Is it possible to create an indicator or a chart label using the back-test system performances data such as, for example, the maximum drawdown of several months?

Astrogirl 

Is it possible to create an indicator or a chart label using the back-test system performances data such as, for example, the maximum drawdown of several months?

In short, yes.

With software, almost anything is possible. However, the way Ninjatrader is built, this is not something easily accomplished or explained.

It is not only possible, but also useful.

For example I have written a little candlestick indicator in order to understand which of 20 different patterns can be profitably traded. I can then horizontally scroll through my chart and see the results.

Below is a sample chart. The last pattern detected is a bearish engulfing pattern. The pattern is combined with a trendfilter.

Result: Over the last three years there were 2063 such patterns. The frequency was 2.9%. This means that about 3 out of 100 bars conformed to this pattern.

The average result per trade - here a simple approach with a time exit - would have been

- 0.1 ticks for a 3 bar trade
- 0.4 ticks for a 6 bar trade
- 1.3 ticks for a 10 bar trade

This is a weak bearish bias, but not tradeable on a 15 min chart.

It is definitely faster to evaluate patterns with this tool than running backtests via the strategy analyzer.

However, the strategy analyzer comes with a set of performance metrics that you will be unable to code with a simple indicator. Therefore the indicator can only be considered as a preparatory tool for a fully fledged strategy.

Fat Tails 

It is not only possible, but also useful. For example I have written a little candlestick indicator in order to understand which of 20 different patterns can be profitably traded. I can then horizontally scroll through my chart and see the results. Below is a sample chart. The last pattern detected is a bearish engulfing pattern. The pattern is combined with a trendfilter. Result: Over the last three years there were 2063 such patterns. The frequency was 2.9%. This means that about 3 out of 100 bars conformed to this pattern. The average result per trade - here ....

Your indicator looks great! Did you do that by yourself?!

I haven't ever developed an indicator but I know how get the performance data with the method "Performance" so I will check how link them to an indicator.