Strategy Analyzer - Combined Results

[Joerg]

Hello,

first of all NT7 looks quite nice and especially for automanted trading it is propably very good. Besides I use the Strategy Analyzer quite often and was wondering about one thing:

What exactely means the Max. Drawdown number for combined results?

Its less than one single Drawdown (which should not be true I guess) and it is´nt the average of the single Max. Drawdown too (which would not be my Drawdown if I´ve been traded the portfolio in reality).

Thanks a lot.

Joerg

[NinjaTrader_Bertrand]

Joerg, thanks for the kind words - it should be the avg of the single drawdowns shown, this is what I get here too in my testings, the combined / averaged drawdown of your sample shown should be close to 20K, right so I don't see where you think it's off track.

[Joerg]

In my example it is not the average Drawdown. This would be 20173.23$ if each underlying is weighted equally. So maybe there is some unequal weighting?

But in general I would not expect an average drawdown at this place. I thougth the combined results show the result if I would have been traded all underlyings together. If so, the Profit simply cummulates f.e. but not so the drawdown.

For getting the combined drawdown I would have to cummulate the single drawdowns at each point of time and then take the max of that series. Or another way: I calculate the combined equity curve and then look for the max. drawdown of that curve. In any case the portfolio drawdown can not be less than the worst single drawdown.

Maybe this issue also affects other reports numbers which are not only additions or averages of the single numbers? Otherwise I can not see the effect of diversification which is most interesting in the combined results.

[NinjaTrader_Bertrand]

Joerg, thanks for the thoughtful observations, you're right this is a weighted avg instead althought I'm not aware of the exact underlying formula at this point in time.

When working with the Combined Results please keep in mind that this is not an effort to implement true portfolio level backtesting.

[Joerg]

Is it planned to implement this feature in NT7? I know it is not easy to synchronize the equity curves on a bar by bar basis but on a end of day basis it should not be too complex I guess. This would be a very helpful information for strategy developement.

Thanks,

Joerg

[NinjaTrader_Bertrand]

Hi Joerg, thanks for the feedback - yes, this is already on our list for the future.