Re defining CumProfit

[ag987654321]

The issue I am having is that for strategies that hold positions for some time their "P&L" is only "realized" when they are disposed of.

I would like to have a Mark to Market P&L i.e unrealized+realized P&L.

Also I would like to be able to use the chart in Strategy Analyzer that plots CumProfit.

I am wondering if there is somewhere I can modify the CumProfit value to add GetProfitLoss() to it so that for multi day strategies I can have a mark to mark to market P&L.

Is it possible to modify the TradesPerformanceValues somewhere in a similar fashion to being able to modify optimization type?

Is this possible?

[NinjaTrader_RyanM1]

Hello ag987654321,

Sure, you can work with existing properties and create your own value.

I would like to have a Mark to Market P&L i.e unrealized+realized P&L.

Add them together with something like:

double myDouble = Performance.RealtimeTrades.TradesPerformance.Currency.CumProfit + Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);

[ag987654321]

Thanks for the quick reply Ryan-

Is it possible to have this value show up in the drop down menu in the Graphs tab in the strategy Analyzer by making this a global definition or variable?

I would really like to re-define the current definition of Cumulative Profit in NT and use it throughout the program.

In addition I would like to use this in the back testing if at all possible.

[NinjaTrader_RyanM1]

Unfortunately you cannot change the built in definitions for these. The strategy analyzer is a backtesting tool and will not show details for open trades (unrealized PnL). If there are any open trades they are closed when the backtesting run is completed.

[drolles]

Ag,

Ryan is right, you can meet some of your requirements via the Positions collection. See this thread for reference: http://www.ninjatrader.com/support/f...ad.php?t=39240

Cheers,

drolles

[ag987654321]

Drolles,

Thanks for the reference. Not sure it really helps me though since i need the feature exclusively in back testing. In real time i just create a series for the information that I need- adds overhead but simplifies things enormously

[drolles]

Ag,

I might have misunderstood your requirements. The Positions collection works in backtesting as well.

I agree with you it can’t be reported on (without exporting it to a txt file). It can be used within a strategy.

Kind regards,

Dan

[Tony_Z]

I posted a similar question before stumbling upon this thread. I've found NinjaTrader to be very flexible, but it would be a drawback if mark-to-market P&L (or its derivatives such as Sharpe Ratio) can not be reported in a back-test and used as an optimization criterion. The backtest performance measures are based on monthly realized P&L, and I find them to be of limited use to gauge the daily mark-to-market risk of a strategy. Really hope there is a way to get around it...