strategy performance data problems

[edstaffin]

Thanks for the update. Sounds like I should sit tight for b7 before going too much further with this. I will continue to try to narrow down the issue with the realized column in the strat tab.
Meantime we'll just have to wait and see. Basically, all I have been looking for from the beginning is a way to get the following:
For a particular strat, for a particular account for a particular time frame, how'd it do?!
One question while I am at it. When I right click on a strat and choose strategy performance/RealTime and Historical, does the historical part take into account previous realtime trades?
Thanks ... Ed

[NinjaTrader_DaveI]

When I right click on a strat and choose strategy performance/RealTime and Historical, does the historical part take into account previous realtime trades?
Thanks ... Ed

In this case, "Historical" will include any trades which were simulated and not taken in real time. "Realtime" includes any trades which were taken realtime, even though they may now be in the past.

[edstaffin]

Hi,
So if I choose realtime, and I have trades going back a month or year or more, it's supposed to bring back all of them?
Thanks ... Ed

[NinjaTrader_DaveI]

Realtime consists of the trades which were taken while that instance of the strategy was active. So if you happened to run a single instance for several months or a year, then you could expect all of the trades to show up in the Realtime reporting. However, this will not pull performance data from trades taken by other, previous instances of the strategy.

[edstaffin]

Begs the question ... how to get performance data for a strat for a particular time frame, instrument, account???
Apparently, the trade performance report is not going to provide this info ( according to a previous post on this thread).
Thanks ... Ed

[NinjaTrader_DaveI]

I can see this issue has been a thorn in your side for quite a while, as I look back through this thread, and I appreciate you sticking with us as we work it out.

In terms of analyzing the overall real-time performance of a strategy over time (including many instances of the strategy enabled and disabled at different points) -- now that the Trade Performance report no longer attempts to filter by NinjaScript strategies, this will not be possible directly via that window.

The most efficient and reliable way to accomplish your goal using the tools available, if you are placing both manual trades and strategy trades to the same instrument, would be to separate your automated trading into its own brokerage account (or Sim account). That way, filtering by account and instrument in the Trade Performance window will also have the effect of filtering by a strategy. If you are only ever trading via strategy on a particular instrument, then the Instrument filter in the Trade Performance window should do the trick for you without the need for a second account.

[edstaffin]

This is very disappointing news. I plan on trading my strats in a separate account from my discretionary account. The issue is that it's strats plural.So what you are telling me is that in order to keep track of strat performance, I need to have a separate account for each strat?!? Will ninjatrader brokerage be happy when I tell them this? For now, I can pile up sim accounts, but, honestly, this is a hack. I think NT needs to provide a coherent path for monitoring strats. Otherwise, what's the point of trying to develop a strat?

Is there a way I can roll my own tool for strat performance? Are the API's there to reproduce the Trade Performance report?

I've invested a lot of time and energy up to this point and now you're telling me I cannot get the critical info needed to evaluate a strat without a hack. Yikers!

There's got to be a better way.
Please help.
Ed

[NinjaTrader_Brett]

You would only run into issue tracking performance if you planned on running multiple strats LIVE on the same Instrument/Account combination. On Simulation you can separate this out with multiple sim accounts as discussed for testing purposes.

Just to be clear you plan on trading LIVE multiple strategies on the same instrument/account combination?

If it is the case then unfortunately that's where our tool support drops off. Furthermore I suggest you discuss what your planning to do with your broker as there are under the hood trade pairing rules FCM's apply that might not give you the results your looking for. We do have on our list to look into allowing filtering based on NS strategy but there is a host of challenged and gotchas that likely where trade performance gets out of sync requiring redesign of the trade performance underlying logic. As such we are not in a position to support that at this time but is on our list to look into in the future.

[edstaffin]

Hi,
Thanks for the response.
As to your question regarding live multiple strats on the same account/instrument, the answer is ... sort of. I am using the managed trading approach in my strat. This means I can only be long or short. I can't bracket. To get around this limitation I run the same strat twice ... one for long only and one for short only.

I guess if I changed my code to go the unmanaged route, I would only be trading one strat per account/instrument combination. Would that solve the problem? I might want to run > 1 instrument per account, but from what you are saying, that would not be an issue, right?

Thanks ... Ed

[NinjaTrader_Brett]

Understand.

In which case there are multiple options to approach this:

1. You could keep it as is and use the Trade Performance window "Analysis" view to do filtering based on long/short.
2. You could switch to unmanaged strategy if that is the case to allow you to run a single strategy instance.
3. If in the end you OK going to unmanaged strategy and having a single strategy since in concept your really only running a single strategy instance. Then going to a single strategy wont gain you much since in principle you want to view the long strategy and short strategy together. By running both strategies on a live account / instruiment combo you have all the tools you need to display your results as needed by showing only that account and instrument in the trade performance results.

And yes you can filter by instrument so you could do different instruments on the same account and not run into issues.

[edstaffin]

So here's my plan.
1. wait for b7
2. Set up separate sim accounts for each instrument/strat
3. Try the report.
4 Get back to you with results.
Thanks .... Ed

[sledge]

Hi,



Issue 3:
Next up, the New/Trade Performance form/report. It's a train wreck. The only way I can get data to show half the time is to choose "No template" along with my strat. And when I choose that and show trades, I get data for my strat, but I also get data that has nothing listed in the strategy column. This is strange as the ONLY trades taken were via a strat. I suspect these trades are from my strat, but can't confirm or deny this. This form, as it sits, is unreliable at best and just plain wrong at worst.
.

I could sure use some guidance.
Thanks ... Ed

I had trades move to no template last night. And it wasn't even from a restart.

http://ninjatrader.com/support/forum/showthread.php?t=80734