Multiple Strategies Issues

[djkiwi]

Hi Guys I have a problem running multiple strategies where the stops/targets are not matching up with the original strategy. For example:

Strategy details are:

Strat A Test 1: long Entry - 5 ticks from close of previous bar
Strat B Test 2: long Entry - 10 ticks from close of previous bar

Strat A Test 1: Target - 20 ticks from entry
Strat B: Test 2 Target - 20 ticks from entry

What is happening is Start A Test 1 should hit the target before strat B test1. Instead when I look at the Trades Start B is showing the target of strat 1. Please see trades 19 and 20 of the table. Any ideas on this odd duck? Strat A test 1 should show the exit as 664.6 but instead this is shown by strat B test 2. Copy of settings also shown.

Thanks.
DJ

[NinjaTrader_RyanM1]

Hi DJ,

Strategies are completely independent. There is no combination of behavior expected when you run two strategies at the same time, so evaluating behavior is always done 1 strategy at a time.

If you're evaluating real time trade performance data for multiple strategies, trades will always be paired with First-In-First-Out methodology. Meaning, they are not necessarily paired according to what took place in the strategy. One strategies opening order could close a trade from a another strategies position.

You can get performance data specific to a strategy, by right clicking on a running strategy in control center > Strategy Performance > Real time. It will still use FIFO to pair trades, but you won't see other strategies orders in a report.

[djkiwi]

Multi strategy Issue

Thanks Ryan, I was afraid you were going to say that. The problem with this is my strategies are based on intrabar market volume movement. So depending on the market driven order flow moving up and down on each bar the order will trigger or not. Backtesting intrabar strategies is not possible.

Given this scenario market replay is the best method. I'm therefore trying to test 10 to 20 strategies at once on 8 instruments on 8 large screens. Even running market replay on 500 x speed doesn't help because I notice with 500 x the speed is not much better than 1 or 2 times speed. I have plenty of PC resources with my PC hardly breaking a sweat so not sure why replay is so slow.

I need to test each strategy on its own merits as they are slightly different. Using a FIFO basis means they cannot be compared and running 10 strategies individually on market replay for 1 week would take forever.

Based on your extensive knowledge of ninjatrader is there any other way of getting around this issue?

Thanks
DJ

[NinjaTrader_RyanM1]

If you are running multiple strategies and view the general performance screen, then it includes trades from everything. You may want to use the performance generated by the strategy only. Right click on a running strategy > Trade Performance > Select a performance option.

http://www.ninjatrader.com/support/helpGuides/nt7/strategies_tab2.htm

[djkiwi]

Strategy Issues

Hi Ryan, sorry I think I misunderstood you. Does this mean the targets and stops are processed correctly against each entry of each strategy in the strategies tab but it is only in the account performance --> trades section where the problem occurs and shows issues?

Thanks
DJ

[NinjaTrader_Matthew]

Hi Ryan, sorry I think I misunderstood you. Does this mean the targets and stops are processed correctly against each entry of each strategy in the strategies tab but it is only in the account performance --> trades section where the problem occurs and shows issues?

Thanks
DJ

Yes, you understand correctly. The stops and targets would be processed in order, but may not reflect the same when looking at the account performance.

[NinjaTrader_RyanM1]

Yes, exactly. Each strategy is independent, so only aware of its orders and positions. It should match correctly targets and entries. When you look at overall performance though, trades are not paired according to a strategies entry signal > exit signal, only FiFo.

[anachronist]

Yes, exactly. Each strategy is independent, so only aware of its orders and positions. It should match correctly targets and entries. When you look at overall performance though, trades are not paired according to a strategies entry signal > exit signal, only FiFo.

I was about to post a question about this when I found this thread.

I am trading multiple ATM stategies in real time, several of which have overlapping positions. The Account Performance tab isn't useful for telling me how each strategy has performed because entries and exits are handled as FIFO. Instead I get erroneous results showing that ATM strategy A lost money when it actually gained, strategy B gained when it actually lost. Every day I spend a painstaking amount of time in Excel fixing the entries and exits to what they should be.

Is there any way at all that exits and entries can be matched up with the orders generated by a strategy? Even if they aren't paired properly, it would be helpful just to have an extra column in the Trades tab under Account Performance, showing not only the strategy that created the entry, but the strategy that generated the order responsible for the exit.

-Alex

[NinjaTrader_RyanM1]

Hi anachronist,

This is possible with ATM strategies. The Trades tab of account performance feature has a column "strategy" that identifies the name of the ATM strategy used.

You can also check the box "Group trades by ATM strategy".


Group trades by ATM strategy
When this option is selected, trades are reported based on ATM Strategies. For example, if you have an ATM Strategy that had multiple entries and exits, all executions are grouped and reported as one trade record under the Trades tab with single average entry and exit prices.

[anachronist]

Thanks, that worked. For some reason I never noticed that checkbox before. No more FIFO in the performance report.
-Alex

[NinjaTrader_RyanM1]

Great, glad that worked out for you. It's not currently available for NinjaScript automated strategies, but is on our list to be considered for a future version.