Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Profit & Loss fluctuations not seen, wrong daily computation

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

    Profit & Loss fluctuations not seen, wrong daily computation

    Hello,

    I am new to this forum, currently on a trial version, testing both close-to-close and intraday strategies on stock and Futures.

    I unsuccessfully tried to find an answer to my question in the forum, but maybe I missed it somewhere, in this case I apologize in advance.

    I don't understand the logic of the profit & loss computation in the Strategy Analyzer, on the Graphs tab as on the Trades tab. I think the core information about the profit & loss evolution over time is missing.

    Let's take a very simple example with a stock quoting $1.00 at the begining of the year and going up $1.00 each trading day of the year.

    So:
    on January 1st 2012: Buy 1 share of AAAAA @ $1
    on December 31st 2012: Sell 1 share of AAAAA @ $250
    and each day between those dates, you make $1 profit.

    On the Graphs tab and on the Trades tab, you will see nothing between those dates, but you will see a profit of $249 on December 31st on the Trades tab, as well as a huge gap of $249 on the graph, concentrated on December 31st.
    The rest of the graph from January 1st to Decemvber 30th will be completely flat, which is illogic.

    When you manage a portfolio, you have to monitor your PnL in real time.
    So when backtesting a strategy, you should be able to monitor the PnL on a day-to-day basis (in a better world, we should even be able to zoom on a minute-by-minute or tick-by-tick period).

    So my question:
    - am I missing something in the set up of my NT7?
    - or is it a well-known bug?

    The current way of interpreting the PnL as it appears on my screens is useless and could even be dangerous as it does not represent at all the way your strategy will fluctuate while it is run in real time.

    Many thanks in advance for your help.

    Regards.

    #2
    Hello,

    The performance reporting is based off of executions. In your example, the trade is not realized until the second execution.

    When you're trading live, there is Unrealized PnL that is tracked and can be monitored on a day by day basis.

    If you want this information during backtesting, you can always call the GetProfitLoss() method to print the unrealized PnL until the trade is closed:

    http://www.ninjatrader.com/support/h...profitloss.htm
    MatthewNinjaTrader Product Management

    Comment


      #3
      Thanks Matthew for your prompt answer.

      I agree with you that the GetProfitLoss() function is useful, but when you backtest hundreds of stocks at the same time, you need to see the evolution of the PnL at a glance in one graph (this is also true though for a single instrument!).

      This is really practical. In my example, everyone could see at a glance that you are regularly winning money everyday throughout the year.
      Instead of that, with the current graphs, you think that you are making a lot of money one day at the end of the year.

      I am really surprised that no one has ever asked for this development as, to me, being able to graphically see your strategy's marked-to-market performance over time is a key point.
      You don't manage your portfolio the same way if you have no indication of your marked-to-market performance.

      Once I am a full-licenced member, if anyone agrees with that point, I would be happy to see this developement being processed. I have been trading in investment banks for 13 years now, and I must admit this is the first time I see such a graphical way to analyse PnL.
      I will have by that time to graph everything by myself, which is not user-friendly. The best for a trader is to concentrate on the cores of the strategies, not to spend time programming graphs!

      Thanks again,

      Regards.

      Comment


        #4
        Hello,

        Thank you for sharing your ideas to make NinjaTrader even better. I am submitting this as a feature request to our development team. Once it has been reviewed, I will update this thread with a tracking ID.

        Currently, it would be possible to create your own graph in a chart using the Plot method to display your unrealized PnL during your backtest.
        MatthewNinjaTrader Product Management

        Comment


          #5
          Your suggestion has been placed into our system with ID# 1246.
          MatthewNinjaTrader Product Management

          Comment


            #6
            Thank you. By the meantime, I will try your solution by using the Plot method.

            Comment

            Latest Posts

            Collapse

            Topics Statistics Last Post
            Started by BullyWig Trader, Today, 06:30 AM
            0 responses
            2 views
            0 likes
            Last Post BullyWig Trader  
            Started by Don22Trader1, Yesterday, 04:20 PM
            1 response
            21 views
            0 likes
            Last Post NinjaTrader_PaulH  
            Started by ginx10k, Today, 05:49 AM
            1 response
            7 views
            0 likes
            Last Post NinjaTrader_Manfred  
            Started by Goldy, Today, 04:00 AM
            0 responses
            20 views
            0 likes
            Last Post Goldy
            by Goldy
             
            Started by Betican, Today, 12:32 AM
            0 responses
            23 views
            0 likes
            Last Post Betican
            by Betican
             
            Working...
            X