backtest with levearge

[arnold.horvath]

Dear Support !

I am working on a strategy for the ES mini.
I would like to buy a contract per $15000, so the leverage would be around 5-6.
How can I set the margin so that the backtest results ( cum profit, etc ) reflect the leverage.

Thank you,
Arnold

[NinjaTrader_Matthew]

Hi Arnold,

You can set the margin for the ES from the Instrument Editor:

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

The backtesting engine uses a fixed account size. If you'd like to set this up to $15000, you can set the variable in the Initialize() section of your code:

AccountSize = 15000

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

Please note that this does not update the account size in real-time by increasing or decreasing the value. It will set the original value to calculate your order sizes and they will be dynamically updated based on the margin set in the instrument manager and your original account size used.

[arnold.horvath]

Hi Matthew !

Thank you for the help.
I set it up as you described and it buys/selsl the correct amount of futures, however the backtest results do not seem to reflect the leverage.

I get the usual 8% instead of the significantly higher cummulated return...

What am I doing wrong ?

[NinjaTrader_PatrickH]

Hello Arnold,

Thank you for your response.

Can you provide a screenshot of these results n the Strategy Analyzer and a screenshot of the normal results you see on real-time or Market Replay so I may investigate this matter further?

I look forward to your response.

[arnold.horvath]

leverage issue

Hi Matthew !

AccountSize=5000
Total Net Profit=1592

Cumulative Profit 2.05%

This does not seem to be correct, but let me know if I am wrong...

[NinjaTrader_Matthew]

Hi Arnold,

I'm sorry - i'm not sure what your expected outcome is here. What do you expect the Cumlative Profit to be?

Please keep in mind that the cumlative profit is not a precentage based on your account value.

You can think of it like reinvesting your account and winnings back into the trade:

Start with $1 and make 3 trades at profit of $0.25, $0.50, $0.75

The trade profit is then 25%, 50% and 75%

The results you're going to see is a weighted average of these percentages