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Strategy Performance History is limited

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    Strategy Performance History is limited

    Hello,


    I'm running a strategy (sim account) for about 4 weeks without changing any strategy parameter.
    However, when I choose "Strategy performance --> Real Time and Historical" it shows only data/trades for about 5 days back (e.g StartDate = 07.07.2020, End Date=12.07.2020).
    Where is the data from the previous trades (2 or 3 weeks back) ? Currently it shows "Total number of trades=47", but I know there were already much more trades in the previous weeks.

    I also tried "New --> Trade Performance", where you can select the start date, but there is no option to filter by a single strategy and also it shows even less trades for the one strategy, although the start is date is more than 4 weeks ago.

    Note that I shut down my computer on the weekend, so I had to re-enable the strategy, but as mentioned I did not change any strategy parameter!

    Regards,
    Derjan
    Last edited by Derjan; 07-15-2020, 10:45 AM.

    #2
    Hello Derjan,

    If the strategy is provided historical data for those days, then would likely indicate the logic conditions did not evaluate as true or orders are being ignored or cancelled.

    In order to better understand how the code is working, it will be necessary to use Print and enable TraceOrders to see how the conditions are evaluating and if orders are being submitted, ignored, or cancelled.

    Below is a link to a forum post that demonstrates using prints to understand behavior.
    https://ninjatrader.com/support/foru...121#post791121

    Enable TraceOrders, print the time of the bar and all values used in the conditions that submit entry orders.

    Let me know if you need any assistance creating a print or enabling TraceOrders.

    Save the output from the output window to a text file and provide this with your next post.

    I'll be happy to assist with analyzing the output.
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      All trades in the last 3 weeks where always completed, ie. all positions were closed, as this strategy does intraday trades only ("Exit on session close").
      I saw the strategy performance for those weeks already, but it seems the history gets deleted.

      Also what I not understand: Why does the Strategy performance "summary" shows "end date: 12.07.2020" (see screenshot) although there are trades this week already, e.g. from 15.07.2020 and 16.07.2020 (see screenshot).

      Attached Files

      Comment


        #4
        Derjan,

        The dates would be where there were trades made with the historical data available to the script.

        More information would be needed to answer this question.

        Please post the output from the prints and I will be happy to assist with analyzing the output to understand the behavior.
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          (Just to clarify: I am not performing a backtest - I'm running the strategy in *real time*. I'm not interested in performance data from a backtest, only from the LIVE trades that were executed in the last 4 weeks.)

          I did what you suggested and generated a traceorders output from a backtest that I executed with start date 4 weeks ago (the time when I started real time trading using the strategy).

          Attached Files

          Comment


            #6
            Hello Derjan,

            Was the strategy running in real-time on July 7th?

            If you want to test real-time, then use Playback with Market Replay data for July 7th.
            https://ninjatrader.com/support/help...connection.htm

            Print the time of the bar and all values used in the conditions that submit entry orders.
            Chelsea B.NinjaTrader Customer Service

            Comment


              #7
              Yes, the strategy was active on 07.07.: This attatched "Strategy performance" screenshot is from right clickling on the running strategy: "Strategy performance --> Real Time and Historical": This clearly shows that orders were placed and executed. But 07.07 is not the date in question.

              I want to know: Why does it not show trades before 07.07 and - even more surprising - : why does it not show the trades after 12.07 ? The "Trades Performance" screenshot prooves that there were trades after 12.07. But this is another tool, I want to use "right clickling on the running strategy: "Strategy performance --> Real Time and Historical" - and the latter does not show trades after 12.07 (see my screen from #3: start date 07.07. end date: 12.07).
              Attached Files
              Last edited by Derjan; 07-17-2020, 12:06 AM.

              Comment


                #8
                Hello Derjan,

                Have you run the strategy in playback on the day in question to produce the output needed to understand the behavior?
                If so, please attach the output file and I will be happy to analyze the information for the conditions and trace orders on that day.

                Or are you just asking to confirm if the strategy was running on that day? (We can analyze your log and trace files to see when you are enabling and disabling the strategy)
                Chelsea B.NinjaTrader Customer Service

                Comment

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