NinjaTrader Support Forum cumulative profit and max drawdown in percent
 User Name Remember Me? Password
 NinjaTrader Register FAQ Members List

 Platform Technical Support General platform technical support for NinjaTrader 7.

 Thread Tools Display Modes
 08-15-2010, 11:30 PM #1 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts cumulative profit and max drawdown in percent Hi, What amount does the results from a strategy analyzer displayed in percent (as opposed to currency) refer to. I can't seem to find what number the percent results refer to. So, for example, if the max drawdown is 4.10% and and the cumulative profit is 4.75%, what initial investment is NT7 assuming? In currency display, there doesn't need to be an initial investment stated to see how much money the program profits and draws down, but what does the percent display go on? I read the description in the help guide but I don't under stand how the percent drawdown can be the same when starting the analyzer from way before the max drawdown in cumulative profit and when starting it right before the max drawdown in cumulative profit. So if I start the analyzer so that the cumulative profit reaches 10,000 and then the drawdown is 1,000 making the cumulative profit 9,000, the strategy analyzer doesn't seem to show the percent drawdown any different from if I started the analyzer so that the cumulative profit only reaches 2,000 in cumulative profit before the drawdown happens. How does it calculate the percent profit and percent drawdown? Thank you very much. Last edited by werido; 08-16-2010 at 04:25 AM.
 08-16-2010, 06:07 AM #2 NinjaTrader_Jason NinjaTrader Customer Service     Join Date: Aug 2007 Location: Netherlands Posts: 15,228 Thanks: 245 Thanked 1,076 times in 1,045 posts Hello werido, Max. Drawdown will be calculated as per the maximum/minimum amount of funds you have in your account. It will be calculated the same for percent and currency. Please see the link below under 'Understanding Max. Drawdown'. http://www.ninjatrader.com/support/h...efinitions.htm You can find how Cumulated Profit is calculated under 'Understanding Cumulated Profit'. JasonNinjaTrader Customer ServiceUse Kinetick, NinjaTrader’s preferred market data service - Learn MoreFree online training events - View Schedule
 08-16-2010, 12:01 PM #3 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts I'm just backtesting, there are no funds in that unless....is there a default amount that NT7 uses for initial investment when backtesting? I notice in the trades column of the strategy analyzer results that even the first trade shows a percent profit/loss. But what is that based on? How can a first profit of \$300 be 1% if there is no initial amount? Thank you.
 08-16-2010, 12:25 PM #4 NinjaTrader_Jason NinjaTrader Customer Service     Join Date: Aug 2007 Location: Netherlands Posts: 15,228 Thanks: 245 Thanked 1,076 times in 1,045 posts Hello werido, The Max. Drawdown will use the highest Cumulative PnL - lowest Cumulative PnL during backtesting. Check the Trades-tab in the Strategy Analyzer and set it to Currency or Points. Get the higest positive Cum. profit and deduct the highest negative Cum. profit to get the Max. Drawdown. It does not seem to use a default initial amount - when I test different backtests, I calculate a different account cash value each backtest. JasonNinjaTrader Customer ServiceUse Kinetick, NinjaTrader’s preferred market data service - Learn MoreFree online training events - View Schedule
 08-16-2010, 12:30 PM #5 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts I know, I understand the currency value, but the % setting doesn't make sense to me yet. How can the first profit/loss be a percent increase/loss? What is that value the percent of?
 08-16-2010, 12:38 PM #6 NinjaTrader_Jason NinjaTrader Customer Service     Join Date: Aug 2007 Location: Netherlands Posts: 15,228 Thanks: 245 Thanked 1,076 times in 1,045 posts It uses the Backtest account - unfortunately it is unknown what funds it will hold and cannot be configured. JasonNinjaTrader Customer ServiceUse Kinetick, NinjaTrader’s preferred market data service - Learn MoreFree online training events - View Schedule
 08-16-2010, 12:41 PM #7 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts Well how can I compare which strategy has a better drawdown using the percent? What does that value mean? Is it just total randomness?
 08-16-2010, 12:44 PM #8 NinjaTrader_Jason NinjaTrader Customer Service     Join Date: Aug 2007 Location: Netherlands Posts: 15,228 Thanks: 245 Thanked 1,076 times in 1,045 posts Yes, I suggest to use the Points or Currency value as per Max. Drawdown. JasonNinjaTrader Customer ServiceUse Kinetick, NinjaTrader’s preferred market data service - Learn MoreFree online training events - View Schedule
 08-16-2010, 12:46 PM #9 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts But the percent value is consistent every time I run the backtest for that same strategy. So it can't be completely random if it's consistent like that
 08-16-2010, 12:53 PM #10 NinjaTrader_Jason NinjaTrader Customer Service     Join Date: Aug 2007 Location: Netherlands Posts: 15,228 Thanks: 245 Thanked 1,076 times in 1,045 posts Yes, I see. However if you backtest a different instrument with the same strategy - do you notice a difference? JasonNinjaTrader Customer ServiceUse Kinetick, NinjaTrader’s preferred market data service - Learn MoreFree online training events - View Schedule
 08-16-2010, 01:06 PM #11 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts yes, I get a completely different percent drawdown when using the same parameters and strategy on a different instrument. Please help me understand where the percent comes from. How can it be consistent every time if it's based on a random initial capital?
08-16-2010, 02:49 PM   #12

