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Exporting strategy results

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    Exporting strategy results

    I realize how to simply export the different grids from the Strategy Analyzer, but what I need is the ability to export the daily returns from a strategy (assuming I'm simply using daily data).

    So, if I just run a simple MAcross strategy on the SPY etf (daily bars) over the last several years....how do I get access to the daily returns? Obviously, I can reconstruct them using the 'Trades' or 'Periods' tab but I'm hoping there's an easier way...

    #2
    Hello danno52000,

    Thanks for your note.

    In the strategy analyzer there is a Periods tab. In this tab, on the Period: drop-down you can choose Daily. This will make a report that shows totals and statistics for each day of the backtest.

    Please let me know if this is not what you are looking for.
    Chelsea B.NinjaTrader Customer Service

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      #3
      I took a look at that but it appears to only show the profit from each trade in the MAcross stragegy:

      https://docs.google.com/file/d/0Bz4v...it?usp=sharing

      ...so the first line shows the profit from the first trade which was closed on 3/12/2007 (after being held long for 26 days) for a loss of 2.98%

      What I'd like to see is the daily profit (or NAV) from this strategy over each of those 26 days...I realize this will have a lot of 0% days but this is an easy way to "normalize" the return stream from several strategies to look at correlations, MVO, etc...

      btw - thanks for your prompt reply.

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        #4
        Hi danno52000,

        So from what I understand you would like to see the unrealized PnL per trade per day in the Strategy Analyzer report. Is this correct?
        Chelsea B.NinjaTrader Customer Service

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          #5
          exactly...or at least have access to it somehow.

          Comment


            #6
            danno52000,

            Thanks for your reply.

            This is not possible with the Strategy Analyzer.

            I will forward this inquiry as a feature request to our development department.

            Thank you for your feedback and suggestions. We value your opinions and they will be considered in our feature discussion for a future NinjaTrader release.
            Chelsea B.NinjaTrader Customer Service

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              #7
              Hi danno52000,

              I wanted to let you know I have received a tracking ID from our development department regarding your feature request about viewing the PnL per day in the Strategy Analyzer report.

              Your suggestion has been submitted and accepted for consideration for a future NinjaTrader release by our product development team. We will be tracking this suggestion using ID #2412 in our system.

              Thank you again for your suggestions to improve NinjaTrader.
              Chelsea B.NinjaTrader Customer Service

              Comment

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