Testing multiple strategies against same instrument at the same time

[music_p13]

Hello,

I understand that currently NT8 doesn't perform strategy portfolio testing. However, let say I want to test few strategies running concurrently for the same instrument... Can I use replay data in the following way:

Open few charts, connect to replay data, run each strategy at the same time on each chart against same "Replay" account...

Once replay is finished - I should be able to check combined equity curve, as well as separate analysis for each strategy... Just wanted to confirm that this is the easiest way to approach it...

The other way would be to run each strategy separately, and then "Combine" strategy results using 3rd party tool (in order to see combined equity curve...).

Just wanted to see if these would be the most obvious 2 processes of testing portfolio of strategies...

Thanks

[NinjaTrader_Jim]

Hello music_p13,

Thanks for your post.

Once replay is finished - I should be able to check combined equity curve, as well as separate analysis for each strategy... Just wanted to confirm that this is the easiest way to approach it...

This would be an appropriate use of the Playback Connection. You will have an actual account for portfolio testing and you could play through the Market Replay data with your strategies enabled.

To look at individual strategy performance, you could run a Strategy Performance report for trades made with Realtime Data by right clicking on the strategies in the Strategies tab of the Control Center or on your chart. For a combined performance report, you could then open a TradePerformance window to analyze the Playback account.

This could be tested by enabling 2 instances the SampleMACrossover strategy in Playback and to observe the results in TradePerformance and in each Strategy Performance report.

Please let me know if there is anything else I can do to help.

[Boonfly8]

Is this also true for different time frames? For example, can you use replay data to test a reversal strategy built on 1min chart, a momentum strategy built on 1min chart, and reversal and momentum strategy built on 5min chart (4 separate strategies total) all concurrently?

[NinjaTrader_Jim]

Hello Boonfly8,

The Playback Account will only see trades coming in an out to that account and the TradePerformance window could be used to view those trades. It does not matter the time frame of the data series where the order was placed as long as the trade was made in the Playback session.

Each Strategy will have their own position that is separate from the Account position. Strategy specific trades can be monitored in A strategy Performance report.

Since having strategies on the same instrument will have the strategy positions compete with each other, it can cause it to de-sync from the Account position and make the strategy logic unprofitable.

For more information on Strategy vs. Account Position, please see the documentation item below.

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

Please let me know if you have any additional questions.

[Boonfly8]

Hi Jim,

"Since having strategies on the same instrument will have the strategy positions compete with each other, it can cause it to de-sync from the Account position and make the strategy logic unprofitable."

Each strategy has it's own entry and exit logic, just different time-frames. While it is true that sometimes one short term strategy can be long and another longer-term strategy can be short, if they both exit the position differently according to its own logic, it should be ok