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Fixed Fractional Money Management


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Fixed Fractional Money Management

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  #1 (permalink)
.de
 
 
Posts: 3 since Jun 2011
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Hello everybody,

I'm working with NT for 4 weeks now and I became somewhat familiar with it.
However I'm still having some trouble with certain issues. I'm currently trying to implement fixed fractional MM in my strategies. There doesn't seem to be a way to find out the current balance and exposure at all. The only thing a strategy can "see" is its own past performance, not even the performance of other strategies - right?

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geezer View Post
Hello everybody,

I'm working with NT for 4 weeks now and I became somewhat familiar with it.
However I'm still having some trouble with certain issues. I'm currently trying to implement fixed fractional MM in my strategies. There doesn't seem to be a way to find out the current balance and exposure at all. The only thing a strategy can "see" is its own past performance, not even the performance of other strategies - right?

I don't know off the top of my head how to find the account equity but I thought it was possible. I just wanted to point out that you will also find another problem with strategy implementation when restarting your strategies after the weekend. NinjaTrader will not look at the history of what happened in your position and executions last week - it just takes the historical data and calculates everything from scratch. So dependent on the quality of the historical data, this means you will see discrepancies between the real position size of an overnight trade from Friday and the newly calculated position size that NinjaTrader thinks you should have. That might not be totally clear, so check out one of the threads from @drolles on the NinjaTrader support forum - it's all in there along with NT's responses.

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.de
 
 
Posts: 3 since Jun 2011
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Adamus View Post
I don't know off the top of my head how to find the account equity but I thought it was possible.

The only way I see so far is to build up a proprietary account/trade management, i.e. writing all the trades plus account changes (withdrawals /deposits) into a textfile. The two main problems with this solution is that
a) NT doesn't know the actual Entry/Exit- Prices of the trades so you would have to correct the values manually every day and
b) you would have to sychronize access to the file which may end up being a major pain in the ass.

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