Strategy Analyzer - Forex - Comission

[rymoore]

I'd like to run strategy backtesting on a Forex strategy using a set-pip based commission (of course, it's different per pair, but I'd be happy if I can just set a default)..

How do I set this up?

Thanks

[NinjaTrader_CalH]

Hello Rymoore,

Thank you for your note.

You can set your commissions from Tools -> Options -> Comission Tab

See the link below for steps on flat rate and tiered commissions -
http://www.ninjatrader.com/support/h...ission_tab.htm

[rymoore]

Is there any way to specify the commission in pips rather than dollars?

When I enter a position using EnterLong or EnterShort in Forex backtesting, am I purchasing a certain number of lots?

For example, is EnterLong(10000) the same as purchasing one standard Forex lot?

Thanks

[NinjaTrader_CalH]

Rymoore,

There is no way to input pips.
You would need to enter the dollar amount per pip for the commission.

With the Sim account that you are submitting to, you would need to use the hard value for number of contracts.
Example:
Standar lot ->100,000 or .1M
Mini lot -> 10,000 or .01M
Micro lot -> 1,000 or .001M

From your example, 10,000 would be a Mini lot

[rymoore]

OK, I think this makes sense. Now I'm able to backtest, but the results make no sense to me.

So, per the options panel, I have a default account size of $10,000, and each trade I am making should be 75,000 units (7.5 mini-lots).



The simulator results attached show that I made 113% profit, which seems feasible, but the total net profit shows over $8 million which makes no sense (I'd assume 10,000 * 113% = ~$11,300 profit). What am I doing wrong here?

[NinjaTrader_CalH]

Rymoore,

Ensure you divide the commission by the lot size.
That should give you correct amount

[rymoore]

I believe I am doing that correctly. I have put in a comission of $6 ($12 per round-trip) to estimate a 2 pip comission on a 75,000 contract trade (at approx .1 pip price).

This wouldn't account for the wildly inaccurate Net profit, correct? Any idea why I'm seeing that?

[NinjaTrader_CalH]

Rymoore,

Who are you connected to? This is displayed in the lower left hand corner of the Control Center

[rymoore]

I'm connected to FXCM

[NinjaTrader_CalH]

Rymoore,

The account size has no meaning with the backtest results as the backtest assumes you would have the money to trade it.

Second, I tested this with the SampleMACrossOver using what I assume is JPY that you have set in the pararmeters. I used $EURJPY for my results and go values very similar to your results

What results do you expect to receive with this test?

[rymoore]

I guess optimally, I'd like to say:

- start my backtest as if I have $5000 in my account
- tell me how much I have left at the end of the run (profit and %)

The profit and percentage that is displayed seems to be totally arbitrary... how are they determined?

[rymoore]

Something just doesn't make a lot of sense to me. See this image, which is the first trade in a back-test:



This trade is shorting a 5k GBP/JPY position and making 11 pips. Based on rough math, this should profit:

pips * price per pip * (contracts / 1000)
= 11 * .1 * 5 = $5.50

but instead it's saying $549 (I assume that's $550 - $1 commission which I set). Off by a factor of 10... any idea what might be causing this?

Thanks

[rymoore]

Well, I was able to make sense of this by changing the trade size from 5000 to 50 (not exactly sure why).