NinjaTrader Performance Reports for Version 5

[NinjaTrader_Ray]

As you know, NinjaTrader provides a methods to manage your position by bracketing an open position with multiple stops and targets. Once all of these stops/targets are filled and the position strategy is flat, NinjaTrader generates a trade record that includes the average entry/exit that is ultimately used for the calculation of performance data. The completed strategy can contain multiple tradeswhich are themultiple execution pairs from the stop and target orders.

The current performance manager generates data based on completed strategies and not the individual trades that make up the strategy. In essence, NinjaTrader calls the complete strategy a trade in itself.

So, if you have two stops and targets, you get filled on each target, you would get a report that shows -

# of trades = 1
# of winners = 1

Industry standard approach suggests -

# of trades = 2
# of winners = 2

We are in the process of redesigning the Performance Manager as a tab in the Control Center Window. See attached images. The redesign will provide much more efficient access to generating performance statistics, provide full printing, exporting to csv or excel, provide graphs and other valuable reporting options.

We are leaning towards calcuating performance based on actual trade pairs which follows industry standard approach.

The pros to this are -

- more flexibility in reporting performance data on all execution information. Currently, if a strategy is lost, the performance for that strategy is lost.
- can generate performance on the entire accounts trading history indpendant of strategies
- can generate performance on strategies

This comes at the expense of how strategies are reported now. If you executed 3 strategies wiith 3 stops and targets, in today's model, it would be reported as 3 trades. With the proposed model, it would be reported as potentially 9 trades.

I am asking for input from anyone interested on this subject. Is this the right approach? Not?

Thanks in advance.


Ray

[NinjaTrader_Ray]

Second image

[John_Aus]

Dear Ray

It would suit my trading style to have PM report each trade not each strategy as it would provide for me a more accurate picture of my preformance.

Strategies to me are purely an entry and exit tool which I may over ride at any time. Whereas the trades are black and white,no escaping their outcome.

Regards John_AUS

[nettrac]

Seems like a good idea. Please also make EVERY report on the control Center tabs Printable as well as sendable to Excel and disk.

Separate open order reporting at log out between "Live" and "Sim"


In Breakout I can adjust the buy stop above the order entry point, but I cannot adjust the sell stop contract # using the left key or center button.



Len Fish

[John_Aus]

Ray

My last reply needs correcting.

Ijust use a strategy as an entry tool from then on all adjustments, breakeven, and exits are done manually.

Regards John_AUS

[Shiva Swinger]

Ray,

I manually take my trades from Ninja and place them in my own money management excel based software. A strategy that has 3 entries and 3 targets gets treated as 3 trades and not 1 trade. Taking an average price of these entries is a major pain in maintaining my records.

So I like your proposed plan and will study it more carefully. Another important tool in record keeping is the recovery trade time from one equity high to the next equity high. Once a loss is made, how many trades before a new equity high is made. After studying 1000's of trades some interesting facts become obvious.

I need ninja performance to be able to export into my excel and get my figures. Improvements in this area are indeed welcomed.


Om Shivaya

[spiro]

Hi Ray

I like your new propositions. I think it will greatly enhance the reporting function.

The two things I'd like to see are:

1. User configurable reports. That way I can set up the columns in the way i'd like to see them and they'd slot into my excel analysis perfectly.

2. If possible to be able to identify the legs of a strategy separately. ie if I exit in two parts, to be able to run stats on just the first part or just the second (or of course, all trades).

The second requirement is however superflous if you can meeet the first of a configurable export.

Many thanks for the excellent work you do on the product
Spiro

[Shiva Swinger]

Some ideas I find useful and you may be able to incorporate are;

# Trades to recover from Drawdown

Avg # Trades per day

Avg # Ticks per day

Worst# losses in a row

Best # Wins in a row

To determine consistency and true figures for my personal trading I have one side of records with every trade entered and treated as 1 lot. The other side is for compounding and shows all my actual trades and lots for each trade. It is easier to determine a trading problem when viewing all trades as 1 lot. So if you can click a button and see the figures for a campaign based on 1 lot only, this I have found really helpful. Often a trader has a good strategy but makes poor decisions on how many lots to put on a trade. We see a great set up and put 5 lots on it only to see it bomb, then we see another great setup and put 1 lot on it and see it soar. This makes the records false for analysis and for improving our trading.

Is this helpful?

[Iza]

Dear Ray

If you can do it would be perfect. Actually I am saving the rport in txt and then I have to paste on excel and make the multiplications to have a accurate history of my trades.

If you can make the control panel executions able to export to excel would help also.

The way to report trades acordingly with IRS should be the new way that you are proposing and if it is possible make the trades that do not have any strategy avaiable on performance manager also.

Ninja trader is so great, my broker send the statements in pdf and I am not able to have a file on excel of that . This is so necessary!!

Thanks for all

Iza

[Granville]

I too, think basing the performance report on actual trades and not on strategies is a step forward, so I'm all for it. Another feature I look forward to is being able to run simulation in NT basedonplayback-feed.

/Granville

[CapnKoz]

I feel the proposed approach is a good one. However, In the posted examples, although I see collective Average MFE and MAE, I do not see MAE and MFE displayed for each individual trade. If possible, this would be a reporting item I would like to have available on each trade. Keep up the excellent work!

Cheers
CapKoz

[mikem144]

I actually prefer the current method of reporting a multi contract/multi stop trade as 1 trade, and here's why. If I'm trading 2 contracts and move my stop to breakeven when target 1 is hit, i could either go on to hit target 2 on the second contract or stop out at breakeven. Under the current system, this would be reported as a profitable trade. Under the new system, if I understand correctly, it would report 1 profitable trade and 1 breakeven trade. This would not correctly reflect the profitability of the strategy, especially if I wanted to compare that strategy to others. It would be even more complicated if I were to use a 3-target strategy.

