Cumulative profit calculation

[bagzi]

Hello,

I have a question regarding how % cumulative profit is calculated in the Strategy Analyzer report. I found on your website, that it is calc by formula :

Currency: SUM(profit * quantity * point value) of all trades
Percent: PRODUCT(1 + profit / entry price) of all trades - 1

Now, i understand that for currency you only sum the result of the trades, but for % im not sure what it should be divided with? I tried to sum the individual percentages from each trade, but at the end it gives a very different result than what the NT is showing. So can someone explain what to divide the cum profits with in order to get % that you are showing?

Thanks

[NinjaTrader_Jason]

Hello bagzi,

Please see the information below.



Cumulative profit
This statistic returns a value representing a summation of all the profits earned by all your trades. It can be interpreted as a performance measure for your strategy.

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

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

Points
SUM(profit * quantity) of all 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).

[bagzi]

Hi Jason,

yes, i saw the formula, nut im asking what do you divide the sum of cum. profit to in order to get the percentage. Because the sum of individual percentage does not match. Meaning what dop you take for entry price in formula for percentage?

[NinjaTrader_Jason]

Does it match if you divide the accumulated percentage by the amount of percentages you accumulated?

[bagzi]

Im not sure what you are asking.

When i sum the individual percentages, i get 10 times smaller cum profit expresed in % than what the program is reporting. So in currency, cum profit is OK, but when i get that final number i don't know what do you divide it with to get the percentage number. According to my calc the % is not correct. I am assuming that i am wrong therefore the question...

[NinjaTrader_Jason]

Can you please save the backtest results and send me your database so I can test it on my end. Instructions to save results can be found at the link below.

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

Subsequently, go to Control Center-->Help-->Mail to Support in NinjaTrader. Put 'Att Jason, Cumulative profit calculation' in the subject field and enable 'Database file'.

[bagzi]

Can you tell where is this file saved? And what exactly i am sending you here? I saved it but cant seem to find the file..

[NinjaTrader_Jason]

The results are saved in the database which can be found at the location below.

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->NinjaTrader.sdf

It could be Windows lists the file as "SQL Server Compact Edition Database File" as well.

[koganam]

Hi Jason,

yes, i saw the formula, nut im asking what do you divide the sum of cum. profit to in order to get the percentage. Because the sum of individual percentage does not match. Meaning what dop you take for entry price in formula for percentage?

The entry price of trades is not fixed, so the only way to calculate the overall percentage profit is to go back to the basics of percentage calculations.

PercentProfit = 100 *  Total Profits/(TotalSumOfForEachTrade(EntryPrice * EntryQuantity));

i.e., you have to calculate TotalProfits and TotalInvestmentCosts and then do the division.

[bagzi]

I got the explanation in an email, the % cum profit takes reinvesting into calc. Thank you both.

[fercho]

"the % cum profit takes reinvesting into calc."

is there any way the % cum profit DON'T takes reinvesting into calc.?

[NinjaTrader_Bertrand]

fercho, that's correct in understanding and nothing that could be directly changed at this time. We do however run an enhancement suggestion in product management feedback tracking lists, I will make sure to count your vote in.

[fercho]

Hope it will fixed soon, thanks