How to incorporate realized profits in Backtest

[kiriru]

Hello,
How can I make my strategy include this part of my script in backtest:


if (Bars.FirstBarOfSession)
{
// Store the strategy's prior cumulated realized profit and number of trades
priorTradesCount = Performance.RealtimeTrades.Count;
priorTradesCumProfit = Performance.RealtimeTrades.TradesPerformance.Curre ncy.CumProfit;

}
/* Prevents further trading if the current session's realized profit exceeds $1000 or if realized losses exceed $1500.
Also prevent trading if 20 trades have already been made in this session. */
if (Performance.RealtimeTrades.TradesPerformance.Curr ency.CumProfit - priorTradesCumProfit >= 1000
|| Performance.RealtimeTrades.TradesPerformance.Curre ncy.CumProfit - priorTradesCumProfit <= -1500
|| Performance.RealtimeTrades.Count - priorTradesCount > 20)
return;

NB:
I am replacing all Performance.RealtimeTrades with Performance.AllTrades.
I am trying to reset the private double priorTradesCumProfit before the session begins.

Regards,
Kiriru

[NinjaTrader_Austin]

Kiriru, to reset the value, you can just set the value for the performance counter to 0 when a new session starts:

if (Bars.FirstBarOfSession)
{
   priorTradesCount = Performance.RealtimeTrades.Count;
   priorTradesCumProfit = Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit;
   int currentSessionTrades = 0;
   double currentSessionCumProfit = 0;
}

[kiriru]

Kiriru, to reset the value, you can just set the value for the performance counter to 0 when a new session starts:

if (Bars.FirstBarOfSession)
{
   priorTradesCount = Performance.RealtimeTrades.Count;
   priorTradesCumProfit = Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit;
   int currentSessionTrades = 0;
   double currentSessionCumProfit = 0;
}

Austin,
I'm yet to figure out what you meant by this.
Where should I use the new int and double variables:

int currentSessionTrades = 0;
double currentSessionCumProfit = 0;

NB: I have already declared:
int priorTradesCount = 0
double priorTradesCumProfit = 0

under variables.
How do I made the new variables reset my stored cumulative profit?

[NinjaTrader_Bertrand]

kiriu, you want to put the code Austin shared at the OnBarUpdate() start, so your variable could be reset at the begin of a new trading session.

[kiriru]

Austin,
Bertrand,
The script does not reset the variables at the beginning of session.
I have backtested with Performance.AllTrades and it won't work.
-Kiriru

[NinjaTrader_Brett]

Kiruru,

If you print out the counter variable to the output window does it reset or does it just continue to down upwards?

Print(currentSessionCumProfit);

If it continues to count upwords can you please post your section of code that is occuring in if(FirstBarOfSession).



I look forward to assisting you further.