Strategy Comparison vs Benchmark

[_vbs_]

I have a question regarding evaluating the performance of a strategy. I am familiar with the analyzation results NT offers like gross profit, profit factor etc.

In a book I encountered another method to evaluate a strategy: The just compare the strategy's performance directly to the performance of the used instrument. So they say like "within x months the underlying instrument gained yy % and the strategy gained zz %". They also plot this information on a chart like this:


Is there any way to plot a similar chart in NT to compare the strategy performance to the traded instrument?

Thank you!

[sledge]

I don't think so.

You'd be best to export your results to excel, and get the instruments results in excel, and make your own chart there.

[NinjaTrader_ChelseaB]

Hello _vbs_,

This may be possible.

In your script you can track the realized and unrealized PnL. Using this you could calculate a percent of change. Once you have a value you can set this to a plot in an indicator from the strategy.

Below is a link to an example of setting a plot from a strategy.

http://ninjatrader.com/support/forum/showthread.php?t=6651

The @NetChange column in the Market Analyzer uses real-time data only to calculate a net change for the instrument. This could be adapted to use historical tick data instead and could also pushed to the indicator on a second plot.

The @NetChange column has to be opened outside of NinjaTrader 7 and is located in:
Documents\NinjaTrader 7\bin\Custom\MarketAnalyzer\@NetChange.cs

[_vbs_]

Big thanks for answering my questions, I apperciate alot!

It took me some time to read and understand and to finally do it, but now I think I got something that does what I want. And indicator in a separate panel that looks like this:


Just if someone is interested to use it:
It consists of an indicator and a base class (found in the attachments) you need to derive your strategy from like this:

namespace NinjaTrader.NinjaScript.Strategies.AbsoluteWeekly
{
	public class Trendhoch : BenchmarkStrategy
	{

Then aswell OnStateChange and OnBarUpdate have to call their base implementation:

		protected override void OnStateChange()
		{
			base.OnStateChange();

		protected override void OnBarUpdate()
		{
			base.OnBarUpdate();

Then the indicator can be added as usual in OnStateChange:

			else if (State == State.Configure)
			{			
				AddChartIndicator(StrategyBenchmark());