Trade Performance reporting for a strategy?

[adam911]

Hi there,
Maybe I am missing something, but when I have a strategy running that has dynamic contract sizing and it can't fill the whole order with 1 execution, it records the additional executions as additional trades. Today for example the strategy made 10 trades, but they are recorded for performance analysis purposes as 23 trades, as it couldn't fulfill all the contracts for each trade in one execution. Which skews the performance analysis. Is there any way to report trade performance based on orders completed, as opposed to actual executions?

Thank you in advance

[NinjaTrader_Erick]

Hello adam911 ,

Thank you for reaching out.

In NinjaTrader 8, the Trade Performance report is typically based on executions, not directly on orders. However, you can still analyze your trade performance in a way that groups executions into complete trades (which reflects completed orders). This gives you the ability to see performance metrics based on trades rather than just individual executions.

Here’s how you can work with this: Group Executions into Trades


NinjaTrader automatically groups executions into trades based on the following:

• Entry and Exit executions for each position are grouped together to form a trade.
• Each trade in the Trade Performance window will reflect the full sequence of executions that result in a completed order (entry to exit).

Steps to Access Performance Based on Completed Trades:

1. Open the Trade Performance Window:
   • In the Control Center, go to New > Trade Performance.
2. Filter By Trades:
   • In the Display dropdown, select Trades to view performance based on completed trades rather than individual executions. This view combines all executions into full trades, so you can analyze trade performance.
3. Choose Report Criteria:
   • Customize your report based on time period, instrument, and other filters to analyze only completed trades.
   • You can also check additional tabs like Orders if you want to see individual order data, but for performance based on completed trades, stick to the Trades tab.

Additional Customization:


You can also use the Strategy Analyzer if you are using automated strategies to further evaluate the performance based on how orders are grouped into completed trades, giving you more granular control over the analysis. Summary:


While NinjaTrader’s Trade Performance is based on executions, you can still view and report your performance based on completed trades by selecting the Trades display mode in the Trade Performance window.

Let me know if this addresses your question, or if you'd like more information!

[adam911]

Thank you for the reply Eric,

So essentially your saying that the only accurate info I can get in relation to actual trades, not executions is in the 'Trades' dropdown. I can't access any of the metrics that are available on the summary page, such as profit factor, sharpe ratio, sortino ratio etc. As those aren't available columns to add in the properties of the 'Trades' dropdown. It only has profit, cum net profit, MAE, MFE, etc?

Regards
Adam

[adam911]

So, it took 2 trades this morning. The summary said 4 trades, but when I go to the 'Trades' dropdown, it actually shows 4 trades. As you can see trade 2,3 and 4 is actually 1 trade. It only shows 2 trades on the chart. I have re-read your response. Am I still doing something incorrect here? I've attached a screenshot.

[NinjaTrader_Clayton]

Hello Adam911,

Thank you for the update.

The "Trades" display simply pairs Orders together by Entry and Exit price.

There is no way for it to simply count your "Trades" overall.

• As in, "I clicked buy market once and the ATM Strategy or NinjaScript strategy did everything else to make it back to closed by that one action."

Imagine I place a Buy Market Order for 10 Contracts.

• They all enter long at 1,000
• Then, I click the Close button during a volatile period so 3 Exit at 1001, 3 Exit at 1002, and 4 Exit at 1005
• Even though I clicked Once to enter and Clicked Once to Exit, this would appear as 3 "Trades"
  • 3 in at 1000 > 3 out at 1001
  • 3 in at 1000 > 3 out at 1002
  • 4 in at 1000 > 4 out at 1005

So, there is unfortunately no way to count how many "Clicks" to trade you've done, it will only track the Pairs or orders as a Trade.


Please let us know if we may provide any further assistance.

[adam911]

I totally understand the technicalities of why the whole trade may not be filled with one execution. All I'm trying to do is get accurate performance metrics on a trade by trade basis, like the ones shown on the summary page (although those are actually on an execution basis). Your colleague suggested the trades filter, but that only shows MAE, MFE and cum profit and one is unable to add columns for the other metrics. So, simply, am I able to get that information. If not, it's fine and I will have to manually calculate it.

[NinjaTrader_Clayton]

Hello adam911,

Thank you for the update.

No. I am not aware of a way to see the trades as you describe within the default NinjaTrader Platform.


You can get the performance results from the strategy running and then export those to save them with that information:

• 
  • •Real-time - Generates performance data for your real-time trades only (since the strategy started running) and will exclude historical trades. If your strategy held a virtual position (calculated against historical data) upon starting, a virtual execution representing the average price of this position will be injected into the real-time results to ensure that a trade pair can be created with the executions resulting from the closing of this position.
    
    •Historical & Real-time - Generates performance data for both historical and real-time trade data.
    
    •Historical - Generates performance data for historical data only.
    • https://ninjatrader.com/support/help...egyPerformance

Please let us know if we may provide any further assistance.