Error in Strategy Analyzer reports

[bluelou]

I'm testing a strategy where the order sizes are variable. The Strategy Analyzer appears to be fixed at a constant quantity per trade, which renders the reporting results nearly useless for my strategy. It should be pretty simple to display the Strategy Analyzer stats on based on (price * qty per trade).

Is there an option that I can select that will allow variable order quantities or can this be fixed in a forthcoming version of NT?

[NinjaTrader_JoshP]

The stats are already shown in price * quantity. If your trades are constant quantity then that is what will be displayed. If you want different order sizes you need to submit the other sizes.

[bluelou]

Josh,
My reporting stats are definitely not P*Q. That's the reason for my posting. I just sent a Strategy Analyzer report to your attention at the support e-mail address. Just look at the 'Trades' tab and contrast the Quantity and Profit columns. Let me know what can be done to fix this.

Just so there's no confusion, I'll type out the 1st 3 trades in the report:
1) Long 2 AUDJPY Entry 74.42 Exit 75.89 Profit 1.98%
2) Long 1 AUDJPY Entry 74.42 Exit 75.89 Profit 1.98%
3) Long 2 AUDJPY Entry 74.42 Exit 76.83 Profit 3.24%

We can see that the Profit % is correct only for trade #2. I want the profit for trades #1, and #3 to reflect the different quantities. That's what I'm trying to test for.

Thx for your attention,
Lou

[NinjaTrader_JoshP]

You can't look at the Trades tab. You need to look at it on the Executions tab.

[bluelou]

That's ridiculous. What do you mean I can't look at it on the Trades tab? What's the point of the Trades tab if I can't look at it? The stats on the Summary tab are also wrong. Should I not use the Summary tab? Or better yet, why use NinjaTrader at all?

[NinjaTrader_JoshP]

Incorrect. You need to look at the Executions tab because you could have had partial fills at DIFFERENT prices for the trade. The Trades tab gives you average fill prices.

Profit is calculated by this: http://www.ninjatrader-support.com/H...tedProfit.html

According to that article, I see you are using percent mode and the percent mode calculation in fact does not entail quantity. It is purely price.

[bluelou]

Josh,
Your last point makes sense but that's not what's happening here. There aren't partial fills and the Trades tab calculates profit as if there is only 1 contract in every instance.

Also, in the 2nd report that I sent you, on the Summary tab, the cumulative profit = +247 bps and on the Trades tab cumulative profit is reported as +602 bps. I calcluate +730 bps. I can figure out the flawed logic of the Trades tab but I have no idea where the Summary tab # is coming from. Please explain how there can be 3 different cumulative profit #'s.

-Lou

[NinjaTrader_JoshP]

Lou,

The calculations for Cumulative Profit was in the link I posted to you earlier. You decide the mode of calculation you want to use and follow that formula for all your trades and you will find accurate results.

[bluelou]

Please use any of the methods in the link you posted to show me how to get to the +247 bps cumulative profit on the Summary tab in the 2nd e-mail I sent you.

[NinjaTrader_JoshP]

Lou,

I do not have any of your emails. Regardless, I assure you the calculations are accurate. You can try with a simple strategy that makes only 2 trades and run the math yourself. Trade with a single contract to simplify your calculations.

[bluelou]

Josh,
You haven't even looked at the files I've sent you and I should be assured that my math is wrong? Thanks for wasting my time.

Lou

[NinjaTrader_JoshP]

What I have is your Trades tab and I have already looked at it. No Summary tab email was ever received.

I will run through the first two trades for you and show you the math.

Trade 1
entry = 74.42
exit = 75.89

Trade 2
entry = 74.42
exit = 75.89

Calculation mode = percent
Percent: PRODUCT(1 + profit / entry price) of all trades - 1

Trade 1 profit = 75.89-74.42 = 1.47
1 + 1.47 / 74.42 = 1.0197527546358505778016662187584

Trade 2 profit = 75.89-74.42 = 1.47
1 + 1.47 / 74.42 = 1.0197527546358505778016662187584

Then we take those results and get a product of them.
1.01975 * 1.01975 = 1.0398900625

1.0398900625 - 1 = 0.03989 = 3.99% <-- The exact value shown in the Cumulated Profit column at the second trade. So yes, I assure you the calculations are correct.

[bluelou]

Josh,
Yes, that much is correct if we ignore the quantities. But, I want the return results with the quantities included. How do I get the Trades tab to reflect the quantities? Also, I can't get close to the "cumulated profit" # on the Summary page. I've tried a couple of different way but I can't get to +247 bps. Show me how to get to +247 bps.

Lou

[NinjaTrader_JoshP]

I have no idea what your bps terminology is. Furthermore, it has already been confirmed that Percentage mode does not use quantity in its calculations. On top of that I do not have your summary tab.

As stated, just try with a simple strategy that takes only two trades. I am not going to go through all the iterative calculations by hand to get values for the summary tab. The value in the Summary tab is no different than the Cumulated Profit values in the Trades tab. Just check them. Look at the last value in the Trades tab and the Summary tab value. 100% match.

[bluelou]

Josh,
bps is basis points. 1 bps = 1/100 of 1%.

I'll try to make this clear one more time: The Trades tab shows a cumulative profit of +6.02% and the Summary tab shows a cumulative profit of +2.47%. I'm trying to account for this difference and I don't see why quantities aren't included in the report.

-Lou