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    Export Risk

    Hello,

    Is there a way to export the risk to an excel spreadsheet when doing a backtest?
    I mean, imagine I have a strategy with different stop losses, as I have different stop losses, the exit point sometimes is due to for example a close below a SMA, other times it is because a close below 1ATR, etc.
    What I would like is just to export the risk of every trade the strategy made related to 1ATR. Is that possible?

    Thanks

    Sincerely

    #2
    Hello dvercher,

    You can export backtest results to Excel by right clicking in the grid and select Grid-->Export to Excel.

    Could you please clarify risk - are you referring to Sharp Ratio? If this is not reflected in the Strategy Analyzer by default, I do not see a way to export this to Excel.
    JasonNinjaTrader Customer Service

    Comment


      #3
      Hello,

      I give you an example. Let's say that gold is at 400 per ounce and the ATR is 3 points. Since a point is worth $100 (since the contract is for 100 ounces), that gives the daily volatility a value of $ 300 per gold contract.

      So 1 ATR would be $300.

      As I have different stop losses(SMA, bollinger bands, ATR...) and not all the trades are closed when they reach 1ATR at $300 dollar loss, I would like to know if is there a way to export to excell the value of the stop of 1ATR for every trade independently of the stop loss used in case of a lost.

      I mean, imagine a position is open, and the ATR stop loss is in 3,2 points from the entry point, I would like to have that 3,2 in an excell spreadsheet (or the equivalent in dollars)so I could then calculate the risk in terms of R-Multiples..

      Thanks

      Sincerely

      Comment


        #4
        Originally posted by dvercher View Post
        Hello,

        I give you an example. Let's say that gold is at 400 per ounce and the ATR is 3 points. Since a point is worth $100 (since the contract is for 100 ounces), that gives the daily volatility a value of $ 300 per gold contract.

        So 1 ATR would be $300.

        As I have different stop losses(SMA, bollinger bands, ATR...) and not all the trades are closed when they reach 1ATR at $300 dollar loss, I would like to know if is there a way to export to excell the value of the stop of 1ATR for every trade independently of the stop loss used in case of a lost.

        I mean, imagine a position is open, and the ATR stop loss is in 3,2 points from the entry point, I would like to have that 3,2 in an excell spreadsheet (or the equivalent in dollars)so I could then calculate the risk in terms of R-Multiples..

        Thanks

        Sincerely
        Why not just make the value a Plot and you can then export its value at all bars: 0 if the position is flat, and the calculated value if on the entry bar, or if the position is not flat, whichever makes more sense in your context?
        Last edited by koganam; 10-12-2012, 07:48 AM. Reason: Corrected spelling.

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