Quote from: Partinez on April 21, 2014, 06:12:06 PM

I'm not sure how to specify that it should compound returns. Is there any option to change the strategy?

The right way to do it is to create an account balance variable in your code and have EnterLong/Short signals enter a quantity such that you go "all in" when you trade. This will show you the compounded return through time of the strategy. If you are unfamiliar with code, I'm sure there are NinjaTrader strategies online with dynamic lot-sizing options, or just build it out in Excel.

A huge caveat here is that this assumes investing 100% with no stop-loss. Suicidal in the real world.

Quote from: Partinez on April 21, 2014, 06:12:06 PM

I'm not sure I understand the "mark-to-market PNL chart" point

Notice how my profit/loss chart shows the value of the account every single day but NinjaTrader only shows sharp, one-day adjustments to account balance? That's because I'm showing mark-to-market PNL: value the account every day based on the closing market price of the day and calculate return. This is what they do on the trade floor - your manager wants to know where you stand every day.

Quote from: Partinez on April 21, 2014, 06:12:06 PM

Finally, yeah, there was a >100% lose in a short trade, I'm posting the trade if anyone is interested.

Yeah, I see that now - shorting would have resulted in devastating losses. The way a hedge fund manager described it to me: "shorting a stock [BTC trades like a stock] is like playing Russian Roulette with 100 chambers - you'll make money 99% of the time, but the 1% will wipe you out". This is why I rarely short BTC or any individual stock - why expose yourself to the potential of infinite losses? The probability, no matter how remote, of total wipe-out mathematically removes your edge.

Quote from: Partinez on April 21, 2014, 06:12:06 PM

I'm still trying to get better history data but at least I got the strategy running. Thank you for the answer, I'm really learning a lot with this.

Definitely, glad you found it helpful.