Trade Performance Statistics

[staycool3_a]

Hello,

Can you please confirm what exactly does the below explain?

SystemPerformance.AllTrades.TradesPerformance.RSquared

I understand the definition of R^2. But I'm not sure what the inputs are for the above .Trades.Performance.RSquared are. Are the inputs:

input1: trade logic for the strategy
input2: price of the underlying data

In other words, r2 by definition explains the proportional variability between Y and X variable. Is the Y in the above Price and X the trade logic for the price? Or is it something completely different.

In your guide https://ninjatrader.com/support/helpGuides/nt8/en-us/

It says,

protected override void OnBarUpdate()
{
// Print out the R2 value of all trades
Print("R-Squared is: " + SystemPerformance.AllTrades.TradesPerformance.RSqu ared);
}

That still does not answer my question as to what the inputs are being used to derive r2 for "all trades."

Thank you

[NinjaTrader_Jim]

Hello calhawk01,

Thanks for opening the thread.

The actual algorithm used to calculate this is closed source, so I will be limited to comment on the gist of the statistic.

RSquared for TradesPerformance will calculate a "Coefficient of determination" in reference to PnL. X would be the PnL and Y would be the predicted PnL.

I found the Investopedia page on "Coefficient of Determination" to be useful in understanding how this statistic can be adapted for other uses, like PnL. I will provide a link below.

Investopedia Coefficient of Determination - https://www.investopedia.com/terms/c...ermination.asp

Please let me know if I can be of further assistance.

[staycool3_a]

Hello calhawk01,

Thanks for opening the thread.

The actual algorithm used to calculate this is closed source, so I will be limited to comment on the gist of the statistic.

RSquared for TradesPerformance will calculate a "Coefficient of determination" in reference to PnL. X would be the PnL and Y would be the predicted PnL.

I found the Investopedia page on "Coefficient of Determination" to be useful in understanding how this statistic can be adapted for other uses, like PnL. I will provide a link below.

Investopedia Coefficient of Determination - https://www.investopedia.com/terms/c...ermination.asp

Please let me know if I can be of further assistance.

"In reference to PnL. X would be the PnL and Y would be the predicted PnL."

Above statement still needs more clarity. As of right now I can think of two scenarios:

1. it seems it's essentially looking at the actual strategy equity curve plot and based on that, it's making a prediction as to what the next value will be, and hence deriving to the final r2 value.
2. It's looking at the individual pnl values for the last X trades and making a prediction. What's the N in this scenario?
3. It's giving a binary up/down prediction for the "next" pnl, based on the last C trades. In this case this would have to be a r2 relating to logistic regression rather than linear regression. Is this linear or logistic r2?

Thanks in advance. This is extremely important information as all scenarios are different and can impact differently. I'm making a strategy based on r2 and I need to allocate funds based on which strategy logic is performing better so I need this information.

Thanks

[NinjaTrader_Jim]

Hello calhawk01,

I've received more information on how this item is calculated and I put together an example strategy that can calculate the same results for R^2 that NinjaTrader does. As far as I can see, there are no deviations in the results. This could no longer be the case if NinjaTrader's implementation changes.

Since we don't have this documented, I will request that the calculation that NinjaTrader uses gets published in the helpguide. The documentation will always be the best place to reference these items when they are locked into place. If you find something like a performance statistic that is not documented we can always request to have it documented.

Please let me know if I may be of further assistance.

[staycool3_a]

Hello calhawk01,

I've received more information on how this item is calculated and I put together an example strategy that can calculate the same results for R^2 that NinjaTrader does. As far as I can see, there are no deviations in the results. This could no longer be the case if NinjaTrader's implementation changes.

Since we don't have this documented, I will request that the calculation that NinjaTrader uses gets published in the helpguide. The documentation will always be the best place to reference these items when they are locked into place. If you find something like a performance statistic that is not documented we can always request to have it documented.

Please let me know if I may be of further assistance.

Thank you. This was helpful!

[staycool3_a]

SystemPerformance.AllTrades.TradesPerformance.Currency.CumProfit

https://t.ninjatrader.com/support/helpGuides/nt8/en-us/?cumprofit.htm

Does the above only keep cum. profit on trades that have been closed? Or does it also include unrealized positions P&L?

Thank you

[NinjaTrader_Jim]

Hello calhawk01,

The Trade object in the AllTrades collection would represent closed trades with an entry and exit, so it would include the realized PnL.