NinjaTrader, "combined results" max DD Issue

Discussion in 'Automated Trading' started by Zr1Trader, Mar 21, 2011.

  1. Hi,

    I have a question for those of you backtesting multiple instraments at the same time in NinjaTrader.

    Does anyone have a solution to find the "max DD" for the combined results? I have found that the "max DD" used right now is just the average of all the drawdowns for each instrament which is pretty much useless. I need a true Max DD calculation? Anyone have a code or a fix for this?

  2. Loki45


    I would post that question in the NT forum. They are pretty fast with responding, although quality is mixed...
  3. Thanks, the question has already been brought up there and they don't have a solution at this point in time. Was wondering if maybe by chance someone here had a code or work around to see the data in excel or something like that. I have over 6000 trades so It would take me ages to figure it out by hand.
  4. optimus


    Hello, I also I have this problem, anyone have a solution?.

    Thank you.
  5. Use a print statement to print each trade if its intraday you shouldnt have a problem with overlap. Then just download into Excel and sort by time. Use Time[0] to print out bar time of sales, then sort.
  6. dom993


    Export the trade-lists to Excel, sort by Exit DateTime, then manually compute the P&L, peak P&L, current DD, max DD.