There are a few things that would be great to include, though. I'm using the multi-broker version, and often would like to see my combined stats for my all my real accounts vs. simulated stats.

Also, I trade several strategies on a few instruments, and would like the ability to track performance of a given strategy on all instruments vs a different strategy on all instruments. That way I might only tradea given strategy on selective instruments.

Likewise, it would be great to be able to select mutiple strategies to see how they performed on 1 given instrument.

Thanks, Ray, for allowing us to give you this input!!

[zentrader]

Ray,

I think that there is value in reporting both on a strategy basis as well as a paired-trade basis. In fact, maybe you can offer both, and develop a way to do comparative analysis between the two. For example, among other things, this could show a trader who uses multiple targets if he/she would have been more profitable over time executing just one or two parts of the strategy rather than a more complex array of entries and exits and the associated commissions.

Then, you could do the following: have a performance report for each: you could show the strategy performance as you do now, but a trader could click on a given strategy and get a paired-trade breakdown. Then, you could also show a reportin the paired-trade mode, and a trader could click on a given trade and get a view of the strategy it was executed in.

Thanks for this forum, and for NinjaTrader.....Keep up the good work!

[bhong]

Sounds great. I try to scale in additional contracts in a strong move. The current system records "entry" as the final aveaged-in price. This allows a more accurate reflection of what I'm actually doing.
I also like the suggestion of a user-configurable performance report.
Finally, sometimes trade orders don't get to Pats and the strategy is cancelled. Ditto the stats for that trade. I think that all trades should be accounted for in the performance manger.

Thanks for the great product

[NinjaTrader_Ray]

So far some good input.

- All grids in V5 can be saved as CSV, exported to Excel and can be printed
- Graphs can be saved as images
- Access to historical executions and order information is provided
-Grids are customizable as (add/remove/move columns)
- Recovery trade time (equity high to equity high) is already included in the performance reporting



Ray

[aspTrader]

Ray,

Three features for those managing sets of clients accounts would be helpful.


It would be useful to be able to generate performance reports in ways that aren't always coincident with Position Strategies.

When the Performance Report necessary to produce isn't neatly coincident with a Position Strategy or the other standard filtering critieria, it would be helpful to view the entire trade list for a given instrument or set of instruments and then filter the trades to be included in the performance report on a trade by trade basis.


It would also be helpful if the header on the report was modifiable by the user.

Something like the Header and Footer Setup capability in Excel is an example of what would be tremendous. But it doesn't have to be that feature rich to be useful. Some simple 2 line header definition dialog would suffice.


It would also be helpful if an output option was an html file.
If the first 2 of these capabilities existed, we're thinking we could use the Ninja Trader Performance Manager as the generator of Daily Trade and Performance Reports to clients. If the third feature existed, we wouldn't even need to touch the Ninja Trade output to be able to create the file which is accessed by clients. This would make the decision to use Ninja Trader Performance Manager as part of our detailed reporting process even more of a no-brainer.

[dwight]

Above all I need performance reports to be able to include all trades, not just position strategy trades.

[dwight]

A delight would be to see a chart of entry and exit points, which makes for a very efficient visual way to post-analyze trading. High class.

[efremiv]

A few important things that I would like to see:

**Most Important: A box where you would be able to change the number of contracts. This would help in scaling in, entering a larger position than your strategy is set for, scaling out in different amounts, reversing.

Reversing: streamline programming. There seems to be a lot of slippage on reversing.

Showing all exits on performance manager.

Have a blank space on the strategy drop down list to select no strategy.

Ability to shrink dom size which would shrink font size while decreasing it's size so you wouldn't lose any information.

Ability to do sim entries.

Ability to have multiple limit exits and be able to right click them to bring up a menu to cancel that order.

Not sure if this is possible, but it would be great to be able to put a symbol on a chart in esignal or tradestation where entries and exits occured.

[signals]

Right now the performance manager is of limited use for me. It does not really say why I took the trade and why I exited it. Was the trade trend or counter-trend? If I could save this information in NT it would be a vastly better tool and tell me a lot more about my trading.

I would find it extremely beneficial to be able to track the following which I'm having to do (tediously) in a separate excel window currently.

setup name/trade reason*
trend or counter-trend*
exit reason*
trade comment

It would be nice if the items with an asterisk(*) could be managed like an instrument, so you could just select from a drop down box.

It would also be great if you could save a chart in png and/or jpeg format of the trade.

Thanks

[gpfx19]

Being able to split out each entry/exit, combined, on a per contract basis, would address my biggest issue with Performance Manager.

Changing the present checkbox on SuperDOM from SE to SS would be nice as I always think of SE as Simulated Entry, removing any ambiguity. Change the present SE to a Simulated Entry & place it in the Entry box on SuperDOM, where the location would remove the ambiguity.

A means to more quickly change, or at least confirm, the simulation value in Instrument Manager from SuperDOM. Havingthe valuedisplayed in a light grey field would be a nice reminder versus having to remember said value for each instrument.

The ability to split out each contract's stop once a strategy has been entered, just like can be done with targets (multiple contracts).

The ability to split out targets & stops when scaling.

Great job though! Please keep up the quick responses & excellent product!

- Greg

[9Baller]

I am also in favor of keeping the performance manager statistics based on strategies rather than individual entries and exits. I scale in/out on most trades with varied size so this gives a truer sense of my activity. However, keeping an exportable/printable log of individual executions would be great as it wouldsave me a lot of manual data entryin excel. An equity graph would also be nice...measurable over specified days...anyway you can make the input windows for contract size/scale contracts larger...I can barely see them and the adjustment arrows.

Keep up the great work!!

I love this platform it has helped me tremendously