Position Size Algorithm

[titleistbb22]

PrTester - Thank you for the post. I think your solution is a sensible work around to the account size problem. However I am struggling to make some modifications to your strategy. Ninja is giving me the following error

**NT** Error on calling 'OnExecution' method for strategy 'DC1/24727490b1624fa4877b2ef3ad9108c9': Object reference not set to an instance of an object.

I am using OnExecution with the position entry

entryOrder=EnterLong((int)Psize, "long1");

Do you think this is causing the problem? If not I can post the full code. Thank you

To clarify - this error was in the output window. The strategy does complie (if that helps anyone think of a solution)

Thanks

[NinjaTrader_JoshP]

Best thing to do would be to try and use try-catch blocks and isolate out exactly which line of code is causing the message.

Please see an example of using try-catch blocks here: http://www.ninjatrader.com/support/f...ead.php?t=9825

[titleistbb22]

In case there is any interest I did make this work. I simply placed the entry code inside of "{ }" similar to the sample code.

My previous code did not make use of these brackets.

Thank you

[titleistbb22]

Revisiting this thread - as previously mentioned I did get this to execute properly, well at least it appeared that way. Now I do not feel the CumProfit feature is calculating correctly. Here is the position size coding I wrote (note: my start account size is 1mm).

#region PositionSIzeFunction
void PositionSize()
{
priorTradesCount = Performance.AllTrades.Count;
priorTradesCumProfit = (double)Performance.AllTrades.TradesPerformance.Currency. CumProfit;
AccbalNew = AccountSize + priorTradesCumProfit;

if (AccountSize >= 900000)
{
Psize = ((AccbalNew*.02)/ ((ATR(20)[0]*2)*(pips)*(pipvalue))) ;
if (Psize > 1 && usemoneymgt)
Psize = Math.Round(Psize);
else
Psize = 1;
}
if (AccountSize <= 800000)
{
Psize = .8*(((AccbalNew*.02)/ ((ATR(20)[0]*2)*(pips)*(pipvalue)))) ;
if (Psize > 1 && usemoneymgt)
Psize = Math.Round(Psize);
else
Psize = 1;
}

The critical piece is the reduction in position size based on account balance. However my first trade on GBPJPY is a short and a loser (open price 140.66, close 146.27, position size 1 which I assume is a standard lot). Based on my math (pip cost = $120, pip loss 561 (146.27-140.66), $561*$120) the loss should be around $67k.

Now take a look at the results in the output window.

ACC BAlNew: 1000000
Time: 4/27/2009 4:00:00 PM
CumProfit: 0
Position SIze: 1
entry Price is: 140.66 on 4/28/2009 4:00:00 PM
ACC BAlNew: 438600
Time: 5/22/2009 4:00:00 PM
CumProfit: -561400
Position SIze: 1
entry Price is: 150.57 on 5/25/2009 4:00:00 PM

The CumProfit is neg 561k?! What am I missing? Is 1 quantity size larger that a standard lot? My account connection is gain, if that has anything to do with it.

Thank you in advance for exploring this.

[NinjaTrader_Bertrand]

titleistbb22, I think the fact the CumProfit for the first losing trade is negative is ok, however I agree the raw # seems off - normally in backtesting for FX spot you would enter 100000 for a regular 100K lot. What instrument setup are you using in the Instrument Manager for the GBPJPY?

[titleistbb22]

Thank you for the response - here is the data in the instrument manager for GBPJPY

Point Value: 1,000
Margin Value: 400
TickSize: .001

[NinjaTrader_Ben]

Hello,

I will have someone reply to you on Monday. Thank you for your patience.

[NinjaTrader_Bertrand]

Thank you for the response - here is the data in the instrument manager for GBPJPY

Point Value: 1,000
Margin Value: 400
TickSize: .001

Can you please retry with a TickSize of 0.01 and then restart your NT fresh after this change to the master instrument?

Thanks

[titleistbb22]

Thank you - tried this, here are the results. Still very large P&L on each trade

ACC BAlNew: 1000000
Time: 5/5/2009 4:00:00 PM
CumProfit: 0
Position SIze: 3
entry Price is: 149.05 on 5/6/2009 4:00:00 PM
ACC BAlNew: 54999.9999999983
Time: 5/22/2009 4:00:00 PM
CumProfit: -945000.000000002
Position SIze: 1
entry Price is: 150.55 on 5/25/2009 4:00:00 PM

I am expecting 11,340 loss (Entry 149.05, exit 145.90 - 315 pips. Cost per pip 12, position size 3)

Any thoughts? Thank you

[NinjaTrader_Bertrand]

titleistbb22, I agree - what values are you getting if you manually place 3 lot trade on the sim account for the GBPUSD? Would that be according to what you expect?

[titleistbb22]

Works - GBPUSD, enter 1.6699 long, exit 1.6377. 322 pips at $10 a pip * position size of six = 19,332 loss. Ck out the Cum Profit

ACC BAlNew: 1000000
Time: 9/10/2009 4:00:00 PM
CumProfit: 0
Position SIze: 6
entry Price is: 1.6699 on 9/11/2009 4:00:00 PM
ACC BAlNew: 980668
Time: 9/24/2009 4:00:00 PM
CumProfit: -19331.9999999999
Position SIze: 6
entry Price is: 1.5964 on 9/28/2009 4:00:00 PM

any thoughts on why JPY wont work? I tested this on EURJPY and got similar results to GBPJPY. The instrument settings for EURJPY are as follows

Point value 1,000
Tick size .001

[TheTradingMantis]

titleistbb22/Bertrand, Is it possible the CumProfit is being reported in yen instead of usd?

[NinjaTrader_Bertrand]

We checked into matters and unfortunately you're running into a current limitation converting to USD, the realtime results are amended by the current conversion rate, while unfortunately this will not work on historical backtesting data.

[titleistbb22]

Thank you for looking into this. What does the future hold for Ninja and money managment / position sizing?

[NinjaTrader_Bertrand]

This is unfortunately a limitation at this point in time, however it's on our list to look into, have you perhaps considered working with the 6J on Globex to test your position sizing, I find signals sometimes even clearer in those.