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Portfolio Backtesting

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    Portfolio Backtesting

    Hello,

    i am fairly new to NinjaTrader and i am really keen on using it but the only thing i really need is backtesting of strategies on a whole portfolio of securities.
    As far as i can see Portfolio-backtesting the way wealthlab is doing it is not possible in 6.5 and won`t be possible in 7. Is that right?

    1.)Is this planned for the future of Ninja Trader or is that something that is of no concern to most of the NT-users.

    2.)In NT 7 is it possible to execute a strategy on a basket of symbols and get an aggregated report, equity-curve, draw down report ect. for the whole Portfolio, when i assume there is a portfolio of maybe 50 stocks and i have capital of 5k for each stock individually?

    Thanks for answers.

    Greetings

    #2
    Hello,

    Since you are asking about NT7, I will have someone reply to you on Monday. Thank you for your patience.
    BenNinjaTrader Customer Service

    Comment


      #3
      Portfolio backtesting is currently not available.

      1. It is currently on our list of future considerations.

      2. You are able to run a basket backtest, but this is not the same as a portfolio backtest. You will get an aggregated report.
      JoshNinjaTrader Customer Service

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        #4
        Ok thanks,

        then i will start with NT 7 when it is available and hope for the future.

        How long is the developement cycle from full version to full version?
        In other words:
        When would be the earliest point portfolio backtesting could possibly be integrated in NT? 1 year, 2 years?
        If you could give an estimation that would be fine.
        I know of course that there is no guarantee that portfolio-backtesting comes at this point or that it comes at all.

        Thanks for your answer

        Greetings

        Comment


          #5
          vinced,

          Unfortunately I would not be able to give you any time of estimation. As of this point in time we are concentrating on NT7. Thank you for understanding.
          JoshNinjaTrader Customer Service

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            #6
            any update on portfolio backtesting? How high is this on the agenda for any future NT versions?

            Comment


              #7
              We do not have any additional information at this time.
              MatthewNinjaTrader Product Management

              Comment


                #8
                Originally posted by whotookmynickname View Post
                any update on portfolio backtesting? How high is this on the agenda for any future NT versions?
                Not sure why folks think that this cannot be done right now.

                Here is my "Basket Backtest" on the DOW30. How is it any different from a Portfolio Backtest. Just create a group to hold your Portfolio instruments, and run a Backtest on the group.
                Attached Files

                Comment


                  #9
                  Originally posted by whotookmynickname View Post
                  any update on portfolio backtesting? How high is this on the agenda for any future NT versions?
                  Hello whotookmynickname,

                  I was having the same problem with the lack of inter-strategy communication that NinjaTrader offers. So, we went out of the bos to create a small algorithm to workaround this issue. Please read this article:

                  http://www.aurorasolutions.org/inter...n-ninjatrader/

                  Feel free to contact us if you need this implemented in your strategies.

                  Thanks
                  Umer

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