DrawDown question

[zteck]

Hello Ninjatrader support team,
I'm trying to develope a limitation to my Max Drawdown so my strategy should Halt when the Drowdown overcome a specific value.


Print("Draw down of all trades is: " + SystemPerformance.AllTrades.TradesPerformance.Curr ency.Drawdown);

this code works very well when I use a single strategy but i'm not sure it works very well whne several strategies are working. In this code
I'll excpect to see the Drawdown of all strategies and not the DD of a single specific strategy.

For that reason I tried :

TradeCollection myTrades = SystemPerformance.AllTrades.GetTrades("ES 12-17","Long1",1);
Print(myTrades.TradesPerformance.Currency.Drawdown );

but it gives me just the loss of the Long1 trades and not the Drawdown of this strategy.
How can get the Historical Drawdown of a specific strategy that is working with other X strategies?

[NinjaTrader_Jim]

Hello zteck,

Thanks for opening the thread.

You could loop through each Strategy (type StrategyBase) in Account.Strategies and create multiple Trade Collections for those strategies or for each entry signal you want to track. You would then need to loop through each Trade in each collection to add it to a master TradeCollection.

For example:

TradeCollection myTradesA 	= null;  
TradeCollection myTradesB 	= null;
TradeCollection myTradesAB 	= null;

foreach(StrategyBase strat in Account.Strategies)
{
	if(strat.Name == "Strategy1")
		myTradesA = strat.SystemPerformance.AllTrades;
	if(strat.Name == "Strategy2")
		myTradesB = strat.SystemPerformance.AllTrades;
}

if(myTradesA != null)
	foreach(Trade trade in myTradesA)
		myTradesAB.Add(trade);

if(myTradesB != null)	
	foreach(Trade trade in myTradesB)
		myTradesAB.Add(trade);

if(myTradesAB != null)
	Print("Total Drawndown for select strategies: " + myTradesAB.TradesPerformance.Currency.Drawdown);

For the thread's reference, I've included links to publicly available documentation on the items discussed.

Account.Strategies - https://ninjatrader.com/support/help...es_account.htm

TradeCollection - https://ninjatrader.com/support/help...collection.htm

TradesPerformance - https://ninjatrader.com/support/help...erformance.htm

Please let us know if you have any questions.

[zteck]

Thank you so much Jim. like always your answer is clear and usefull. I'll it try tomorrow.
have a good day

[zteck]

Hello,
I tried the code below but I got this error:
"Error on CAlling 'OnBarUpdate'method on bar 0: Object reference not se to an instance of an object"
what am i missing?

[NinjaTrader_Jim]

Hello zteck,

In my example, I probably should have added a null check for myTradesA and myTradesB before they are accessed in the their foreach loops. I've updated the example provided above.

[zteck]

Hello Jim,
thank you for your reply.
I tried it:

		protected override void OnBarUpdate()
		{
TradeCollection myTradesA 	= null;  
TradeCollection myTradesB 	= null;
TradeCollection myTradesAB 	= null;

foreach(StrategyBase strat in Account.Strategies)
{
	if(strat.Name == "Strategy1")
		myTradesA = strat.SystemPerformance.AllTrades;
	if(strat.Name == "Strategy2")
		myTradesB = strat.SystemPerformance.AllTrades;
}

if(myTradesA != null)
	foreach(Trade trade in myTradesA)
		myTradesAB.Add(trade);

if(myTradesB != null)	
	foreach(Trade trade in myTradesB)
		myTradesAB.Add(trade);

Print("Total Drawndown for select strategies: " + myTradesAB.TradesPerformance.Currency.Drawdown);
		}

but I got the same error. I spent some hours to study some sample but I couldn't found a solution

[NinjaTrader_Jim]

Sorry zteck,

I modified the example twice and got sloppy. I should probably up my coffee intake.

My first change I put in a return statement when either myTradesA or myTradesB were null.

if(myTradesA == null || myTradesB == null)
	return;

Execution would then stop there. This would not be as ideal as still building the collection if one strategy were missing so I edited again and added separate null checks for each loop.

However, myTradesAB would still be null when being accessed for the print. A null check for myTradesAB will be necessary.

if(myTradesAB != null)
	Print("Total Drawndown for select strategies: " + myTradesAB.TradesPerformance.Currency.Drawdown);

Here is some further detail on null references - https://ninjatrader.com/support/foru...ead.php?t=4226

I'll be sure to make sure each sample I provide can be executed rather than simply communicating an idea.

[zteck]

Thank you so much again!!! I'll try it later...