Testing and Tracking a Portfolio of Strategies

[BarzTrading]

I've implemented several independent strategies in NinjaTrader.

I'm wanting to combine strategies and run them as a portfolio of strategies. The reason for this is that I want to track the recent backtest performance for each individual strategy and then rank the strategies so that I can trade only the ones that are performing well at the moment.

The problem I seem to have is that I want to track things like "Win Rate" from the Historical backtest for each strategy. But unless I'm actually trading that strategy in the backtest I don't have the simulated trades from which to calculate a win rate.

It seems like what I want is a Master strategy that can instantiate and execute child strategies wherein the child strategies can each run independently, but the master can still see their independent performance metrics to decide which strategy signal to take and which to ignore. The child strategies would not actually trade live, we only need their simulated results?

What would be the best approach in NinjaTrader to enabled something like this?

[NinjaTrader_ChelseaB]

Hello BarzTrading,

I'm not aware of any way to achieve this with code. You would need to run the tests and compare the results manually.

If they are all meant to be trading simultaneously the same instrument and same account in real-time you could likely write the logic for all of them in one strategy.
Running multiple independent scripts at the same time is not recommended.

https://ninjatrader.com/support/forum/showthread.php?p=513090#post513090

I have submitted a feature request on your behalf for the ability to run a test of several strategies and combine the results.
Once I have an ID for this I will post in this thread for future reference.

[BarzTrading]

Thanks for submitting my request.


Can something like this be done in an AddOn? Can I instantiate and run Strategies independently from an AddOn? I envision something like Strategy Analyzer but with some additional ability to rollup and compare results from multiple backtests, multiple strategies, etc. This wouldn't need to run in real time and the backtests could all be run sequentially even. I just need to be able to generate a set of results every day.

[NinjaTrader_ChelseaB]

Hello BarzTrading,

I am not aware of any way (supported or unsupported) to enable strategies programmatically.

[NinjaTrader_ChelseaB]

Hello BarzTrading,

I have received tracking ID #SFT-1141 for your request to combine the backtest results of multiple strategies.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

We appreciate you taking the time to provide feedback.