Higher Net Profit with Lower Cumulative Profit

[usuallywin]

Hi,

When I run the optimization, I get entries with higher net profit and lower cumulative profit. It usually happens when the number of traders is significantly different.

The attached photo is sorted by net profit and you can see that the cumulative profit varies. I would expect it in descending order as well.

Is it something expected or is it a bug? I cannot think of the possible reasons.

Thanks

[NinjaTrader_Matthew]

Hello,

I would to see more of the results to help you calculate, but here is the forumla for Cumlative Profit in Percent:

PRODUCT(1 + profit / entry price) of all trades - 1

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).

You can see the formulas for all of the static definitions form the following link:

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

[usuallywin]

The formula makes perfect sense to me. Just that I don't understand why the net and cumulative profit are uncorrelated.

To my understanding, without commission, it is: net profit = principal * cumulative profit

[NinjaTrader_Matthew]

Net profit will be = Gross Profit (SUM(profit * quantity) of all winning trades
) - the Gross Loss (SUM(loss * quantity) of all losing trades)

[usuallywin]

I understand that it is how the system calculate the net profit but the cumulative profit should not jump up and down when the results are sorted in order by net profit, as shown in the attachment. Yes?

[NinjaTrader_Matthew]

This is going to depend on the number of trades that are made. I can't see that from your screen shot, but it would be expected to see a discrepancy in the total net profit vs cumlative profit depending on the number of trades and their respective entry price.