Including Commission in Total Net Profit

[TJP01]

Hi,

How do I get Commission to be included in Total Net Profit during an optimization?

So, If I am optimizing based on max net profit, parameter combinations that result in excessive trading would be duly penalized.

Thanks for your help!

[NinjaTrader_Joydeep]

Hello TJP01,
Welcome to the forum and I am happy to assist you.

To include commission in optimization please follow the below steps.

• In Control Center menu bar goto Tools>Options..
• In the Options dialog click on the Commissions tab.
• Click Futures-Simulator (if you are backtesting/optimizing futures) and define a commission level.

Please refer here to know more about it.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?commission_tab.htm

While backtesting/optimizing please make sure to set the field Include commission to true from the strategy parameters dialog.

Please let me know if I can assist you any further.

[TJP01]

I have already set the commissions tab, and the commissions are being calculated and included in the performance report.
However, it appears that the commissions are not being taken into consideration when the optimizer ranks and saves the results. So, for instance, if two runs have similar net profits, but vastly different commissions, the optimizer may choose the wrong one...

[NinjaTrader_Joydeep]

Hello TJP01,
Profit factor is calculated based on gross profit / gross loss. Commission is not taken into consideration while calculating gross profit/loss.

Please refer here to know the statistical definitions which are used by NinjaTrader to calculate the various matrix.

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