reading stratgy optimizer

[platax]

Hello,

I wonder what I should think of this : NT performed an optimization and gave the attached results.

I'm confused : Total Net Profit is $7475.00 but Cumulative Profit is 1.67%, wich seems more realistic considering the trade series that hardly win more than a few dollars here and there.

How can this happen ?

[NinjaTrader_PatrickH]

Hello platax,

Thank you for your post.

Cumulative profit in percent would be calculated as the following:

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

On the Summary tab this will be a trade weighted average. For information on the Performance Statistics please visit the following link: http://www.ninjatrader.com/support/h...efinitions.htm

Please let me know if you have any questions.

[platax]

Thanks for this precision. I've been checking statistic definitions.

Cumulative profit seems consistent with the simulated trades : what confuses me is that among this weak performance, I get a high Total Net Profit of $7475.00 and profit factor of 5.9% : how can this be coherent to the attached trade grid that hardly comes to a 30 $ / 4,78% cumulative profit ?

[NinjaTrader_PatrickH]

Hello Platax,

Thank you for your response.

So I may investigate this matter further can you attach an Excel document for the Trades tab of the Optimization you ran and provided the Summary tab for?

I look forward to your response.

[platax]

Thanks Patrick.

The excel document is allready in the first post (zipped to fullfill this forum prerequisit).

[NinjaTrader_PatrickH]

Hello Platax,

Thank you for your response.

The Profit Factor is Gross Profit / Gross Loss and Gross Profit is SUM(profit * quantity) of all winning trades and Gross Loss is SUM(loss * quantity) of all losing trades.

As I do not have access to the full report I cannot report why the values turned out in this manner.

[platax]

Hum... I may have found out what was wrong : default quantity was hiden by default in the "trade" tab. This explains why $ profit could be so high when % profit was so low.

Now I'm still on optimizing and I wonder : is there is any sort of ratio like "net profit/profit factor" or "profit factor/number of trades" that could be used for optimization ? The best would actually be a ratio between invested money and net profit, to compare it to a "saving account" strategy.
(note : that is more or less what the sharp ratio is supposed to do but 1/ it cannot be used as optimization factor, and 2/ NinjaTrader presets "risk free Rate of Return" to a value of zero which leads to a sharp ratio of 1 )

When optimization factor is set to "profit factor", the number of trade is so low that the setup is useless.
When optimization factor is set to "net profit", the profit factor is discouraging, because the strategy is much too agressive (big money leading to big losses).

[NinjaTrader_JC]

Hello platax,

There is not any "Optimize on" settings that I am aware of that will compare the what you are looking for, but if you are just trying to sort some of the Trades, you may try to sort them on the MFE (max. favorable excursion) that may close to what you are looking for.

If you have programming experience you my code a custom OptimizationType to calculate on the exact calculations that you would like. Note this is not something that we can support but we do have the source code available for the OptimizationTypes that are currently selected that you may view. These files can be found in the (My) Documents -> NinjaTrader 7 -> bin -> Custom -> Type folder.

Let us know if we can be of any further assistance.