Defining Commissions for backtests

[Dionysus]

I'm trying to figure out how to have it properly account for trade commissions costs during strategy backtests. The site says:

Note: Once commissions have been entered, they must be enabled before you will see any commissions being added. Please select the Tools menu within the Control Center. Select the Options menu item and in the Trading category check "Apply commissions to PnL calculations."


However, I don't see 'Apply commissions to PnL calculations' anywhere in my options/trading menu. . please advise!

Thanks much

[Dionysus]

This question also applies to 'slippage'. . . no matter what I set the slippage figure to, in my backtests, the results are the same. . I must be missing something, as it doesn't seem to be taking slippage into account at all presently.

Thanks

[NinjaTrader_Jason]

Hello Dionysus,

I do not see the 'Apply commissions to PnL calculations' either. I will clarify with development.

I could not reproduce the issue with backtests on my end. I created two Strategy Analyzer windows. One performed a backtest with zero slippage. The second Strategy Analyzer uses all the same settings except a Slippage of 1. I see different results between the two. Also when I set Slippage to 2, it is different from Slippage = 0 and Slippage = 1. Each time I increment the slippage, I see different results.

I used the SampleMACrossOver strategy in my backtests. Can you please check if you can reproduce the issue with the SampleMACrossoVer strategy.

[NinjaTrader_Jason]

Just to make sure we are on the same page, you are referring to backtests in the Strategy Analyzer, correct? Or do you right click a strategy in the Control Center-->Strategies-tab and you select Strategy Performance-->Historical?

[Dionysus]

Correct. . .

And you're right, the slippage DOES seem to be counted correctly, at least now (can't be sure what the issue was before, but I cannot reproduce it, and am fairly certain its not an issue). .

So the sole issue at this point remains the ability to add commissions to backtests in strategy analyzer. Very anxious to hear more regarding this, when you have further info. .

Thanks

[NinjaTrader_Matthew]

Correct. . .

And you're right, the slippage DOES seem to be counted correctly, at least now (can't be sure what the issue was before, but I cannot reproduce it, and am fairly certain its not an issue). .

So the sole issue at this point remains the ability to add commissions to backtests in strategy analyzer. Very anxious to hear more regarding this, when you have further info. .

Thanks

Commissions for both real-time executions and backtesting are centrally defined from the "Accounts" tab of the Control Center:

• Right click on the Sim101 account grid row, select "Edit Account"
• From the Account Properties window, there will be a "Commission" field, where you can select one of three default Commission templates, or you can define your own.
• Once you have associated a Commissions template on the account, these values will be used for backtesting in the Strategy Analyzer.
• From the Strategy Analyzer "Set up" section, make sure you have checked "Include commission".

Let me know if this does not work, or if you need help defining your own commissions if desired.

[Dionysus]

Worked!

Problem solved, thank you.

[Dionysus]

One final note, however. . you may want to alter your instructions a bit regarding setting up commissions. . I'm not seeing anything under the 'commissions' section of the help guide (http://www.ninjatrader.com/support/h....html?beta.htm) that echoes what you've just told me, which may well cause a slew of others to run into the same issue.

This is what 'beta' is for, of course! Thanks again.

[NinjaTrader_Jason]

Good to hear it worked.

Yes, our NinjaTrader 8 help guide is still under construction. Help guide items that have (WIP) listed still need to be finished.