Site Administrator Swing Trader Data Scientist & DevOps
Manta, Ecuador
Experience: Advanced
Platform: Custom solution
Trading: Futures & Crypto
Posts: 49,959 since Jun 2009
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Software looks interesting.
I've tried something like this before, though, and quickly found that it wasn't compatible with NinjaTrader very well. In other words, when I exported from NT it lost a great deal of functionality, I had to basically manually input each trade. I just went back to my spreadsheet instead.
I'd be curious to specifically know about the import capabilities from NinjaTrader and what functionality is lost or retained, and what has to be manually setup.
I exported friday's trades via CSV format, and then imported into the MSA software. Bear in mind its only 8 trades. But this is what it yielded in terms of output.
The export/import process took about 3-4 minutes total. Since it uses a field mapping tool, the process was super easy. The items not imported into the MSA I don't use anyway so no functionality was lost at least for me.
There are a number of set and forget settings in the software. 4 per point, margins, commissions, etc. I think if I just import the info from Ninnie, I'll get all this anyway. We'll see over time.
The MSA software does not allow for multiple targets on one trade. So if you wanted to calculate the total profit or loss on a multi target trade, you would need to input each trade manually and split out the contracts by target.
But since Ninnie calculates the average exit price, you could just use the Ninnie trade summary exit price as your MSA exit price on the entire position regardless of how many targets you had on any one trade.
The down side here is you don't get a measure of how often those extra targets are hit vs how often the first target is hit.
I think the upside to the software outweigh this small issue.
Also, in Ninnie, you must calculate the summary using currency instead of points, the mapping tool in the MSA has a field for profit/loss. It does not calculate the P&L using entry/exit prices. This is also a small issue in my opinion.
I've downloaded a trial copy of the software and will use it every day to track my trades. At the end of the 30 days, i will report on my experience and I will also post both my normal spreadsheet and the MSA results.
Simplicity is the ultimate sophistication, Leonardo da Vinci
Most people chose unhappiness over uncertainty, Tim Ferris
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It is a power piece of software and one which will take me many days to really explore its capabilities.
I imported all of July's trades from my spreadsheet. The items I track in the spread are used slightly different in MSA but its accurate enough for this experiment and I will continue to use the spreadsheet to decide when to increase contract size for now.
The image below is the result of July's import. There are many ways to analyze the data once its in, this is the default view.
Simplicity is the ultimate sophistication, Leonardo da Vinci
Most people chose unhappiness over uncertainty, Tim Ferris
Thanks for your report on MSA. I also have just started playing with this tool recently. One thing I noticed that MSA can import in is the stop price with regards to your trades (which I usually do have with my NinjaTrader strategies). Unfortunately NT does not output in the Trades tab of a backtest where one's max stop loss they may have had during a trade.
Do you know of any way to potentially get this stop loss information for a trade from Ninja to MSA? I'm guessing we'd have to write some custom stuff in NinjaTrader to output the Trades array to a file and simply add in the extra stop info (if you had one on during a trade).
I noticed this too, as I am not a programmer, I do it the hard way, I manually track my initial stop loss on a piece of paper, then when I export the trades grid to excel, i insert a column and manually type it in before importing to MSA. i am sure someone could figure this out but that someone is not me.
Simplicity is the ultimate sophistication, Leonardo da Vinci
Most people chose unhappiness over uncertainty, Tim Ferris
Can MSA read in a .csv ? Not that I have done it, but I think Steamwriter should be able to export that value from your strategy to a text file, if it is something that you are already generating within a dataseries or plot ?? Just a hunch ..
TJ
The following user says Thank You to Trader.Jon for this post:
MSA imports via csv. So anything you can get out of ninja that is price related via csv, you can export to MSA, however, the fields they provide are limited so most of it is not used. I only import, entry, exit prices, entry/exit date and time, symbol, size, long/short, trade level P&L.
Simplicity is the ultimate sophistication, Leonardo da Vinci
Most people chose unhappiness over uncertainty, Tim Ferris
For what it's worth, most of my ninja strats have a couple of options which switch on writing trade data to a file. I then have a load of perl scripts and gnuplot (for graphs) to analyse that data. This is not so much for doing clever things like removing outliers, but more for looking at graphs and stats for a portfolio, or a collection of walk forward sessions. Or for fixing obvious things that ninja stupidly doesn't do - like proper max drawdown over multiple instruments, or trades/day doing business days only.
What I would say, though, is that the Ninja output is perfectly sufficient in the vast majority of cases to tell whether or not your strategy is worthwhile to continue with. I wouldn't say buying an extra tool is suddenly going to make your optimisation and development process any better.
The following user says Thank You to Xeno for this post:
Incidentally writing your own data out from a strategy allows you to do something like this
If in the ninja optimiser, I can write out each optimised session and throw up a graph of parameter value versus profit to see whether there are profit plateaus - i.e. areas of parameters close in value that all result in a decent profit.
Sure you can see this to an extent in the optimiser window, but it's nice to have a graph, esp if there are pairs of parameters.
This sort of stuff would be an easy project for a new developer at Ninja ;-) ;-)
I have to do similar things with Tradestation by outputting to an excel spreadsheet.
The drawdown calculations in the performance reports are rarely to my liking/desire. I tend to like to see drawdown as a calculation based off localized equity on a trade close to trade close basis.
I also like to vary my position scaling and customize it. I might try out this optimizer, it'd probably save me some time and leg work by doing it manually in excel.
"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
Did anyone take a look at the other piece of software made by Adaptrade? (Adaptrade Builder - Trading Strategy Discovery and Code Generation Tool)
it would be good to get some feedback about this product.
I recently discovered that there are some programs that find systems and also write code. I thought the idea was excellent and I downloaded one called Adaptrade. This program runs fine and crashes only occasionally but I wasted two free weeks of testing …
