backtesting futures

[nicknamed]

During backtest of futures contract, when the loss might be more than margin, is the contract liquidated and loss in the trades is equal to margin size?
N.

[NinjaTrader_Brett]

Hello,

Thank you for your forum post.

When you run out of margin no more trades will be accepted. Your position will not liquidate as it might in a live situation with some brokers. You simply would no be able to place another order until you are back under the margin limit or your reset the simulator account.

Resetting a simulation account will clear all historical trade data from this account. Please follow the instructions below to reset a simulation account.
From the NinjaTrader Control Center window select the menu Tools > Options
Select the "Simulator" tab
Press the "Reset" button


Let me know if I can be of further assistance.

[nicknamed]

Please explain me how Performance is calculated - see the attachment to see what Performance I mean. I saw many times that it is equal to Sharpe, but also many times when this is not equal to Sharpe... and in help I did found nothing at all.
N.

[NinjaTrader_Brett]

Hello,

Performance looks to be Profit Factor as these 2 numbers always match.

http://www.ninjatrader.com/support/helpGuides/nt7/statistics_definitions.htm

Let me know if I can be of further assistance.

[nicknamed]

No, it has to have different equation, as sometimes it is equal to profit factor, sometimes to sharpe and sometimes it is totally different from those two.

I am saying that I have seen results, when Performance was -0,05, Sharpe 0,85 and Profit Factor 2,55.

[NinjaTrader_Brett]

Hello,

Thank you for your patience I am looking into this.

[NinjaTrader_Brett]

Hello,

The performance value is what you optimize for in the optimization settings for Optimize on. If your optimizing on Profit Factor (Default Setting) then this will be profit factor.

Let me know if I can be of further assistance.

[nicknamed]

I see, then when I optimized on drawdown it made sense that the value was negative while other statistics was fine. Thanks a lot. The less stress, the better!

[nicknamed]

margin, futures contracts backtesting and position liquidation

Brett,
you previously wrote "When you run out of margin no more trades will be accepted. Your position will not liquidate as it might in a live situation with some brokers. You simply would no be able to place another order until you are back under the margin limit or your reset the simulator account."
BUT that is not true. So it is not behaving even as in the bad solution to margin treatment and backtesting you indicated.

Please see the attached image and tell me how can I simulate reality in backtest when my script allows that (it trades for bar open for market on highly liquid markets and it does not use stoploss or profit target - that would distort backtest results from reality).

I need (and I think I am not the only one who would like to have reality-close tests on futures contracts) NT7 to liquidate position when the margin level has been reached, with this option enable, the futures backtesting would be very simple. Now it is simply not useful at all. By default there is margin zero for each commodity in NT7, do not change that, just add in the Simulator options a boolean option to Liquidate position when margin is reached (adjustable to true) and let the user to set there themargin value of his/her broker.

Only then your futures contracts backtests can get closer to reality.
Thank you
N.

[NinjaTrader_Brett]

Hello,

I will send this suggestion into development.

Thank you for your suggestion and feedback it is valued and we do use user feedback to make NinjaTrader a better product.

[nicknamed]

currencies

Brett,
are you aware how testing on currencies work? If I set specific margin, if I am gonna get the same useless results as for futures contracts? Just an idea if it works the same way or if I can test at least on currencies.
N.

[NinjaTrader_Brett]

Hello,

Margin works the same on all instument types. Once you are out of margin no more orders will be accepted and you'll get an error indicators you are out of margin on the account.

Let me know if I can be of further assistance.

[nicknamed]

That is clear to me, I meant if the position runs negative beyond margin size, if the position will be automatically liquidated or not as it is with futures.

[NinjaTrader_Brett]

Hello,

There is no auto liquidate built into the NinjaTrader simulator at this time off of margin.