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Consolidation of entries into 1 trade for performance metrics?

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    Consolidation of entries into 1 trade for performance metrics?

    Hello support team,

    Quick question, if I have a strategy that takes multiple entries per "trade" and then exits all of them at once is there any way to consolidate the metrics for the trade in it's entirety in the strategy analyzer output?

    For example if I want to know the max adverse excursion for a trade that takes 4 entries at different prices or do I need to look at each entry separately and calculate this myself? Thanks.

    #2
    Hello fxRichard,
    Thanks for your post.

    Would you like to see the metrics of an order in a partial fill situation or 4 separate orders that you placed at the same time?
    JoshNinjaTrader Customer Service

    Comment


      #3
      Hey Josh,

      Think of it as adding to my position several times. This position has an average fill price across all entries. I'm trying to get metrics for the trade as a whole across all entries. For example I may have entered 5 times building into my position, sometimes when the market is against me and sometimes in my favor. In this scenario I'm trying to get things like the % winning trades (a trade being several entries), avg MAE and MFE etc for the position as a whole until I am flat.

      Assume:

      Entry one - Long 10 contracts @ 150.50
      Entry two - Long 10 contracts @ 150.40
      Entry three - Long 10 contracts @ 150.60

      Exit - Sell 30 contracts @ 150.55

      This trade consists of 3 entry orders and 1 exit order. My effective average fill price is 150.50 in this example, I'm after how many trades in their entirety were profitable (not how many orders) In this example 2 of my 3 entries were profitable however the trade in it's entirety is profitable taking into account all 3 entries.

      In addition trying to get the standard metrics like MFE and MAE on the position as a whole and not for each entry. This is a basic example and some actual trades get quite a bit more complex building into a position, sometimes the exit is considered a loss on several of the entries but overall the trade is profitable due to position sizing and where the remaining entries were taken.

      Effectively 1 trade = n entry orders. Can this be done by naming the entries the same etc or tying them together somehow? (Side note: these are all unmanaged orders).

      Hope this clarifies things more. Thanks Josh.

      Comment


        #4
        fxRichard,
        Thanks for the clarification.

        The Trader Performance window is not going to filter anything quite like this.

        I was looking through what we have as far a feature requests for this and I do see there is an active request that would allow you to keep a whole trade as one rather than separate them when scaling in or out of a position. I will go ahead and have a vote added on your behalf.

        The internal tracking number for your feature request is SFT-3569. Please reference this internal tracking number if you ever have questions regarding this feature request. When a feature request is implemented, you'll find it in the release notes:

        http://ninjatrader.com/support/helpG...ease_notes.htm
        JoshNinjaTrader Customer Service

        Comment

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