Hello Guys,

I've been trying hard with chat gpt and my own modest dev skills to code a CAGR custom performance metric for NT8, but I'm stuck : I keep getting a NaN value. If anybody could look at the code and give an advice that would be amazing (i'm sure a lot of people here using ninja could use a CAGR...).

Code :

//
// Copyright (C) 2024, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Linq;
using System.Text;
using System.Xml.Serialization;
using System.ComponentModel.DataAnnotations; // Added for DisplayAttribute
using NinjaTrader.Cbi; // For Account, Currency, AccountItem references

#endregion


namespace NinjaTrader.NinjaScript.PerformanceMetrics
{
public class CAGRPerformanceMetric : PerformanceMetric
{
private double startValue; // Start value of the portfolio
private double endValue; // End value of the portfolio
private double totalDurationYears; // Duration of the performance in years
private DateTime startTime; // Start time of the first trade
private DateTime endTime; // End time of the last trade

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "CAGRPerformanceMetric"; // Name shown in UI
startValue = 0.0;
endValue = 0.0;
totalDurationYears = 0.0;
}
else if (State == State.Configure)
{
Values = new double[1]; // Only one value: CAGR
}
else if (State == State.Active)
{
// Reset all values at the start of a new backtest run
startValue = 0.0;
endValue = 0.0;
totalDurationYears = 0.0;
startTime = DateTime.MinValue;
endTime = DateTime.MinValue;
Array.Clear(Values, 0, Values.Length);
}
}

// This is called as each trade is added
protected override void OnAddTrade(Cbi.Trade trade)
{
// Initialize startValue and startTime at the first trade
if (startValue == 0.0 && trade.Entry != null)
{
startValue = trade.Entry.Account.Get(Cbi.AccountItem.RealizedProfitLoss, Cbi.Currency.UsDollar);
startTime = trade.Entry.Time;
}

// Update the endValue and endTime at each trade exit
if (trade.Exit != null)
{
endValue = trade.Exit.Account.Get(Cbi.AccountItem.RealizedProfitLoss, Cbi.Currency.UsDollar);
endTime = trade.Exit.Time;
}

// If we have both a start and end time, calculate the duration
if (startTime != DateTime.MinValue && endTime != DateTime.MinValue)
{
totalDurationYears = (endTime - startTime).TotalDays / 252; // Approximate years calculation
}

// Calculate CAGR if duration is valid
if (startValue > 0 && endValue > 0 && totalDurationYears > 0)
{
Values[0] = CalculateCAGR(startValue, endValue, totalDurationYears);
}
else
{
Values[0] = 0; // Handle cases where values are not yet valid
}
}

// CAGR calculation
private double CalculateCAGR(double start, double end, double years)
{
return Math.Pow(end / start, 1 / years) - 1;
}

// Called when merging metrics
protected override void OnMergePerformanceMetric(PerformanceMetricBase target)
{
CAGRPerformanceMetric targetMetrics = target as CAGRPerformanceMetric;

if (targetMetrics != null && TradesPerformance.TradesCount + targetMetrics.TradesPerformance.TradesCount > 0)
{
// Aggregate by recalculating CAGR over the combined performance data
double combinedStartValue = Math.Min(startValue, targetMetrics.startValue);
double combinedEndValue = Math.Max(endValue, targetMetrics.endValue);
double combinedDurationYears = totalDurationYears + targetMetrics.totalDurationYears;

if (combinedStartValue > 0 && combinedDurationYears > 0)
{
targetMetrics.Values[0] = CalculateCAGR(combinedStartValue, combinedEndValue, combinedDurationYears);
}
}
}

// Copy values to target metric
protected override void OnCopyTo(PerformanceMetricBase target)
{
CAGRPerformanceMetric targetMetrics = target as CAGRPerformanceMetric;

if (targetMetrics != null)
{
targetMetrics.startValue = startValue;
targetMetrics.endValue = endValue;
targetMetrics.totalDurationYears = totalDurationYears;
Array.Copy(Values, targetMetrics.Values, Values.Length);
}
}

// The format method allows you to customize the rendering of the performance value on the summary grid
public override string Format(object value, Cbi.PerformanceUnit unit, string propertyName)
{
double[] tmp = value as double[];
if (tmp != null && tmp.Length == 1 && unit == Cbi.PerformanceUnit.Percent)
{
if (tmp[0] != 0)
return tmp[0].ToString("P"); // Format as a percentage
else
return "0%"; // Handle zero values gracefully
}
return "N/A"; // Handle null or unexpected formats
}

[Display(ResourceType = typeof(Custom.Resource), Description = "", Name = "CAGR", Order = 0)]
public double[] Values { get; private set; }
}
}

