Suggestions for blending the equity curve & statistics of a portfolio of systems?

[RedRock]

I have a few intraday systems that seem uncorrelated and may provide good results if traded simultaneously. Any suggestion for achieving this result?

There are other portfolio of systems issues Ill need to address. ( multiple instruments per system in portfolio, position sizing off combined equity, ) And other desires like volatility weighted sizing, and variable modulation) BUT, that's off down the list. Just combining the equity curves of two or more systems would be a start.

Pointers and suggestions within NT, or relevant outside reading material appreciated... Thx.

[NinjaTrader_ChelseaB]

Hello RedRock,

Do you mean you want multiple strategies to trade the same instrument and same account?

I would recommend using different accounts as this would lead to the strategies being out of sync with the account.

Below is a link to a forum post that discusses.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99748-two-independent-strategies-on-the-same-futures-contract?p=792660#post792660

[RedRock]

Hello ChelseaB,

Your post does open a can of worms. But important no doubt.

As a baby step, I'd like to

• Backtest multiple strategies and view their joint performance results in a single integrated portfolio

So backtest a strategy on corn futures and one on 'weevil futures'. This creates two instrument specific equity curves. Is there a way to combine those equity curves and view the combined result as if the trades were taken in the order they occurred?

Perhaps exporting the results to excel may be a temporary solution.

Barry

[RedRock]

Okay, I see I can add multiple instruments in Strategy Analyzer and run the same system and same parameters over all of them. Then view the result individually or combined. Thays cool. Don't suppose there is a way to use different systems or same system with different parameters and combine them similarly. Thanks again...

[NinjaTrader_ChelseaB]

Hello Barry,

It is not a feature of NinjaTrader to combine the results of backtests of different NinjaScript Strategies in the Strategy Analyzer in to one report.

As far as different parameters, you can do an optimization.

https://ninjatrader.com/support/helpGuides/nt8/index.html?optimize_a_strategy.htm#HowToRunAnOptimization

[UltraNIX]

I think I had a similar question: https://ninjatrader.com/support/foru...tegies-at-once and there was a ticket for implementing this feature. If it fits your needs, ask to add your vote. If enough votes are in - maybe they implement this feature.

[NinjaTrader_ChelseaB]

Hello UltraNIX,

Thanks for your suggestion.

I'll go ahead and send a vote for Barry for SFT-137.