• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Backtest Forex strategy: how to get pip or point values?

Collapse
X
  • Filter
  • Time
  • Show
Clear All
new posts

    Backtest Forex strategy: how to get pip or point values?

    Hi there,

    I'm backtesting a forex strategy and I would like to display in the Strategy Analyser the points or pips each trade made. With stock and futures you could select "Points" in the top of the screen, however with forex I get wrong results with that (or I'm doing something terribly wrong).

    Please see the attached screenshot which displays the results (in points) of a simple MA crossover backtest on the EURUSD, exported to Excel with the correct pips values besides it. How can I let NinjaTrader display these correct values?

    Please note:
    • This backtest was performed without commission or slippage;
    • This problem persists across different strategies and also happens with the 'sample strategies';
    • The incorrect point results don't change when changing the 'Point Value' in the Instrument Manager;
    • I receive no errors and the trades of the different strategies on the EURUSD are done correctly.

    If I use no position sizing (always buying or selling one euro) the Points values are correct; yet when I uses another position size than one the point values are incorrect. With a position size of 1 the Currency results are still wrong.

    Any suggestion would be highly welcome,

    Regards,
    Attached Files
    Last edited by J_o_s; 05-09-2011, 06:42 AM.

    #2
    J_o_s, this is unfortunately a current known limitation in the Strategy Analyzer, on our list to look into.
    BertrandNinjaTrader Customer Service

    Comment


      #3
      Thanks Bertrand, too bad but good to know that it's not due to some error.

      On a related topic, could you explain how NinjaTrader calculates the Currency profit in the Strategy Analyser? According to the help guide this is "profit * quantity * point value", but if I have an Euro account and backtest the USD/JPY, wouldn't that give an distortion of some kind? (i.e. shouldn't the profit be converted to the base currency to give accurate backtest results?)

      Thanks in advance for your answer,

      Regards,

      Comment


        #4
        With the multicurrency support in the Strategy Analyzer you unfortunately run into another limitation that's on our list - it would use USD here as currency. On the realtime PnL you see there would be a conversion applied according to current rates.
        BertrandNinjaTrader Customer Service

        Comment


          #5
          currency pips

          Has the limitation been fixed to figure out pips on the backtest of strategies

          Comment


            #6
            Hello Appiah29,

            Welcome to the NinjaTrader Support Forums!

            This is still a current limitation in NinjaTrader 7. Most likely this will not change until our next major release of NinjaTrader.

            Let me know if you have any further questions.
            JCNinjaTrader Customer Service

            Comment

            Latest Posts

            Collapse

            Topics Statistics Last Post
            Started by ericson, Today, 08:14 PM
            0 responses
            5 views
            0 likes
            Last Post ericson
            by ericson
             
            Started by user1986, Today, 07:28 PM
            1 response
            7 views
            0 likes
            Last Post user1986  
            Started by jertrade, Today, 06:57 PM
            0 responses
            5 views
            0 likes
            Last Post jertrade  
            Started by Emma1, Today, 02:42 PM
            1 response
            17 views
            0 likes
            Last Post NinjaTrader_DrewO  
            Started by fx.practic, Today, 03:10 PM
            1 response
            6 views
            0 likes
            Last Post NinjaTrader_Jesse  
            Working...
            X