Arthurtrades 

Hello Guys, I've been trying hard with chat gpt and my own modest dev skills to code a CAGR custom performance metric for NT8, but I'm stuck : I keep getting a NaN value. If anybody could look at the code and give an advice that would be amazing (i'm sure a lot of people here using ninja could use a CAGR...). Code : // // Copyright (C) 2024, NinjaTrader LLC <www.ninjatrader.com>. // NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release. // #region Using declarations using System; using System.Collections.Generic; using System.ComponentModel; using System.Linq; using System.Text; using System.Xml.Serialization; using System.ComponentModel.DataAnnotations; // Added for DisplayAttribute using NinjaTrader.Cbi; // For Account, Currency, AccountItem references #endregion namespace NinjaTrader.NinjaScript.PerformanceMetrics { public class CAGRPerformanceMetric : PerformanceMetric { private double startValue; // Start value of the portfolio private double endValue; // End value of the portfolio private double totalDurationYears; // Duration of the performance in years private DateTime startTime; // Start time of the first trade private DateTime endTime; // End time of the last trade protected override void OnStateChange() { if (State == State.SetDefaults) { Name = "CAGRPerformanceMetric"; // Name shown in UI startValue = 0.0; endValue = 0.0; totalDurationYears = 0.0; } else if (State == State.Configure) { Values = new double[1]; // Only one value: CAGR } else if (State == State.Active) { // Reset all values at the start of a new backtest run startValue = 0.0; endValue = 0.0; totalDurationYears = 0.0; startTime = DateTime.MinValue; endTime = DateTime.MinValue; Array.Clear(Values, 0, Values.Length); } } // This is called as each trade is added protected override void OnAddTrade(Cbi.Trade trade) { // Initialize startValue and startTime at the first trade if (startValue == 0.0 && trade.Entry != null) { startValue = trade.Entry.Account.Get(Cbi.AccountItem.RealizedProfitLoss, Cbi.Currency.UsDollar); startTime = trade.Entry.Time; } // Update the endValue and endTime at each trade exit if (trade.Exit != null) { endValue = trade.Exit.Account.Get(Cbi.AccountItem.RealizedProfitLoss, Cbi.Currency.UsDollar); endTime = trade.Exit.Time; } // If we have both a start and end time, calculate the duration if (startTime != DateTime.MinValue && endTime != DateTime.MinValue) { totalDurationYears = (endTime - startTime).TotalDays / 252; // Approximate years calculation } // Calculate CAGR if duration is valid if (startValue > 0 && endValue > 0 && totalDurationYears > 0) { Values[0] = CalculateCAGR(startValue, endValue, totalDurationYears); } else { Values[0] = 0; // Handle cases where values are not yet valid } } // CAGR calculation private double CalculateCAGR(double start, double end, double years) { return Math.Pow(end / start, 1 / years) - 1; } // Called when merging metrics protected override void OnMergePerformanceMetric(PerformanceMetricBase target) { CAGRPerformanceMetric targetMetrics = target as CAGRPerformanceMetric; if (targetMetrics != null && TradesPerformance.TradesCount + targetMetrics.TradesPerformance.TradesCount > 0) { // Aggregate by recalculating CAGR over the combined performance data double combinedStartValue = Math.Min(startValue, targetMetrics.startValue); double combinedEndValue = Math.Max(endValue, targetMetrics.endValue); double combinedDurationYears = totalDurationYears + targetMetrics.totalDurationYears; if (combinedStartValue > 0 && combinedDurationYears > 0) { targetMetrics.Values[0] = CalculateCAGR(combinedStartValue, combinedEndValue, combinedDurationYears); } } } // Copy values to target metric protected override void OnCopyTo(PerformanceMetricBase target) { CAGRPerformanceMetric targetMetrics = target as CAGRPerformanceMetric; if (targetMetrics != null) { targetMetrics.startValue = startValue; targetMetrics.endValue = endValue; targetMetrics.totalDurationYears = totalDurationYears; Array.Copy(Values, targetMetrics.Values, Values.Length); } } // The format method allows you to customize the rendering of the performance value on the summary grid public override string Format(object value, Cbi.PerformanceUnit unit, string propertyName) { double[] tmp = value as double[]; if (tmp != null && tmp.Length == 1 && unit == Cbi.PerformanceUnit.Percent) { if (tmp[0] != 0) return tmp[0].ToString("P"); // Format as a percentage else return "0%"; // Handle zero values gracefully } return "N/A"; // Handle null or unexpected formats } [Display(ResourceType = typeof(Custom.Resource), Description = "", Name = "CAGR", Order = 0)] public double[] Values { get; private set; } } }

Explain wht u need_?

