MultiSystems

[GrumpyTrader]

I was wondering if there were any way to model multi-systems (system of systems) in NT8? or if there are plans to implement this down the road?

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

I am not 100% I understand the question, do you have an example of what you are referring to I could look at? or could you provide some more details on the type of system you are trying to create?

I look forward to being of further assistance.

[GrumpyTrader]

Hi Jesse,
An example would be the following:

You have three systems
- System A
- System B
- System C

You backtest the three systems together to get a better risk/reward profile than any one individually. There are some complications to doing it properly.

a) Each system might run against a different portfolio and possibly different time frame
b) To do it properly you need to backtest each system together stepping through time and only taking trades that you have capital for at that point in time. So it entails having a current equity and cash curve through time.
c) Imagine you have a bunch of trades that trigger at the same point in time but you don't have enough cash to enter all of them. So you need a ranking algorithm to decide which trades to take.
d) Lastly, you might want to overlay risk constraints across all systems like issuer, industry or currency risk limits.

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

Yes this would be quite different than the current analyzer in place. I have not heard of any plans like this that have been relayed to our support, so I will go ahead and submit this as a feature request so it could be looked into.

I look forward to being of further assistance.

[GrumpyTrader]

Hi Jesse,
Thanks for your response. The reason I thought some work was already done on this functionality is if you look at the NinjaScriptBase class you can see that there is a member that is called "NinjaScripts" which is a collection of NinjaScriptBase objects. Made me think that perhaps some ground work has been laid for this type of functionality.

[NinjaTrader_Jesse]

Hello,

Yes the name seems like that may be the case, I had to get clarification on the property and it would seem this is only used internally and would have no real uses related to what you are trying to do.

I did submit this item to development for it to be reviewed in any case.

I look forward to being of further assistance.