Extending Strategy Analyzer Analysis

[GrumpyTrader]

Is there anyway for the user to extend the Analysis section of Strategy Analyzer?

There are a lot of things missing from this section. Just to start with, there is no concept of an NAV equity curve. Everything is based off of closed positions. I would want to see in the Chart section the ability to see how the NAV of the portfolio evolves and what the MAE and MFE of it is on a daily basis, including unused cash.

Ideally, allowing users to extend this would be the best.

[NinjaTrader_DaveI]

Hello,

There is currently not direct support for creating new graphs in the Analysis display of the Strategy Analyzer, although there is a native NinjaScript Type called a Performance Metric which you can use to add line items to performance reports:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?performance_metrics.htm

[GrumpyTrader]

Thanks Dave, but not really what I'm looking for. The current reporting is quite limited. I was wondering if there is a way to extend this through an AddOn? If there is a way to access or pass the details of a backtest (trade details) to an AddOn then I can realistically recreate my own Analysis Report just the way I like it. Any ideas on how I could access those trade details programically?

[NinjaTrader_DaveI]

Hello,

I was not able to find a solution to this today, but I will get back on the case Monday morning and post back here with any updates or solutions that I find.

[GrumpyTrader]

hey dave,
any luck with this?

[NinjaTrader_DaveI]

There will not be a way to pull performance data directly from the Strategy Analyzer, but you should be able to access raw data on executions via the Executions collection in the Account class. The core logic in a Strategy Analyzer backtest relies on pairing up raw executions data to create "trades," and you should be able to do the same thing in your AddOn with the raw data, although it would require a bit of legwork.

[GrumpyTrader]

Hi Dave,
I don't think pulling raw execution data would work as those are real executed trades correct? I'm looking for simulated trades from a backtest of a strategy.

[NinjaTrader_DaveI]

Ah yes, that is correct. In that case, there may not be an easy way to accomplish what you are looking for without essentially creating your own backtesting engine to generate the backtest data to feed your custom graph.

[GrumpyTrader]

Hi Dave,
How about the following:

As you've pointed out that we can create custom performance metrics, how about allowing us to add them to the Graph combo box in the Analysis screen on the Strategy Analyzer so they can be plotted?

One thing very limiting in the graphs that are provided is that they only graph the point on closed positions. Such things as drawdown should be provided on a daily open position basis as that is what would drive a margin call. Ideally there should be the option for everything to be plotted on a daily basis which shows intraday exposure both from a profitability and exposure point of view.

[NinjaTrader_DaveI]

I will add a tracked suggestion to allow custom performance metrics to be added to the Analysis Display (SFT-979). I imagine this could also require custom graph styles to match up with the custom Metrics, as well, or even just the ability to specify one of several built-in graph types to use with a given custom Metric.

I will also add a suggestion for an option to use daily Open+Closed positions for performance calculations, for the purpose of tracking real-time drawdown/profit including positions in progress (SFT-980).

[Silent]

Not sure how suggestions are prioritized, but I agree with Grumpy trader and hope my supports helps in increasing the priority.

It would be great to be able to add reports. Apart from the mentioned equity curve (I think that should by default be available), for me this would imply a.o. extensive statistical analyses of the trades. If a bar-index is added to the trades and th raw price/indicator data of the analyzed asset could be accessed when building customized reports that would open up an opportunity to build reports that may help improve the trading system.

[NinjaTrader_PaulH]

Hello Silent,

Thanks for your post.

Your vote will be added to SFT-979 and STF-980, along with your comments.

Thank-you for your interest in improving our product.