 

Code

#region Using declarations using System; using System.Collections.Generic; using System.ComponentModel; using System.ComponentModel.DataAnnotations; using System.Linq; using System.Text; using System.Threading.Tasks; using System.Windows; using System.Windows.Input; using System.Windows.Media; using System.Xml.Serialization; using NinjaTrader.Cbi; using NinjaTrader.Gui; using NinjaTrader.Gui.Chart; using NinjaTrader.Gui.SuperDom; using NinjaTrader.Gui.Tools; using NinjaTrader.Data; using NinjaTrader.NinjaScript; using NinjaTrader.Core.FloatingPoint; using NinjaTrader.NinjaScript.DrawingTools; using NinjaTrader.NinjaScript.Indicators; #endregion namespace NinjaTrader.NinjaScript.PerformanceMetrics { public class CAGRPerformanceMetric : PerformanceMetric { private double startValue; // Start value of the portfolio private double endValue; // End value of the portfolio private double totalDurationYears; // Duration of the performance in years private DateTime startTime; // Start time of the first trade private DateTime endTime; // End time of the last trade protected override void OnStateChange() { if (State == State.SetDefaults) { Name = "CAGRPerformanceMetric"; // Name shown in UI startValue = 0.0; endValue = 0.0; totalDurationYears = 0.0; } else if (State == State.Configure) { Values = new double[1]; // Only one value: CAGR } else if (State == State.Active) { // Reset all values at the start of a new backtest run startValue = 0.0; endValue = 0.0; totalDurationYears = 0.0; startTime = DateTime.MinValue; endTime = DateTime.MinValue; Array.Clear(Values, 0, Values.Length); } } // This is called as each trade is added protected override void OnAddTrade(Cbi.Trade trade) { // Initialize startValue and startTime at the first trade if (startValue == 0.0 && trade.Entry != null) { startValue = trade.Entry.Account.Get(Cbi.AccountItem.RealizedProfitLoss, Cbi.Currency.UsDollar); startTime = trade.Entry.Time; } // Update the endValue and endTime at each trade exit if (trade.Exit != null) { endValue = trade.Exit.Account.Get(Cbi.AccountItem.RealizedProfitLoss, Cbi.Currency.UsDollar); endTime = trade.Exit.Time; } // If we have both a start and end time, calculate the duration if (startTime != DateTime.MinValue && endTime != DateTime.MinValue) { totalDurationYears = (endTime - startTime).TotalDays / 252.0; // Approximate years calculation } // Calculate CAGR if duration is valid if (startValue > 0 && endValue > 0 && totalDurationYears > 0) { Values[0] = CalculateCAGR(startValue, endValue, totalDurationYears); } else { Values[0] = 0; // Handle cases where values are not yet valid } } // CAGR calculation private double CalculateCAGR(double start, double end, double years) { return Math.Pow(end / start, 1 / years) - 1; } // Called when merging metrics protected override void OnMergePerformanceMetric(PerformanceMetricBase target) { CAGRPerformanceMetric targetMetrics = target as CAGRPerformanceMetric; if (targetMetrics != null && TradesPerformance.TradesCount + targetMetrics.TradesPerformance.TradesCount > 0) { // Aggregate by recalculating CAGR over the combined performance data double combinedStartValue = Math.Min(startValue, targetMetrics.startValue); double combinedEndValue = Math.Max(endValue, targetMetrics.endValue); double combinedDurationYears = totalDurationYears + targetMetrics.totalDurationYears; if (combinedStartValue > 0 && combinedDurationYears > 0) { targetMetrics.Values[0] = CalculateCAGR(combinedStartValue, combinedEndValue, combinedDurationYears); } } } // Copy values to target metric protected override void OnCopyTo(PerformanceMetricBase target) { CAGRPerformanceMetric targetMetrics = target as CAGRPerformanceMetric; if (targetMetrics != null) { targetMetrics.startValue = startValue; targetMetrics.endValue = endValue; targetMetrics.totalDurationYears = totalDurationYears; Array.Copy(Values, targetMetrics.Values, Values.Length); } } // The format method allows you to customize the rendering of the performance value on the summary grid public override string Format(object value, Cbi.PerformanceUnit unit, string propertyName) { double[] tmp = value as double[]; if (tmp != null && tmp.Length == 1 && unit == Cbi.PerformanceUnit.Percent) { if (tmp[0] != 0) return tmp[0].ToString("P"); // Format as a percentage else return "0%"; // Handle zero values gracefully } return "N/A"; // Handle null or unexpected formats } [Display(ResourceType = typeof(Custom.Resource), Description = "", Name = "CAGR", Order = 0)] public double[] Values { get; private set; } } }

FIXED ENjoy!