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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, 07:28 AM.
    Patrick G.NinjaTrader Customer Service

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      #3
      MH358, have you found any workaround?

      Comment


        #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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