Backtesting for multiple strategies and combining results

[madb123]

Hello all,
So i am running close to 15 strategies on 30 different stocks and futures. For a total of 50.

The problem is i was only able to back test these one by one.. and the back tester doesn't combine the results. When i back test the same strategy on an instrument list, the combiner row is terrible. the only useable number there is total net profit with no other useable metric even drawdown is weight average. (really? could have put a lil more effort into this NT8 team its could be at least a combined net profit based daily net drawdown ). All other less professional platforms, even MT5 will show an unrealised and realised equity lines after you run a back test.

So here is my question:
- how do you go about combining the results from many back tests? (ive exported to excel and used some power queries to line up data and fill in null days.. but thats been very tough and failed)
- how do you go about calculating the unrealsed part of the losses to add to the drawdown calculated by nt8 which only represents the realised part?
- how do you calculate total exposure over time.. of one strat let alone all combined?

to Ninjatrader team:
Please spend some time on the results section of the back testing in the strategy analyser.. its really bad, namely the below is required:
- Please add unrealised drawdown daily
- Please add net or total exposure
- dont leave data gaps where no transactions happened repeat the previous so cumulative balances carry forward. you actually do this already in the charts .. so let us have it in the exports as well..
- if you really want to be better than all other software add a feature for combining multiple strategy backtests.. so we can see the results of multiple strategies combined.. are drawdowns happening at the same time or not.. is exposure ramping up at the same time or not etc..

Thanks!

[NinjaTrader_BrandonH]

Hello madb123,

Thanks for your post.

That is correct, you would need to backtest the strategies in the Strategy Analyzer window one by one to see how each strategy would behave.

There are currently no options in NinjaTrader for the ability to backtest multiple strategies simultaneously and show combined results.

We are tracking interest for this in an existing internal feature request and I have added your vote to this feature request. This request is being tracked under the number SFT-6065.

I also added your vote to an existing feature request for adding unrealized drawdown to the platform to more accurately track exposure. This request is being tracked under the number SFT-1543.

And, I've added your vote to an existing feature request for implementing exposure in the NinjaTrader platform similar to MetaTrader. This request is being tracked under the number SFT-3866.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted on the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

[madb123]

Ok thanks good to see im not the only one waiting for these.

[Ttrade12]

Hello BrandonH,



Please also add my vote to the existing feature request for NinjaTrader's ability to backtest multiple strategies simultaneously and show combined results - SFT-6065.

I’m using multi-tick charts that need to Enter and Exit based on different time frames. I would like to enter trades on the 30 tick chart based on what the 60 and 120 tick charts are doing and Exit on the 30 tick chart based on what the 30, 60, and 120 tick charts are doing. I feel confident using Strategy Builder (SB) to create my Entries and Exits as opposed to trying to code or combine my SB codes in NinjaScript Editor.

If, in SB, I set my primary instrument to be the 30 tick chart, will I be able to Enter and Exit trades the way I mentioned above? I think this is possible, however, I ran into a roadblock and am unsure why.

In SB, I have the 30 tick chart being the primary instrument and I added the 60 and 120 tick charts. I Enter long when the 120 tick chart EMA 10 crosses above its EMA 30 and Enter short when the 120 tick chart EMA 10 crosses below its EMA 30. I also Exit the Long when the 30 tick chart EMA10 crosses below its EMA 30. I put this strategy on the 30 tick chart and it worked, but for only a few days. It wouldn’t take any more trades after that, however, the conditions continued to be met but the strategy stopped working. I have 90 days on my chart and 20 bars are required to trade. I don’t understand why the strategy stopped after a few days. Any ideas? Thanks.

[NinjaTrader_BrandonH]

Hello Ttrade12,

Thanks for your notes.

I have added your vote to this feature request.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted on the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

That said, it would be possible to create conditions based on the added secondary data series in a Strategy Builder strategy.

When setting up your conditions you could have the EMA indicator calculated based on the added series. To have the EMA indicator calculate from an added secondary series, you would select the EMA indicator in the Condition Builder (Indicators folder > EMA), click the 'Input series' field of the EMA indicator, open the 'Data series' folder, select the added secondary series you want the EMA to use for calculations, and click OK.

Conditions: https://ninjatrader.com/support/help...on_builder.htm
Actions: https://ninjatrader.com/support/help...t8/actions.htm

Prints should be added to the strategy if it is not behaving as expected to see how your logic is evaluating.

Below is a link to a forum post that demonstrates how to use prints to understand behavior.
https://ninjatrader.com/support/foru...121#post791121

[Ttrade12]

Thanks, BrandonH!

[RoswellTrader]

Hi BrandonH, I hope you're well.

Please add my votes for all three of these feature requests:

SFT-6065.

SFT-1543.

SFT-3866.

It will be much appreciated!

[morong0414]

Hi BrandonH,

Please add my votes as well on these features.

SFT-6065.

SFT-1543.

SFT-3866.

[NinjaTrader_ChelseaB]

Hello RoswellTrader and morong0414,

I've added your votes to these requests.

Thank you for your voice.