Instead of individual exits). This seems feasible to me if I handle the custom aggregation in OnAddTrade().

Is this indeed possible? Worth pursuing?

[NinjaTrader_ChelseaB]

Hello NickyD,

There is not any documentation on accessing the strategy position from a performance metric script.

I'm not sure this would be possible with this type of script.

The Trades being processed are fully closed trades with an entry and exit (and not individual orders) and is used to build a trade collection. Further the strategy instance is not available.

This thread will remain open for any community members that may have an unsupported workaround they would like to share.

[NickyD]

Ok, thanks.

I know you guys have lots of different customers, with lots of different use cases, but I have to think this is pretty clearly a big miss by NT. How can you not have the concept of a strategy position in your strategy performance analysis?

NT's built in performance metrics can't do it, we can't do it via custom code... this seems like important and useful functionality IMO.

[NinjaTrader_ChelseaB]

Hello NickyD,

An optimizer script does have access to the strategy instance but performance metric scripts are designed to process trade objects. The position would not be a consideration for a closed trade as that trade would not be impacting the position.

I'm not sure if this would be helpful, but I'm providing an example below.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1036516-additional-statistical-fields-in-analyzer-output#post1036892