Percent of what?

[lookOutBelow]

On the Graph tab, in SA. When you have "percent" selected. What is this a percent of?

For instance. If after a year of backtesting a strategy. It tells me my cumulative profit is 80%. That is 80% of what?

Thanks

[NinjaTrader_Brett]

Hello,

Its not percentage of your account. Its percentage Up/Down of the instrument that was traded.

Let me know if I can be of further assistance.

[lookOutBelow]

How is that calculated? I'm just trying to get an idea of where that number is coming from.

thanks

[NinjaTrader_Brett]

Hello,

Please see the page:

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

Understanding Cumulative Profit

Let me know if I can be of further assistance.

[zheka]

Hi, Brett,

sorry, but what one can see as "Percent" returns should -at least in terms of a shape of the equity curve - be consistent with the Dollar and Point returns...right?

When I run a strategy and see the resulting Equity curve in Dollars or points - its correct and its easy to verify its correctness.

When I just switch to the Percent view, I normally see a smooth, exponentially growing line...almost irrespective of how it looks in dollars or points...something is clearly, obviously wrong here, and still questions in this topic are directed to the Manual.

BUT THE PERCENT RESULTS ARE WRONG EVEN ACCORDING TO THE MANUAL!

Please, let's investigate...

Thanks,
Evgeni

[NinjaTrader_Brett]

Hello,

Thanks for the note.


You said this:

sorry, but what one can see as "Percent" returns should -at least in terms of a shape of the equity curve - be consistent with the Dollar and Point returns...right?

Actually this is not the case with NinjaTrader Percent mode. As this is not the percent of your Dollars earned or Points earned. As percent mode has no relation to this.

Percent mode works off the bases of the Percent up down of the instrument itself. Not of your dollars made or gained from the account.

On stocks. Percents will always work, and this is what it is meant for. On Futures and forex with will not be the case. As 1% of the ES contract is 12 points which is 48 ticks.

So a 1 percent move in the ES would equal $600.00 on one contract.

However if you then trade the NQ for example there is no conversion here. You get pure percentage data.

1% of the NQ is 27 points. Which is 108 ticks, which at 10 dollars per tick is $1080.

Therefor in this scenario, pure percentage mode can be different then what you expect on futures and forex.

Such an account performance report generated on this data would show 2% gain over two trades, 1 % each.

However your Dollar report would look really different and non-uniform. Since one trade is $600 dollars and the other trade is $1080 dollars. The Dollar curve would be a huge increase on the second trade. Wheras the percent curve would be exponential.

Let me know if I can clarify something else.

[zheka]

Brett,

Still - as I said - the SHAPE of the curve should be the same....more or less...

If I see a sequence of trades, leading to a drawdown and then recovery, it should look similarly in both dollar, point and percent mode...yes, the depth, the steepness can be different, but a losing trade is a losing trade and a percent equity curve should go DOWN, not up!

And when I test on FX and futures, the Percent equity curve looks like a creature of its own..bearing no resemblance whatsoever to dollar/point curves and all the time exponentially growing...

thanks
Evgeni

[NinjaTrader_Brett]

Hello,

Actually this is not the case in percent mode Unfortunaley and as such this is what you see. As percentages have no relation if you trade different contracts.

Now if you only traded one contract this would be a different story and I would expect them to look about the same.

Let me know if I can be of further assistance.

[zheka]

Yes, I am getting this strange-looking Percent equity curve when backtesting with 1 contract on FX or Futures!!

[NinjaTrader_Brett]

Hello,

I didnt say with one type of instrument such a forex or futures.

I mention you would need to only generate a report for the ES 03-11 contract for example.

If you generate a report with the ES 03-11 and the NQ 03-11 and you had trades on both I would expect this to occur.

[zheka]

Yes, this is when backtesting with 1 contract on 1 instrument.

[NinjaTrader_Brett]

Hello,

Can you post a screenshot of both views please.Currency and Percent.

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CRTL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.


I look forward to assisting you further.