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Equity Curve

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    Equity Curve

    Hello,

    does Ninjatrader support "underwater equity curves" in backtesting? The default equity curve seems not to consider the drawdowns during an open trade. Is there a switch to put that into consideration?

    Best Regards
    Thomas
    Last edited by tbmuc; 01-01-2012, 01:49 PM.

    #2
    Hello tbmuc,

    Thank you for your post.

    You can view your drawdown in the Account Performance section under Graphs. Is this what you are looking for?
    More information on Account Performance here: http://www.ninjatrader.com/support/h...rmance_tab.htm
    Ray S.NinjaTrader Customer Service

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      #3
      Hello Ray,

      thank you for your answer, which seems to be related to life trading. I'm looking for a equity curve for backtesting by the strategy analyzer, which considers the open positions. By default, the equity curve of the strategy analyzer is only updated, when a position is closed. How can I find out, the drawdown including all open positions?

      Best Regards

      Thomas

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        #4
        The question is still open: Is there a equity curve available in the strategy analyzer which considers open trades ?

        Best Regards

        Thomas

        Comment


          #5
          Hi Thomas, sorry for our late reply here : the backtest would per default close position at the end and thus would inlude closed trades in the statistics presented. Since you talked about an underwater equity before, have you checked into the Strategy Analyzer graphs when selected to show the occured draw down instead of the cum profit that would be by default?
          BertrandNinjaTrader Customer Service

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            #6
            Hello Bertrand,

            thank you for your answer. The drawdown-view seems not to consider open trades. Some of my trades are open for weeks or even month. In the strategy analyzer, both the equity and the drawdown diagram are updated not before closing a position. Can this be changed in a way?

            What about the summary? Does it consider the real draw down on every closed bar and print the maximum or does it consider the drawdown on closing of a position only?

            Best Regards

            Thomas
            Last edited by tbmuc; 01-05-2012, 09:21 AM.

            Comment


              #7
              Unfortunately this could not be changed via a setting Thomas - the reports will include completed trades only.

              The Max. Drawdown figure would list the local maximum seen - http://www.ninjatrader.com/support/h...efinitions.htm
              BertrandNinjaTrader Customer Service

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