How does Strategy Analyzer calculate relative cumulative profit?

[fbertram]

Dear NinjaTraders,

I am trying to figure out how Strategy Analzyer is calculating cumulative profit. I am using a multi-instrument strategy, which is why this question is more difficult than it might appear.

Here is the setup:
V - initial account value
Ea, Eb, Ec: entry prices for stocks A, B, C
Xa, Xb, Xc: exit prices for stocks A, B, C
Na, Nb, Nc: quantities traded for stocks A, B, C

Now assume that I am trading as follows:
Na = V/3/Ea
Nb = V/3/Eb
Nc = V/3/Ec

I will have the following profit:
P = Na * (Xa - Ea) + Nb * (Xb - Eb) + Nc * (Xb - Ec)

The relative cumulative profit should therefore be:
Pr = P / V

Of course the backtester does not know what V was, so there is a difficulty in specifying this. This is where AccountSize *should* come in, but NinjaTrader ignores that during backtesting.

What I can see from the Strategy Analyzer's summary page is that my strategy was resulting in $4,751.66 of total net profit. My original account value was $20,000 - resulting in a relative cumulative profit of $4,751.66 / $20,000 = 23.8%

What Strategy Analyzer is reporting is 165.41%. I have no idea how it created that number and what I notice is that this number does not change, regardless of the initial account value I set inside my strategy. What I feel might be happening, is that it relative profit is calculated per trade as follows:
(Xa - Ea) / Ea * (Xb - Eb) / Eb * (Xc - Ec) / Ec

Unfortunately, this is of no use to me. I need relative cumulative profit as well as all reports in Strategy Analyzer referenced to my initial account value.

Questions:
* can you please explain/confirm to me, how the Strategy Analyzer calculates cumulative profits?
* is there any way to change that behavior?

I am seeing much more issues in creating a multi-instrument strategy with NinjaTrader's. Is my use-case something you were not targeting with NinjaTrader?

Thank you,
best regards, Felix

[NinjaTrader_CalH]

Hello Felix,

Thank you for your post

The cumulative profit is a weight of the percent profit.

Consider you start with $1 and you made 3 trades at profits of 25 cents, 50 cents, and 75 cents. That would mean the trade's percent profit was 25%, 50%, and 75%. What % mode does is it weighs each of these percentages in from a reinvestment standpoint.

Trade 1 = 25%. 25% of $1 = we made 25 cents.
Trade 2 = 50%. 50% of $1 + $0.25 = 50% of $1.25 = $0.625
Trade 3 = 75%. 75% of $1.25 + $0.625 = 75% of $1.875 = $1.40625

This means after all 3 trades we would have made $0.25 + $0.625 + $1.40625 = $2.28125.
Since we started with $1, winnings of $2.28125 is equivalent to a Cum. Profit % of 228.125%

You can see that 228% cumulative profit is not equivalent to Total Net Profit which is just $1.50 or 150% if taken from a summation only standpoint.

Let me know if this helps explain it.