Join Date: Jun 2009
Location: Denver, CO
Posts: 3,149
Thanks: 10
Thanked 94 times in 83 posts

weirdo, I believe the percent values from the backtester are based on the trade's performance. If it is a long trade, the calculation is as follows (exit price - entry price) / entry price * 100 = % gain/loss.

Please see the attached screenshot for how I verified this. The entry for a long trade was 80.86 and the exit was 81.14 for a profit of 0.35%
Code:
`(81.14-80.86) / 80.86 * 100 = 0.3462%`
0.3462% rounds to 0.35%, and for the second (short) trade:
Code:
`((81.15 - 81.23) / 81.15) * 100 = -0.0985828712%`
-0.0985% rounds to -0.10%.
Attached Images
 trades.PNG (7.3 KB, 35 views)
Last edited by NinjaTrader_Austin; 08-16-2010 at 03:03 PM. Reason: clarify second calculation

 08-16-2010, 03:21 PM #13 werido Senior Member   Join Date: Oct 2009 Posts: 157 Thanks: 4 Thanked 0 times in 0 posts Thank you very much!
 08-16-2010, 03:56 PM #14 NinjaTrader_Austin NinjaTrader Customer Service     Join Date: Jun 2009 Location: Denver, CO Posts: 3,149 Thanks: 10 Thanked 94 times in 83 posts You are very welcome. Please let me know if you have any other questions. AustinNinjaTrader Customer ServiceUse Kinetick, NinjaTrader’s preferred market data service - Learn MoreFree online training events - View Schedule
 10-16-2012, 06:13 PM #15 Robertp75 Member   Join Date: Sep 2010 Posts: 61 Thanks: 23 Thanked 0 times in 0 posts cumulative profit Hi Austin, I wonder if the the figure "Cumulative Profit" is the determining figure for considering the "real" return in percentage of a backtest strategy as there is no indication to calculate the return using the "Total Net profit" because of a missing reference parameter (e.g. buying power, account size). How does the "Cumulative profit" is defined or better calculated or in other words is the "Cumulative Profit" a significant figure regarding the performance of the backtest? Many thanks. Cheers! Rob

 Thread Tools Display Modes Linear Mode

 Posting Rules You may not post new threads You may not post replies You may not post attachments You may not edit your posts BB code is On Smilies are On [IMG] code is On HTML code is Off Forum Rules
 Forum Jump User Control Panel Private Messages Subscriptions Who's Online Search Forums Forums Home News and Announcements     News and Announcements NinjaTrader 8     Platform Technical Support     Add-On Development     Indicator Development     Strategy Development NinjaTrader 7     Platform Technical Support     General Development     Indicator Development     Strategy Development NinjaScript File Sharing     NinjaScript File Sharing Discussion     Version 8 Add-Ons     Version 8 Indicators     Version 8 Strategies     Version 7 Indicators     Version 7 Strategies     Version 7 Miscellaneous NinjaScript Educational Resources     Reference Samples     Tips Suggestions and Feedback     Suggestions And Feedback Historical Beta Archive     Version 8 Beta

 Similar Threads Thread Thread Starter Forum Replies Last Post Anagoge Platform Technical Support 8 01-19-2014 11:16 AM FatCanary Platform Technical Support 2 08-04-2010 05:25 AM ctrlbrk Platform Technical Support 4 04-26-2009 11:43 AM unSane Platform Technical Support 5 01-09-2009 09:33 AM

All times are GMT -6. The time now is 10:41 PM.

Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. View Full Risk Disclosure.

CFTC Rules 4.41 - Hypothetical or Simulated performance results have certain limitations, unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.