Backtest account size

[lmfao]

Hi

I am conducting a back test on my strategy with a goal of ensuring the daily drawdown will not exceed a specific number (say 2750) in a specific account size (75000)

How do I use Ninjatrader 8's strategy analyzer to achieve that?

I am a bit confused about my results from backtesting using two different instruments (MES and ES)

On MES the net profit margin is 40% and amounts to approx $6000, whereas on ES net profit is 33% and the amount is significantly different

Please enlighten me.

thanks!

[NinjaTrader_ChelseaB]

Hello lmfao,

Your logic would have to implement an account size with custom code. You could make a double input that allows you type in a starting account size.
http://ninjatrader.com/support/forum...841#post493841

The Strategy Analyzer can tell you what the (ETD) End Trade Drawdown for each trade is or the Max Drawdown reached by the strategy.
https://ninjatrader.com/support/help...eTradesDisplay
https://ninjatrader.com/support/help...SummaryDisplay

In the code of a strategy the Drawdown of the SystemPerformance is available.
https://ninjatrader.com/support/help...8/drawdown.htm
https://ninjatrader.com/support/help...erformance.htm
https://ninjatrader.com/support/help.../alltrades.htm


The MES and the ES are two different instruments that are traded separately. While they have the same underlying instruments and typically move in a correlated fashion, the ticks and prices for these will not be the same. Further, these have different point values.

You would be able to compare the open and close price of each trade to see how these compare.

(edit, forgot these links)
Below is a link to a forum post that demonstrates using prints to understand behavior.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

And a link on comparing results by writing to file.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

[lmfao]

Thanks Chelsea - since I am using the exact same strategy for both ES and MES, the coded settings on starting account size are the same.

This leaves the difference in instrument as the only variable.

How do the links you provide help explain the fact that a 33% net profit margin is 50K for one test, and 40% net profit is 5K for another (using the same strategy and code)?

Hello lmfao,

Your logic would have to implement an account size with custom code. You could make a double input that allows you type in a starting account size.
http://ninjatrader.com/support/forum...841#post493841

The Strategy Analyzer can tell you what the (ETD) End Trade Drawdown for each trade is or the Max Drawdown reached by the strategy.
https://ninjatrader.com/support/help...eTradesDisplay
https://ninjatrader.com/support/help...SummaryDisplay

In the code of a strategy the Drawdown of the SystemPerformance is available.
https://ninjatrader.com/support/help...8/drawdown.htm
https://ninjatrader.com/support/help...erformance.htm
https://ninjatrader.com/support/help.../alltrades.htm


The MES and the ES are two different instruments that are traded separately. While they have the same underlying instruments and typically move in a correlated fashion, the ticks and prices for these will not be the same. Further, these have different point values.

You would be able to compare the open and close price of each trade to see how these compare.

[NinjaTrader_ChelseaB]

Hello lmfao,

The link on Print() will help you understand why they are different. Print the time of the bar and all conditions that lead to orders and this will show you what is different.

Orders filling at different prices will result in different results.

[lmfao]

Chelsea I understand that different instruments will lead to different trades different bars and different results ....

My concern is with the principle amount (Account size) being changed from approx. 150 K to 12.5K without any user intervention on AccountItem.CashValue or other value whatsoever.

Like I mentioned 33% of net profit is equal to 50K for one test (50k/33% ~ 150K) and 40% net profit is 5k (5K/40% ~ 10K)
for another test using the same code.



Any other guesses on why the account size would go from 150 K to 10K because of a change in instrument from ES to MES?

Hello lmfao,

The link on Print() will help you understand why they are different. Print the time of the bar and all conditions that lead to orders and this will show you what is different.

Orders filling at different prices will result in different results.

[NinjaTrader_ChelseaB]

Hello lmfao,

I am not providing guesses and I do not recommend that you guess.

Same data, same logic, same results. Thats a fact.

I am recommending that you using TraceOrders and prints to look at the data and compare the differences.

Below is a link to a forum post that demonstrates using prints to understand behavior.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

And a link on comparing results by writing to file.
https://ninjatrader.com/support/foru...nce#post100192