With that, I can calculate portfolio level metrics such as sharpe ratio (daily), beta, etc.
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Daily net account value in backtest?
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Daily net account value in backtest?
My strategy runs on about 80 instruments at a time, so I'm more interested in seeing combined results when testing changes to it. The output for combined results is pretty limited. Is there a simple way for me to find the end of day net account value (including open positions) during a backtest? i.e. if I start with $100k and there is a combined gain of $500 in a single day across all instruments, I'd expect to see a NAV of $100,500 for that day (minus commission). Then on the next day if there is a loss of $200, I'd expect to see a NAV of $100,300. In each of these cases it doesn't matter whether any trades were made since some positions are help open, I just want to see the net account value over time.
With that, I can calculate portfolio level metrics such as sharpe ratio (daily), beta, etc.Tags: None
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tbwerz, I would unfortunately not be aware of any property you could access here - unless a MultiSeires script would be employed, so all trades would be tracked by one Performance class instance.
Adding more support in this area is on our feedback list in product management, I'll make sure to add a vote on your behalf in as well.BertrandNinjaTrader Customer Service
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