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A way see the Trailing Drawdown or the Auto Liquidate Value in NinjaTrader 8


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A way see the Trailing Drawdown or the Auto Liquidate Value in NinjaTrader 8

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Dallas Texas
 
 
Posts: 16 since Feb 2017
Thanks: 8 given, 4 received

Hello

I need a way to see the Max Drawdown from the best open profit-level reached, for a futures portfolio with 2 or more different symbols positions opened at the same time, being able to see this kind of Drawdown in real-time when the trades are running and also after these positions are already closed, in order to have this value while the trade is running but also to have this value in a log spreadsheet to do further analysis.

I don't know if I'm using the exact correct terms, but to understand the idea I will explain a little what I need.

Ok, the idea here is to have this available either for live trading, or for simulated trading for practice, or also for Market Replay backtesting trading, and as said, trading with some futures positions all them opened at the same time (portfolio), to have the way to check what have been the maximum adverse excursion from the best open profit reached, so the drawdown value from the best level reached of all opened positions as a whole, while these positions have been opened.

By the way, I would like to clarify what I need is not this value based on the closed price, no, what I need is the worst drawdown scenario while the trade have been opened without the need to be in front of the screen second by second taking manual notes about this.

It would be excellent if this value could be shown in a quick way or even in a visual way in the chart, mainly in Ninjatrader, but also could be perfect to have this in Sierra Chart and in Thinkorswim.

I've checked the Ninjatrader 8 Trade Performnace tool, and it shows the next:

- The Max Drawdown, that I see it shows the closed Loses from the portfolio losing positions, so it's not what I'm looking for.

- The MAE (Max Adverse Excursion), that I see it shows a result based on the Entry level, no based on the highest favorable level, so it's not what I'm looking for.

- The ETD (End Trade Drawdown), that I was thinking it could be what I need but once I made some manual meassures in the chart I could see it's not what I'm looking for.

The reason of this is to adjust and refine trading strategies statistics, to improve exit points, etc. to be able to verify if a strategy fits with a specific Trailing Drawdown rule from a funding company, but the important part is to be able to verify this BEFORE to start with them. And yes, I know the software the companies provide shows the Autoliquidate Threshold Value, but the idea is to have a way to see this value or easily calculate this value having the drawdown value decibed above, without the need to depend on that software, just to have this available whenever you need, either if you have or not the company's software.

Thank you.

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