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Portfolio Risk Manager

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    Portfolio Risk Manager

    Hi,

    I'm sure this has been asked a million times. But I'm looking to run just say 10 different strategies for 10 different instruments. Has somebody created a separate add-on for NT7 that can manage total exposure by all strategies? Or is it possible to be created by a developer if someone made a separate script that integrates into NT7? For instance, if each strategy is trading 1 contract and I want to limit my maximum contracts in the market at any given time to 5...but all 10 strategies want to be in the market, is there something that can control strategy entry signals on a first come first serve basis? Or if I'm in a drawdown on the day, can there be set limits on the max daily drawdown for the basket of 10 strategies, not just individual strategies? Or functionality if account margin is below a certain level among all strategies, to not accept any new entries. Thanks.

    #2
    Hello dirkdiggler,

    Thank you for writing in.

    It is most certainly possible to keep track of the number of contracts each strategy has entered and assign this to a variable that is available to all strategies. This can be done within the UserDefinedMethods partial Statregy class with a static variable.

    You can then utilize this variable in a condition to check how many contracts have already been entered and to not enter or enter based on this value.

    You can obtain the draw down with the DrawDown property on the TradesPerformance object, though this will need to be obtained from each strategy: http://ninjatrader.com/support/helpG.../?drawdown.htm

    You would be able to access various account information by utilizing the GetAccountValue() method and passing a particular AccountItem object: http://ninjatrader.com/support/helpG...countvalue.htm
    Zachary G.NinjaTrader Customer Service

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