Profit/Loss since trade entered

[arbuthnot]

Hi - I'd be very grateful if you could indicate how I can find a way to calculate the profit or loss realized, at every range bar occurring during a trade in progress, since the current trade was entered.

(I'd like to be able to manipulate this mathematically in Ninjascript so I can construct a trailing stop that varies according to profit/loss levels, i.e. one that is not static.)

Thanks in advance for your help.

[NinjaTrader_Bertrand]

Please check into our GetProfitLoss() in NinjaScript for this task - http://www.ninjatrader.com/support/h...profitloss.htm

[Robertp75]

Dear Bertrand,

Is there any possibility to calculate the REALIZED profit and loss of a single trade immediately after the trade was closed? (e.g. by refering to the execution.ExecutionId or execution.Order.OrderId). I assume GetProfitLoss() is not the right function as this function displays the UNREALIZED profit and loss of a position according to the ninjascript tutorial.

Many thanks.

Robert

[marcow]

Store GetProfitLoss() into a variable if in position, and readout this variable after trade is closed ?

[NinjaTrader_Bertrand]

Originally Posted by Robertp75

Dear Bertrand,

Is there any possibility to calculate the REALIZED profit and loss of a single trade immediately after the trade was closed? (e.g. by refering to the execution.ExecutionId or execution.Order.OrderId). I assume GetProfitLoss() is not the right function as this function displays the UNREALIZED profit and loss of a position according to the ninjascript tutorial.

Many thanks.

Robert

You can directly work with the NinjaScript Performance class for this task - http://www.ninjatrader.com/support/h.../nt7/trade.htm

[Robertp75]

Originally Posted by marcow

Store GetProfitLoss() into a variable if in position, and readout this variable after trade is closed ?

Hi marcow,

Many thanks for your reply!
According to the conversion at this link:
http://www.ninjatrader.com/support/f...ad.php?t=49774

I cannot believe that your advise works as NinjaTrader_Joydeep wrotes:
"Position.GetProfitLoss will return the unrealized PnL of the strategy position.

If your strategy is flat then it will return 0 (zero). If your strategy is Long or Short then it will return the unrealized PnL.
http://www.ninjatrader.com/support/h...profitloss.htm

If you are getting any other result then please upload a NinjaScript code replicating it."

Cheers!

Rob

[marcow]

 
#region Variables
// Wizard generated variables
private double ProfitLoss_LastTrade = 0; 
// User defined variables (add any user defined variables below)
#endregion
///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
protectedoverridevoid Initialize()
{
CalculateOnBarClose = true;
}
///<summary>
/// Called on each bar update event (incoming tick)
///</summary>
protectedoverridevoid OnBarUpdate()
{
 
if ( Position.MarketPosition != MarketPosition.Flat ) 
ProfitLoss_LastTrade = Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) ;
 
 
}

ProfitLoss_LastTrade will now hold the latest unrealizedPnL of each closed position.
Assuming that the last unrealizedPnL of an open position becomes realizedPnL once that position is closed.


Marco

[Robertp75]

Originally Posted by marcow

 
#region Variables
// Wizard generated variables
private double ProfitLoss_LastTrade = 0; 
// User defined variables (add any user defined variables below)
#endregion
///<summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///</summary>
protectedoverridevoid Initialize()
{
CalculateOnBarClose = true;
}
///<summary>
/// Called on each bar update event (incoming tick)
///</summary>
protectedoverridevoid OnBarUpdate()
{
 
if ( Position.MarketPosition != MarketPosition.Flat ) 
ProfitLoss_LastTrade = Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) ;
 
 
}

ProfitLoss_LastTrade will now hold the latest unrealizedPnL of each closed position.
Assuming that the last unrealizedPnL of an open position becomes realizedPnL once that position is closed.


Marco

Hi Marco,

Many thanks for that hint!
Let me check how that works.
I will get back to you for reporting results.

Best,

Rob

[marcow]

hello Rob,

after looking through the thread you posted the link for : http://www.ninjatrader.com/support/f...ad.php?t=49774

I realized Joydeep M. came with a very good solution in post#14, which is way better then the one I posted above. It involves using the trades colection class.
please find below a strategy which demonstrates the use of this trade collection class.

 
#region Variables
// Wizard generated variables
private double ProfitLoss_LastTrade = 0;   // holds profit/loss of last trade
private int temp = 0;                                // temp value 
// User defined variables (add any user defined variables below)
#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
 
// simple EMA crossovers to generate some trades 
if( CrossAbove(EMA(8), EMA(14), 1) )
EnterLong(DefaultQuantity, "");
 
if( CrossBelow(EMA(8), EMA(14), 1) )
EnterShort(DefaultQuantity, "");
 
 
 
if(       Performance.AllTrades.Count >= 1       // wait for first trade
    && Performance.AllTrades.Count > temp   // only execute if there was a new trade 
) 
 {   Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - 1];
     ProfitLoss_LastTrade = lastTrade.ProfitCurrency; 
 
     PrintWithTimeStamp("The last trade profit is " + ProfitLoss_LastTrade);
     temp = Performance.AllTrades.Count;
}
 
}

please let me know if this works for you or if you have any questions,

Marco

[Robertp75]

Originally Posted by marcow

hello Rob,

after looking through the thread you posted the link for : http://www.ninjatrader.com/support/f...ad.php?t=49774

I realized Joydeep M. came with a very good solution in post#14, which is way better then the one I posted above. It involves using the trades colection class.
please find below a strategy which demonstrates the use of this trade collection class.

 
#region Variables
// Wizard generated variables
private double ProfitLoss_LastTrade = 0;   // holds profit/loss of last trade
private int temp = 0;                                // temp value 
// User defined variables (add any user defined variables below)
#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
 
// simple EMA crossovers to generate some trades 
if( CrossAbove(EMA(8), EMA(14), 1) )
EnterLong(DefaultQuantity, "");
 
if( CrossBelow(EMA(8), EMA(14), 1) )
EnterShort(DefaultQuantity, "");
 
 
 
if(       Performance.AllTrades.Count >= 1       // wait for first trade
    && Performance.AllTrades.Count > temp   // only execute if there was a new trade 
) 
 {   Trade lastTrade = Performance.AllTrades[Performance.AllTrades.Count - 1];
     ProfitLoss_LastTrade = lastTrade.ProfitCurrency; 
 
     PrintWithTimeStamp("The last trade profit is " + ProfitLoss_LastTrade);
     temp = Performance.AllTrades.Count;
}
 
}

please let me know if this works for you or if you have any questions,

Marco

Hi Marco,

Many thanks! I will check this out and let you know the results.

Best,

Rob