Strategy Analyzer: Total Net Profit

[spottysallrite]

Is there any way to change the value of the "Total Net Profit" that is displayed in the Strategy Analyzer ? That is, I'd like to apply different "expenses" to limit orders vs market orders (sort of like commissions that vary according to what kind of order is executed).

[NinjaTrader_Jesse]

Hello spottysallrite,

There is not a way to modify the standard metrics in the analyzer. You can create a custom performance metric and then enable it in the options menu to display custom results in the results list.

[spottysallrite]

Well, I've thought about that. How would I then also include the Max. drawdown?

[NinjaTrader_Jesse]

Hello spottysallrite,

You would have to do the math to calculate that in your custom performance metric or use the TradesPerformance collection that the metric has access to in the merge stage.

The sample performance metric that comes with the platform is documented and shows how you can access the individual trade values to return a performance value and also how to access the full performance collection to do a final calculation to provide a result to the grid totals.

[spottysallrite]

Right. When doing Optimizations, I often use the Max Downdown as part of my custom OptimizationFitness calc. So, for this metric to be accurate the Drawdown calc would have to include these variable "expenses" that I mentioned in my first post here. So, any suggestions as to how to include these "expenses" in these drawdown calcs so they can be used for ranking purposes in the Optimization?

[NinjaTrader_Jesse]

Hello spottysallrite,

You would need to manually do the math in your performance metric based on the available data if all data points you require are available there. You can't change the calculations of the existing performance metrics so anything outside of standard metrics that your fitness requires would require that you do the math yourself.

[spottysallrite]

Well, seems like the best way (only way ?) to apply this custom "expense" is to each, individual trade of each scenario of an Optimization. Yes, that can be done in Excel using exported results from the Strategy Analyzer, but what is needed is for those calcs to be used while the Optimization is run (so as to rank those results).

Maybe what I'm asking for is a custom field in the "Trades" window that would include this kind of work (eg, variable expenses according to execution type), then include that in a custom performance metric calculation. Would this be possible now, or would that have to be done in a future version of NT, or is this just something that will not be done at all by NT?

[NinjaTrader_Jesse]

Hello spottysallrite,

From an optimizer fitness you would need to use the SystemPerformance collection to go over the trades and accumulate your own value so you can do the math you need before setting Value. You have access to all of the trade information in the strategy.SystemPerformance.AllTrades collection.

[Tim-c]

I am a beginner and can you tell me if the setting is good to have a dailywin. THANKS




// Ensemble 3
if (SystemPerformance.AllTrades.TradesPerformance.Cur rency.CumProfit < Dailywin1)
{
ExitShort(Convert.ToInt32(DefaultQuantity), "", "");
}

[NinjaTrader_Jesse]

Hello Tim-c,

You can find a sample of using the cumulative profit in the strategy builder in the following forum post:

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/93881-daily-loss-limit-examples#post93881