Running multiple strategies

[samish18]

When I am running multiple strategies (Strategy A and Strategy B), if strategy A is in a position, does strategy B automatically not enter any positions? Does a trading account limit itself to only one strategy in the market at a time?

[NinjaTrader_Gaby]

Hello samish,

Thank you for your post.

If the strategies are running on different instruments or on different accounts, both strategies are able to run without issue.

If the strategies are running on the the same instrument and account, the positions of the strategies could become of out sync with the account which could interfere with the performance.

We don't recommend running multiple strategies on the same instrument and account, as this will cause one or more of the strategies to be out of sync with the account.

Strategy Positions vs Account Position - https://ninjatrader.com/support/help..._account_p.htm

Below is also a forum post which goes into more detail.

https://forum.ninjatrader.com/forum/...act#post792660

[samish18]

What do you mean by out of sync? Will strategy B not enter a position if strategy A is already in one of the same market?

[NinjaTrader_Gaby]

Hello samish.

Out of sync with the account position.

Say you enable Strategy A and places a buy order, now its position is Long 1. Your account position is now Long 1.

While this is happening you enable Strategy B. It starts Flat. Strategy B is out of sync with the account position which is Long 1.

Whether or not it will prevent orders from happening depends on your start behavior. For example, if you are using Immediately Submit, Strategy B will not be able to submit orders:

"The account and instrument the strategy is started on must not have any working orders which were submitted outside of the strategy, or by another instance of the same strategy. If an order is detected, the strategy can not be started until these orders have been manually managed. "

https://ninjatrader.com/support/helpGuides/nt8/index.html?syncing_account_positions.htm#AdoptAccountPosition

[samish18]

Which setting would allow a strategy to run independently of the other strategies?

[backtester831]

Which setting would allow a strategy to run independently of the other strategies?

You need either a different instrument or different account because you cannot be simultaneously both long and short the same instrument in the same account. Futures positions are netted.

[NinjaTrader_Gaby]

Hello samish18,

All strategies run independently of other strategies (i.e. they are not aware of the other strategy's positions). The problem lies in that their positions will become out of sync with the account position if you running them on the same account and instrument. This is why strategy positions vs. account positions exist.

backtest831 is correct. From the forum post linked in my previous reply:

"To truly have an open long account position and an open short account position on the same instrument (instead of a net flat account position), this would require placing trades to two different accounts. One account to hold a long position, the other account to hold a short position"

We do not recommend that you run multiple strategies on the same account and instrument. Either run them on different accounts or combine the strategies into one script.

[backtester831]

Hello samish18,

All strategies run independently of other strategies (i.e. they are not aware of the other strategy's positions). The problem lies in that their positions will become out of sync with the account position if you running them on the same account and instrument. This is why strategy positions vs. account positions exist.

backtest831 is correct. From the forum post linked in my previous reply:

"To truly have an open long account position and an open short account position on the same instrument (instead of a net flat account position), this would require placing trades to two different accounts. One account to hold a long position, the other account to hold a short position"

We do not recommend that you run multiple strategies on the same account and instrument. Either run them on different accounts or combine the strategies into one script.

Hi Gaby, actually I have a related question I was hoping to ask you. In ATM, there is an option for "Display Selected ATM Strategy Only", which is sort of a way to have virtual long and short positions: https://ninjatrader.com/support/help...ction_mode.htm

Do you think this could work for automated strategies too? Would the strategy still go out of sync if it uses "Display Selected ATM Strategy Only" option for its ATM?

[NinjaTrader_Gaby]

Hello backtester831,

If your strategy is solely using AtmStrategyCreate() to submit its orders, it's going to become out of sync periodically regardless of the Atm's Selection Mode because it's technically not the strategy itself placing orders but the AtmStrategy doing all of the order management. The strategy position is always going to be Flat while the account position will change as the Atm strategy places orders. The selection mode is only affecting the Atm strategy.

Please let us know if you have any further questions.

[BarzTrading]

I would like to clarify some things here.

I've been running multiple strategies on the same instrument in playback and it works fine. I run each strategy on its own chart. Works fine whether the charts are different panels in one window or on separate tabs. The account position is just the net of all the strategies which is fine.

But the forum is filled with comments like "You'll be out of sync which may cause problems," "We don't recommend this," and "Do at your own risk."

I would like to establish whether I can conclude that:

1) trading multiple strategies on one instrument in the same account should not be done because it can't be done correctly and NinjaTrader doesn't support it reliably.

OR

2) NinjaTrader absolutely can support trading multiple strategies on the same instrument in the same account, but there are several ways to shoot yourself in the foot so you have to make sure you are careful and know what you're doing.