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Metric needed: Intraday, real-time, unrealized maximum drawdown

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    Metric needed: Intraday, real-time, unrealized maximum drawdown

    Problem: NT8 currently defines Maximum Drawdown as a function of 'realized' profit and loss ("Help Guide" pg. 1164). This is insufficient for measuring and controlling risk intraday while trading high-leverage instruments such as futures & commodities, as 'unrealized' loss could become both real and extreme if not tightly measured & controlled. Unsurprisingly, as it is a serious risk issue, futures brokers do monitor for intraday drawdown (unrealized losses) and can issue margin calls accordingly, including the enforcement of position kick-outs.

    Solution: A performance metric is needed for real-time maximum drawdown as a function of an instrument's entry-position and current-pricing, not just realized P&L.

    Additional utility: Especially when enabled with a safety-factor multiplier per the below reference, such a performance metric can provide for being able to set a "strategy stop."

    Reference: "The Evaluation and Optimization of Trading Strategies" (Pardo, 2008), pages 82-84, 253, 265-272.

    #2
    Thanks for the detailed suggestion. I have submitted this as a feature request to the Development Team. I'll edit this post when I receive a tracking number.

    EDIT: The tracking number is SFT-1543.
    Last edited by NinjaTrader_PatrickG; 01-16-2018, 08:28 AM.
    Patrick G.NinjaTrader Customer Service

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      #3
      MH358, have you found any workaround?

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        #4
        Tazo: Yes. This can be handled via the use of a set of conditions & actions (in code or Strategy Builder) that prints & acts as a function of current P&L.

        Of course, measuring & managing this risk does also come down to the data series value for "time" (scale)...or price-tick. Am guessing that futures brokers use a fraction of a second for time scale, or perhaps by each individual price-tick. This task naturally adds to computational overhead, but better that than risk not managed.

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          #5
          Hello,

          Can I create that extra feature myself and output to "Summary" tab when using Strategy Analyzer? I would like to see max intra-day combined (realized + unrealized) profit and loss. What are steps to create that function myself (I could use approximation like getting bars high/low until position is closed provided I am testing on small range bars for example) - and to output that value in the "Summary" when using either strategy analyzer, or when running in real time and looking at account performance overall?

          Thanks

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            #6
            Hello music_p13,

            Thank you for your note.

            It is possible to create your own performance metrics and add them to the Strategy Analyzer or Trade Performance windows. There is a built in sample performance metric that may be found in the NinjaScript Editor called SampleCumProfit that would be a good jumping off point for you to create your own custom works. Note that to use custom metrics, you need to enable their use under Tools > Options > General before you can add them.

            Here's a link to our help guide that goes further in depth on Performance Metrics:

            https://ninjatrader.com/support/help...ce_metrics.htm

            Please let us know if we may be of further assistance to you.
            Kate W.NinjaTrader Customer Service

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              #7
              Please add my vote for SFT-1543.

              Comment


                #8
                Hello caveat_lector,

                Thank you for your reply.

                I have added a vote for you to a current feature request to SFT-1517 as well.

                As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

                Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

                Please let us know if we may be of further assistance to you.
                Kate W.NinjaTrader Customer Service

                Comment

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