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WalkForward results and Commissions

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    WalkForward results and Commissions

    Hello:

    I have three questions about Walk Forward Optimization:

    1.- Should I deduce the COMISSIONS results from the TOTAL NET PROFITS results in a Walk Forward Optimization or are the commissions automatically deduced?

    2.- Why are commissions deduced TWICE in each trade?. I only pay ONCE for trade. I have set the commissions parameter as 4/1 (four dollars per 1 contract). I can see in the results pane how the Commissions colum contains double the commissions.

    3.- Does the SLIPPAGE set to 1 in the Walk Forward Optimization means that if my Take Profit target is set to 8, in fact I only get 7 ticks in profit?. What about the Stop Loss set to 4 ticks?.

    Thank you very much.

    #2
    Originally posted by banteka View Post
    ...

    2.- Why are commissions deduced TWICE in each trade?. I only pay ONCE for trade. I have set the commissions parameter as 4/1 (four dollars per 1 contract). I can see in the results pane how the Commissions colum contains double the commissions.
    They are not. Commissions are set per side, not per round trip.

    Comment


      #3
      Hello banteka,

      Thank you for your post.

      1. The commissions are deducted from the profit calculations when you go to Tools > Options > General > Apply Commissions to PnL Calculations > OK. Then Generate the report in Account Performance again.

      2. Commissions are per side and not round trip.

      3. Slippage effects historical backtests as it can help to attribute to a more realistic fill for trades. This also largely effected by the Historical Fill Processing Type selected (Default or Liberal). For information on slippage please visit the following link: http://www.investopedia.com/terms/s/slippage.asp

      For your Profit Target question on slippage, Limit orders are not effected by slippage in historical backtest results.

      Please let me know if you have any questions.
      Patrick H.NinjaTrader Customer Service

      Comment

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