The current performance manager generates data based on completed strategies and not the individual trades that make up the strategy. In essence, NinjaTrader calls the complete strategy a trade in itself.
So, if you have two stops and targets, you get filled on each target, you would get a report that shows -
# of trades = 1
# of winners = 1
Industry standard approach suggests -
# of trades = 2
# of winners = 2
We are in the process of redesigning the Performance Manager as a tab in the Control Center Window. See attached images. The redesign will provide much more efficient access to generating performance statistics, provide full printing, exporting to csv or excel, provide graphs and other valuable reporting options.
We are leaning towards calcuating performance based on actual trade pairs which follows industry standard approach.
The pros to this are -
- more flexibility in reporting performance data on all execution information. Currently, if a strategy is lost, the performance for that strategy is lost.
- can generate performance on the entire accounts trading history indpendant of strategies
- can generate performance on strategies
This comes at the expense of how strategies are reported now. If you executed 3 strategies wiith 3 stops and targets, in today's model, it would be reported as 3 trades. With the proposed model, it would be reported as potentially 9 trades.
I am asking for input from anyone interested on this subject. Is this the right approach? Not?
Thanks in advance.
Ray
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