Can We Build A Portfolio Backtester Ourselves?

[jaybedreamin]

Hi all,

Like many others, I've been keeping track of the years-long threads, feature requests and votes for this feature. It does not appear to be a priority for the NinjaTrader team to be able to backtest multiple strategies in the strategy analyzer. We are thinking about building an add-on ourselves that accomplishes this, and displays results in a screen almost identical to Strategy Analyzer, but aggregates results of multiple strategies.

My question is, is this something a vendor could do themselves? I've seen and heard that it is possible, but not sure. Ninjacators offer a portfolio backtester as part of their Robot Labs program. So they figured it out somehow. My main questions are

- The idea is to build it within NinjaTrader as a custom add-on. Is this possible?
- Do the exposed NinjaScript APIs allow us to run multiple strategies concurrently? Where we would I start if we wanted to do this ourselves?
- I'm familiar with the performance metric APIs and it would seem that "displaying" the aggregate results

Open to thoughts and insight from those experienced in this area, as always.

- Jay

[jaybedreamin]

Thanks Brandon,

I'm aware of the existing feature request. I guess I was more curious to know if that possible given the current APIs and exposed methods. I've been thinking about it deeper and here's what I think is possible, but I'm not sure. Basically, I'm wondering if I can make a master strategy that combines the logic of subclass strategies, thereby making it able to process the entry logic of multiple systems within 1 strategy class.

- Create a Strategy, call it PortfolioAnalyzer
- Every other strategy in the "portfolio" that you want to run will be of type PortfolioStrategyBase
- PortfolioStrategyBase has base functions that all child strategies must implement, like

setEntryCondition(bool)

setExitCondition(bool)

setParameters()

setDataSeries()

setInstrument()
as well as corresponding getter methods

- PortfolioAnalyzer will simply call these above functions on each instance of
PortfolioStrategyBase in OnBarUpdate(), and add the necessary data series for each strategy.

The only issue I'm having with this approach is that there is no way that I know of to get the full list of all available strategies NinjaTrader. How can I do this? I want to be able to check if a strategy is of a certain base class, and then call the appropriate function in C#. But it seems like NinjaTrader doesn't expose this. Account.Strategies returns an empty list, and I'm guessing that's because of the reason you listed in your response?