Tharp SQN Calculation within Indicator

[Sweet&Sour]

I found a piece of NT 6 code which has calculated the Tharp SQN

double stddev = 0;
double tradeProf;
double numTrades = systemPerformance.AllTrades.Count;
double avgProfit = (systemPerformance.AllTrades.TradesPerformance.Gro ssProfit + systemPerformance.AllTrades.TradesPerformance.Gros sLoss) / numTrades;

foreach (Trade t in systemPerformance.AllTrades)
{
tradeProf = (t.ProfitPoints * t.Quantity *
t.Entry.Instrument.MasterInstrument.PointValue);
stddev += Math.Pow(tradeProf - avgProfit, 2);
}

stddev /= numTrades;
stddev = Math.Sqrt(stddev);
double sqn = (Math.Sqrt(numTrades) * avgProfit) / stddev;

In NT8, what exactly means the Quantity and PointValue Property within the systemPerformance.AllTrades collection?

[NinjaTrader_Jesse]

Hello,

Thank you for the post.

In this situation, the Quantity and PointValue are objects of this individual trade with values that relate to the Quantity of the trade and the Point value of the instrument that placed the trade. The script is looping over all of the trades in the collection systemPerformance.AllTrades.

The Instrument.MasterInstrument.PointValue refers to the Master Instrument definition, this is the Instrument manager window and the point value it displays in there. As a quick note, the Instrument object is the direct instrument that your script is working with I.E. ES 12-17 where the Instrument.MasterInstrument object is the Definition of the instrument in the manager or ES. This is still the same in NT8:

Trade t;
t.Entry.Instrument.MasterInstrument.PointValue

The Quantity of the Trade was the amount traded, this is also still the same in NT8:

Trade t;
t.Quantity

Definitions:

For Point Value:

http://ninjatrader.com/support/helpGuides/nt8/en-us/pointvalue.htm?zoom_highlightsub=pointvalue

For Trade:

http://ninjatrader.com/support/helpGuides/nt8/en-us/trade.htm

For the sub-object Entry which is an Execution object:

http://ninjatrader.com/support/helpGuides/nt8/en-us/execution.htm

I look forward to being of further assistance.