Data Analytics Overview:
This feature allows you to analyse the performance of different trading signals within NinjaTrader. It’s designed to help you understand which signals are most reliable and profitable based on historical bar data. The system automatically calculates key performance indicators like profit factor, hit rate, and total trades, providing a clear picture of each signal’s effectiveness. It’s particularly useful for backtesting and refining your trading strategies.
Internally, this is done on a tick by tick series – It is internal code and does not use the Ninjatrader backtesting framework. It provides for basic fill simulation, including accounting for volume and latency to ensure more realistic reporting. As such, it is possible for report output to vary slightly on run to run (small random latencies are part of fill algorithms and can affect fills).
Various signals and combinations of signals can be detected. To produce a report, you should follow the following steps
- Go to the data series chart icon, and set the chart period to a relevant period of days. 30 days would be a reasonable sample period. OK to accept.
- Go to the pjsprofilebars settings and in the Data Analytics group, check the ‘Signals Performance Report’ option. OK to accept.
- As your chart refreshes, it will build the report, which will be saved in a CSV file in your \Documents\NinjaTrader 8 folder. Please look for the ‘pjs’ folder, then pjsProfileBars. Inside that folder you will find a CSV text file, ‘Signal Performance Report.csv’. We recommend using a third party tool such as Google Sheets to analyze this. You can simply cut and paste the text into a blank sheet, click the option to ‘split text to columns’, and you should get a nicely formatted sheet with all the data and powerful analysis available at your fingertips!