Backtesting Strategy: Account Management + Position Sizing

[Kamisyed]

I have this very basic strategy I am trying to backtest. If EMA8>SMA20 and EMA3 crosses EMA8 from below, go long and exit when EMA3 crosses EMA8 from above:

public class TLine : Strategy
{
#region Variables
// Wizard generated variables
private int fastEMA = 3; // Default setting for FastEMA
private int mediumEMA = 8; // Default setting for MediumEMA
private int slowSMA = 20; // Default setting for SlowSMA
// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1
if (CrossAbove(EMA(FastEMA), EMA(MediumEMA), 1)
&& EMA(MediumEMA)[0] > SMA(SlowSMA)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (CrossBelow(EMA(FastEMA), EMA(MediumEMA), 1))
{
ExitLong("", "");
}


}

#region Properties
[Description("")]
[GridCategory("Parameters")]
public int FastEMA
{
get { return fastEMA; }
set { fastEMA = Math.Max(1, value); }
}

[Description("")]
[GridCategory("Parameters")]
public int MediumEMA
{
get { return mediumEMA; }
set { mediumEMA = Math.Max(1, value); }
}

[Description("")]
[GridCategory("Parameters")]
public int SlowSMA
{
get { return slowSMA; }
set { slowSMA = Math.Max(1, value); }
}
#endregion
}
}

I am having trouble with coding the account management & position sizing portion into this.
I have the following parameters:
1) Starting Account Size: 10,000
2) % of Account Size at risk on each trade: 1%
3) # of shares to purchase: the lower of current account size, or 1% / (((EMA3-EMA8)/EMA8)*2), or 10% of account size.

I can't figure out how to code this in and have it update dynamically (say i reach the full account limit so no new trades until a position is exited and hence frees up capital.

Any help will be appreciated!

[NinjaTrader_Matthew]

Hello,

Welcome to our forums.

We do not have any internal methods for tracking and calculation your position size dynamically as you seek, so you'll have to create your own variables and calculate it.

Below is some pesudo code to help you get started.

The basics of this concept is every time your strategy is flat, reset your variables based off the current performance

			if(Position.MarketPosition == MarketPosition.Flat)
			{
				
				// after profit/loss has been calculated, adding to accountSize
				accountSize += Performance.AllTrades.TradesPerformance.Currency.CumProfit;
				
				//set risk to 1% of account Size
				risk = accountSize * 0.01;
				
				//
				if(0.01 * (EMA3-EMA8)/EMA8)*2) < accountSize * 0.1)
						shares = 0.01 * ((EMA3-EMA8)/EMA8)*2));
					else shares = accountSize * 0.1;
					
			
			}

[Kamisyed]

Is this how it would look?

// Condition set 1
if (CrossAbove(EMA(3), EMA(8), 1)
&& EMA(8)[0] > SMA(20)[0])

if(Position.MarketPosition == MarketPosition.Flat)
{
// after profit/loss has been calculated, adding to accountSize
accountSize += Performance.AllTrades.TradesPerformance.Currency.C umProfit;

//set risk to 1% of account Size
risk = accountSize * 0.01;

//
if(0.01 * ((EMA(3)-(EMA(8))/(EMA(8))*2) < accountSize * 0.1))
shares = 0.01 * ((EMA(3)-(EMA(8))/(EMA(8))*2);
else shares = accountSize * 0.1;
}

{
EnterLong(shares, "");
}

Its giving me errors

[NinjaTrader_CalH]

Hello Kamisyed,

What are the errors that you are receiving from the script?