Even though NinjaTrader 7.0 is a great program, and a big improvement over NT 6.5, I find it somewhat disappointing that there is no option to backtest a portfolio of multiple instruments.
I know that NT7 provides a ‘combined result’, but this is not a ‘true’ portfolio test. For example, the drawdown reported by the ‘combined result’ is just the average drawdown of the instruments. Off course, in a portfolio all the instruments can be in a drawdown in the same time, so the ‘combined result’ paints a more flattering picture than you would experience in real-time trading.
Because I’m probably not the only one who misses this feature, I’m wondering if there are any ways to work around this limitation, so that a portfolio of instruments can be backtested?
As I’ve seen on this forum, other users manually make a Excelsheet with all the individual instruments combined (found here: http://www.ninjatrader.com/support/forum/showthread.php?p=150667#post150667) . That is, I’m afraid, also the way I have to go to use a portfolio backtest. If there are other, better ways, please let me know.
However, even with that workaround, there are two important features missing: a multi instrument optimization and a multi instrument walk-forward.
For a multi instrument optimization, the only thing I can up with, is to try to write the summary of each optimization of each instrument to an individual file, and then loading this file into Excel (or a statistics package like R or SPSS), and then shifting through this data looking for parameters which work on all the instruments. However, because this work is highly error prone and time intensive, I’m not very happy with this ‘solution’.
In regards to a multi instrument walk-forward, I honestly have to admit that I have no idea at this point as to how to make this work. Any thoughts would therefore be more than welcome.
To summarize my post:
Are there some (supported or unsupported) ways to make the following work in NinjaTrader:
- A portfolio backtest (instead of a ‘combined result’),
- A multi instrument optimization,
- And a multi instrument walk-forward.
Thanks in advance for any ideas you can provide,
Regards,
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