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Partner 728x90

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weird statistics

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    weird statistics

    Hi,
    I tried to do few trades by hand jsut by reading charts on Market Replay Data and I do not understand the total statistics, especially the average trade. Please see the attachment's all sheets to verify what am I doing wrong. I have NT7 with those trades still open, so I can do whatever you ask me to try (and I did click generate once before I exported all the trades to all the sheets). Just compare the statistics with trades list. At least the color of few numbers is wrong if not anything else.
    Thank you
    N.
    Attached Files

    #2
    Hello nicknamed,

    'Average Trade' reflects your average profit from all trades in the report. It is calculated as follows.


    Currency
    SUM(profit * quantity * point value) of all trades / # of trades

    Percent
    SUM(profit * quantity / entry price) of all trades / # of traded lots

    Points
    SUM(profit * quantity) of all trades / # of trades

    where profit is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).


    Please see the link below for information regarding other statistics.
    http://www.ninjatrader.com/support/h...efinitions.htm

    Could you please tell me what exactly is reported incorrect and what value you expect to be reported.

    I do not see colors in the Excel file, however I do see cells marked by a green triangle in the upper left corner. Am I correct these cells are referred?

    'Total # of Trades' is marked and displays a value of 34 in the Summary-tab. The Trades-tab displays the same amount. The division between long and short trades is reported the same in both tabs as well.
    JasonNinjaTrader Customer Service

    Comment


      #3
      The colours are wrong, the average trade is red while it should be black, see the attachment, it is confusing, why is it red? You do not have to explain me how it is calculated.
      One more thing, please explain me why the MAE and MFE is zero for the last trade. Should not be MFE equal the profit in case there was no intra-trade drawdown?
      I saw that many times when testing my automated systems having large profits and losses while having zero MFE and MAE and that would interest me a lot why is that so.
      N.
      Attached Files
      Last edited by nicknamed; 04-26-2011, 08:32 AM. Reason: adding attached image

      Comment


        #4
        I see, thank you for clarifying. I tested some reports on my end and noticed the following. When the report is set to Points it can display a negative value for 'Average Trade', while set to Currency or Percent it reflects a positive value. Subsequently, the value is displayed in red. Can you please set your reports to Points and check if a negative value is reflected for 'Average Trade'.

        The Excel file does not display any values for MAE and MFE.

        MAE = worst price trade reached – entry price

        The worst traded price must be the same as the entry price. After you entered the market, price did not go above 120.844.
        JasonNinjaTrader Customer Service

        Comment


          #5
          yes, it is negative, see the attachment, weird, right?

          regarding MAE and MFE, see the attachment, it is a screenshot from NT7, values are zero for currency, percent and points view. That is what I would like to have explained.
          Thank you
          Attached Files

          Comment


            #6
            Could it be you moved the slider in the Market Replay control window or did you use the 'Go to' function (right click Market Replay control window)? As a result, no higher or lower real-time data than 120.843 was received to calculate MAE and MFE?

            If not, please try repairing the database. Please go to Control Center-->Tools-->Options-->Data-tab and click Repair DB. Subsequently generate a new report and check if MAE or MFE data is reflected.
            JasonNinjaTrader Customer Service

            Comment


              #7
              No, i did not move the slider or did anything weird, jsut traded, sometimes faster, sometimes 1x, but nothing else. Well, there was a trade, so there had to be different prices, and I can see them on chart, jsut I think, if NT does not skip some price levels if moving 500x, maybe that is too fast for NT. My guess. otherwise, still not sure, I can send you more trades to debug where it is MAE and MFE zero with different values of profit or loss.

              Comment


                #8
                Do you notice any consistencies between the trades that do not have MAE or MFE reflected?

                Am I correct the last trade in the screenshot was generated by an automated strategy? Could it be all other affected trades were generated by the same strategy?

                I ran the SampleMACrossOver strategy on 1 day of Market Replay data at 500X speed. Subsequently, I generated a report and it reflected MAE and MFE values for each trade.

                If you right click the last trade in your screenshot and select 'Chart', does the data in the chart justify the zero MAE and MFE?
                JasonNinjaTrader Customer Service

                Comment


                  #9
                  somehow the token expired, so I have to write it again....damn

                  what do you mean by consistencies? you mean regularity? no...it happens randomly

                  no automated strategy was used in the attached list, only limit orders put by hand in the market.

                  I am not sure what to look for on the MAE and MFE, I jsut know, it happens quite often when I run my automated strategies, I just did not care before, but now by hand I guess at least one value should be non-zero, right? what would be the values of MFE and MAE be, if the trade happened just during the following tick?

                  Comment


                    #10
                    btw. the zero MFE and MAE happened to me again today (again, by hand inserted limit orders only), after restart of whole computer from yesterday...again all by hand, but only when it was running faster than 1x (but for sure not when it was on 500x - I did not use that speed today) .
                    btw2. you have access to Market Replay Data from that day, you have trade entry and exit times, you know what to look for, it will take you only 2-3 minutes....about the same time you will be explaining that to me what to look for...
                    Last edited by nicknamed; 04-27-2011, 10:55 AM.

                    Comment


                      #11
                      Yes, I refer to regularities between trades that incorrectly reflect a value of zero for the MAE and MFE.

                      Yes, at least one value should be non-zero. If both values are zero, it indicates NinjaTrader does not have data between the entry and exit order, since that data set is used to calculate the MAE and MFE. So can you please right click the trade in the Trades-tab and select 'Chart'. Do you see data in the chart between the entry and exit order that should cause a non-zero MAE or MFE?

                      I tested it again using manually submitted limit orders, however I cannot reproduce it on my end. I tried Market Replay data I already had (4/13/) and yesterday's Market Replay data I downloaded today.

                      What NinjaTrader version do you currently have installed? You can check this at Control Center-->Help-->About.
                      Attached Files
                      JasonNinjaTrader Customer Service

                      Comment

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